On balanced truncation of stochastic linear systems
Time: Fri 2015-09-04 11.00 - 12.00
Location: Seminar room 3721, Lindstedtsvägen 25
Participating: Prof. Tobias Damm
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 \(H^\infty\)-type bound for the approximation error of the truncated system.