Error bounds for model reduction of feedback-controlled linear stochastic dynamics on Hilbert spaces
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Publication:2137753
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.
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Cited in
(7)- 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
- Optimization based model order reduction for stochastic systems
- Finite-data error bounds for Koopman-based prediction and control
- Model reduction of controlled Fokker-Planck and Liouville-von Neumann equations
- Model reduction for stochastic systems with nonlinear drift
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