Complexity reduction of large-scale stochastic systems using linear quadratic Gaussian balancing

DOI10.1016/J.JFRANKLIN.2023.11.018zbMATH Open1530.93044arXiv2303.13460OpenAlexW4388571206MaRDI QIDQ6136509FDOQ6136509

Tobias Damm, Martin Redmann

Publication date: 17 January 2024

Published in: Journal of the Franklin Institute (Search for Journal in Brave)

Abstract: In this paper, we consider a model reduction technique for stabilizable and detectable stochastic systems. It is based on a pair of Gramians that we analyze in terms of well-posedness. Subsequently, dominant subspaces of the stochastic systems are identified exploiting these Gramians. An associated balancing related scheme is proposed that removes unimportant information from the stochastic dynamics in order to obtain a reduced system. We show that this reduced model preserves important features like stabilizability and detectability. Additionally, a comprehensive error analysis based on eigenvalues of the Gramian pair product is conducted. This provides an a-priori criterion for the reduction quality which we illustrate in numerical experiments.

Full work available at URL: https://arxiv.org/abs/2303.13460

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Large-scale systems (93A15) System structure simplification (93B11) Stochastic systems in control theory (general) (93E03)

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