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arXiv · 1504.02155

Dual pairs of generalized Lyapunov inequalities and balanced truncation of stochastic linear systems

Peter Benner·Tobias Damm·Yolanda Rocio Rodriguez Cruz
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Abstract

We consider two approaches to balanced truncation of stochastic linear systems, which follow from different generalizations of the reachability Gramian of deterministic systems. Both preserve mean-square asymptotic stability, but only the second leads to a stochastic H-infinity-type bound for the approximation error of the truncated system.

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Peter Benner, Tobias Damm, Yolanda Rocio Rodriguez Cruz. 2015-04-08. Dual pairs of generalized Lyapunov inequalities and balanced truncation of stochastic linear systems. https://arxiv.org/abs/1504.02155

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