Model reduction of stochastic systems

A method for reducing the order of a stochastic time invariant linear system (i.e., system with parameter-uncertainty), is presented. It relies on the singular value decomposition of the controllability Grammian to determine the aggregation matrix and the state feedback law to insure the stability of the model. With this model, the desired state variables or their linear combinations are reproduced. Thus, some of the internal structural properties of the system are preserved in the model. The results are illustrated by a numerical example.