Model reduction for stochastic systems
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Publication:744878
DOI10.1007/S40072-015-0050-1zbMATH Open1331.65017OpenAlexW1842378573MaRDI QIDQ744878FDOQ744878
Authors: P. Benner, Martin Redmann 
Publication date: 12 October 2015
Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40072-015-0050-1
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Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)
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Cited In (45)
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- Low-dimensional approximations of high-dimensional asset price models
- Complexity reduction of large-scale stochastic systems using linear quadratic Gaussian balancing
- Truncated Gramians for bilinear systems and their advantages in model order reduction
- Gramian-based model reduction for unstable stochastic systems
- Approximation and model order reduction for second order systems with Levy-noise
- An output error bound for time-limited balanced truncation
- Model order reduction for stochastic expansions of electric circuits
- Infinite-dimensional bilinear and stochastic balanced truncation with explicit error bounds
- Positive operators and stable truncation
- Full state approximation by Galerkin projection reduced order models for stochastic and bilinear systems
- Time-limited \(\mathcal{H}_2\)-optimal model order reduction
- Balanced model order reduction for linear random dynamical systems driven by Lévy noise
- An \(\mathcal{H}_2\)-type error bound for balancing-related model order reduction of linear systems with Lévy noise
- On stochastic model reduction
- Solving High-Dimensional Optimal Stopping Problems Using Optimization Based Model Order Reduction
- Computational singular perturbation analysis of stochastic chemical systems with stiffness
- Numerical computation and new output bounds for time-limited balanced truncation of discrete-time systems
- Type II singular perturbation approximation for linear systems with Lévy noise
- Model order reduction for stochastic systems
- Bilinear systems -- a new link to \(\mathcal{H}_2\)-norms, relations to stochastic systems, and further properties
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- 2 Balancing-related model reduction methods
- Model order reduction for (stochastic-) delay equations with error bounds
- Deterministic balancing and stochastic model reduction
- Model reduction for stochastic systems with nonlinear drift
- Energy estimates and model order reduction for stochastic bilinear systems
- A Hankel matrix approach to stochastic model reduction
- Coarse-graining Langevin dynamics using reduced-order techniques
- A comparative study of two stochastic mode reduction methods
- Remarks on stochastic model reduction
- Stochastic model reduction: convergence and applications to climate equations
- A new type of singular perturbation approximation for stochastic bilinear systems
- Balanced model reduction of partially observed Langevin equations: an averaging principle
- A realization approach to stochastic model reduction
- Solving linear parabolic rough partial differential equations
- Model reduction method using variable-separation for stochastic saddle point problems
- Optimization based model order reduction for stochastic systems
- Reduction and integrability of stochastic dynamical systems
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- Singular perturbation approximation for linear systems with Lévy noise
- Model reduction via time-interval balanced stochastic truncation for linear time invariant systems
- Error bounds for model reduction of feedback-controlled linear stochastic dynamics on Hilbert spaces
- Type II balanced truncation for deterministic bilinear control systems
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