Title :
A relative error bound for balanced stochastic truncation
Author_Institution :
Dept. of Electr. Eng., Imperial Coll., London, UK
fDate :
10/1/1988 12:00:00 AM
Abstract :
Recently, several methods have appeared for the approximation of (power) spectra, notably balanced stochastic truncation (BST). It is shown that BST satisfies a relative error bound approximately twice the bound for the relative error method (REM) proper. This offers a quantitative basis for the observation that BST and REM produce similar reduced-order models. Balanced stochastic truncation can therefore be interpreted as providing a computationally simple algorithm for relative error approximation
Keywords :
error analysis; spectral analysis; stochastic processes; balanced stochastic truncation; reduced-order models; relative error bound; relative error method; spectral factor approximation; Approximation algorithms; Automatic control; Binary search trees; Frequency conversion; Iterative algorithms; Reduced order systems; Riccati equations; Stability; Stochastic processes; Transfer functions;
Journal_Title :
Automatic Control, IEEE Transactions on
