Generalized balanced stochastic truncation
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Green, Michael
Anderson, Brian D.O.
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Abstract
A modification of the balanced stochastic truncation method for relative error model reduction is introduced. The method is shown to satisfy an infinity norm bound on the relative error between the full order and the reduced order models. The discrete time balanced stochastic truncation algorithm is at the heart of the new method, and a relative error bound for this algorithm is derived.
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Proceedings of the IEEE Conference on Decision and Control
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