Balanced Approximation of Stochastic Systems
Balanced model reductioncanonical correlationsmodel reduction algorithmmutual informationpredictive efficiencyprincipal componentsprincipal Hankel components algorithmsingular value decompositionstochastic realization methodssystem approximation
Prediction theory (aspects of stochastic processes) (60G25) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) System identification (93B30) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Identification in stochastic control theory (93E12)
- Deterministic balancing and stochastic model reduction
- Balanced Implicit Methods for Stiff Stochastic Systems
- Balanced stochastic realizations
- Applications of the balanced method to stochastic differential equations in filtering
- Balanced averaging of bilinear systems with applications to stochastic control
- A Dynamical System Approach to Stochastic Approximations
- Stochastic balancing and approximation-stability and minimality
- scientific article; zbMATH DE number 3869139
- Linear system approximation via covariance equivalent realizations
- 4SID: Subspace algorithms for the identification of combined deterministic-stochastic systems
- Acausal models and balanced realizations of stationary processes
- On the stability of projections of balanced realizations
- Balanced model order reduction for linear random dynamical systems driven by Lévy noise
- Subspace algorithms for the stochastic identification problem
- Approximate aggregation of a class of nonstationary linear stochastic systems
- Linear parameter-varying subspace identification: a unified framework
- scientific article; zbMATH DE number 3844792 (Why is no real title available?)
- Stochastic balancing and approximation-stability and minimality
- scientific article; zbMATH DE number 3869139 (Why is no real title available?)
- scientific article; zbMATH DE number 4200082 (Why is no real title available?)
- Deterministic balancing and stochastic model reduction
- scientific article; zbMATH DE number 4001990 (Why is no real title available?)
- Applications of the balanced method to stochastic differential equations in filtering
- System identification methods for (operational) modal analysis: review and comparison
- Detectability conditions for output-only subspace identification
- Identification of canonical models for vectors of time series: a subspace approach
- A stochastic realization algorithm via block LQ decomposition in Hilbert space
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