Creator:

Benner, Peter ; Quintana-Ortí, Enrique S. ; Quintana-Ortí, Gregorio

Contributor:

Campbell, Stephen L. - ed.

Title:

Efficient numerical algorithms for balanced stochastic truncation

Subtitle:

Numerical Analysis and Systems Theory

Group publication title:

AMCS, volume 11 (2001)

Subject and Keywords:

model reduction ; stochastic realization ; balanced truncation ; sign function method ; Newton's method

Abstract:

We propose an efficient numerical algorithm for relative error model reduction based on balanced stochastic truncation. The method uses full-rank factors of the Gramians to be balanced versus each other and exploits the fact that for large-scale systems these Gramians are often of low numerical rank. We use the easy-to-parallelize sign function method as the major computational tool in determining these full-rank factors and demonstrate the numerical performance of the suggested implementation of balanced stochastic truncation model reduction.

Publisher:

Zielona Góra: Uniwersytet Zielonogórski

Date:

2001

Resource Type:

artykuł

Pages:

1123-1150

Source:

AMCS, volume 11, number 5 (2001) ; click here to follow the link

Language:

eng

License CC BY 4.0:

click here to follow the link

Rights:

Biblioteka Uniwersytetu Zielonogórskiego