Error bounds for model reduction of feedback-controlled linear stochastic dynamics on Hilbert spaces

DOI10.1016/J.SPA.2022.03.009zbMATH Open1492.93030arXiv1912.06113OpenAlexW4220809453MaRDI QIDQ2137753FDOQ2137753

Authors: Simon Becker, Carsten Hartmann, Martin Redmann, Lorenz Richter 

Publication date: 16 May 2022

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We analyze structure-preserving model order reduction methods for Ornstein-Uhlenbeck processes and linear S(P)DEs with multiplicative noise based on balanced truncation. For the first time, we include in this study the analysis of non-zero initial conditions. We moreover allow for feedback-controlled dynamics for solving stochastic optimal control problems with reduced-order models and prove novel error bounds for a class of linear quadratic regulator problems. We provide numerical evidence for the bounds and discuss the application of our approach to enhanced sampling methods from non-equilibrium statistical mechanics.

Full work available at URL: https://arxiv.org/abs/1912.06113

Recommendations

• Model order reduction for (stochastic-) delay equations with error bounds
• Optimization based model order reduction for stochastic systems
• Model reduction for stochastic systems
• Infinite-dimensional bilinear and stochastic balanced truncation with explicit error bounds
• Balanced model order reduction for linear random dynamical systems driven by Lévy noise

Mathematics Subject Classification ID

System structure simplification (93B11) Feedback control (93B52) Linear systems in control theory (93C05) Optimal stochastic control (93E20) Control/observation systems in abstract spaces (93C25)

Cites Work

• An equilibrium characterization of the term structure
• Controlled Markov processes and viscosity solutions
• Title not available (Why is that?)
• One-Parameter Semigroups for Linear Evolution Equations
• Proper orthogonal decomposition for optimality systems
• Balanced model order reduction for linear random dynamical systems driven by Lévy noise
• Stochastic processes in physics and chemistry.
• Lyapunov equations, energy functionals, and model order reduction of bilinear and stochastic systems
• Ergodic control of diffusion processes.
• Type II Singular Perturbation Approximation for Linear Systems with Lévy Noise
• Stochastic Partial Differential Equations with Levy Noise
• Model reduction for stochastic systems
• All optimal Hankel-norm approximations of linear multivariable systems and theirL,^∞-error bounds†
• Realisation and Approximation of Linear Infinite-Dimensional Systems with Error Bounds
• A Survey of Model Reduction by Balanced Truncation and Some New Results
• Fourier's law: a challenge to theorists
• Optimal Steering of a Linear Stochastic System to a Final Probability Distribution, Part I
• MODEL REDUCTION FOR FLUIDS, USING BALANCED PROPER ORTHOGONAL DECOMPOSITION
• $\mathcal{H}_2$ Model Reduction for Large-Scale Linear Dynamical Systems
• Optimal control of multiscale systems using reduced-order models
• A new set of invariants for linear systems--Application to reduced order compensator design
• Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls
• Balanced truncation model reduction for systems with inhomogeneous initial conditions
• Model order reduction: Theory, research aspects and applications. Selected papers based on the presentations at the workshop `Model order reduction, coupled problems and optimization', Leiden, The Netherlands, September 19--23, 2005.
• Finite-rank ADI iteration for operator Lyapunov equations
• Model reduction for systems with inhomogeneous initial conditions
• Nonlinear system theory
• Infinite-dimensional bilinear and stochastic balanced truncation with explicit error bounds
• New Riccati equations for well-posed linear systems
• Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space
• Controller design for distributed systems based on Hankel-norm approximations
• Balanced model reduction of linear systems with nonzero initial conditions: singular perturbation approximation
• Quantitative rates of convergence to non-equilibrium steady state for a weakly anharmonic chain of oscillators
• Balancing transformations for infinite-dimensional systems with nuclear Hankel operator

Cited In (5)

• Finite-data error bounds for Koopman-based prediction and control
• Model reduction of controlled Fokker-Planck and Liouville-von Neumann equations
• Model reduction of Brownian oscillators: quantification of errors and long-time behavior
• Solving High-Dimensional Optimal Stopping Problems Using Optimization Based Model Order Reduction
• Model order reduction for (stochastic-) delay equations with error bounds

This page was built for publication: Error bounds for model reduction of feedback-controlled linear stochastic dynamics on Hilbert spaces

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2137753)