Balanced Approximation of Stochastic Systems
DOI10.1137/0611003zbMATH Open0698.93084OpenAlexW1977109386MaRDI QIDQ3476736FDOQ3476736
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Publication date: 1990
Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0611003
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- scientific article; zbMATH DE number 3869139
principal componentsmutual informationsingular value decompositioncanonical correlationssystem approximationmodel reduction algorithmpredictive efficiencyBalanced model reductionprincipal Hankel components algorithmstochastic realization methods
Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Prediction theory (aspects of stochastic processes) (60G25) System identification (93B30) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Identification in stochastic control theory (93E12)
Cited In (17)
- Linear system approximation via covariance equivalent realizations
- Applications of the balanced method to stochastic differential equations in filtering
- Stochastic balancing and approximation-stability and minimality
- Identification of canonical models for vectors of time series: a subspace approach
- Linear parameter-varying subspace identification: a unified framework
- Balanced model order reduction for linear random dynamical systems driven by Lévy noise
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- Deterministic balancing and stochastic model reduction
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- Detectability conditions for output-only subspace identification
- System identification methods for (operational) modal analysis: review and comparison
- Acausal models and balanced realizations of stationary processes
- Subspace algorithms for the stochastic identification problem
- 4SID: Subspace algorithms for the identification of combined deterministic-stochastic systems
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- A stochastic realization algorithm via block LQ decomposition in Hilbert space
- On the stability of projections of balanced realizations
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