DocumentCode :
848104
Title :
A Hankel matrix approach to stochastic model reduction
Author :
Bacon, Barton J. ; Frazho, Arthur E.
Author_Institution :
Purdue University, West Lafayette, IN, USA
Volume :
30
Issue :
11
fYear :
1985
fDate :
11/1/1985 12:00:00 AM
Firstpage :
1138
Lastpage :
1140
Abstract :
A procedure for stochastic model reduction is Presented utilizing the Hankel matrix results of Adamjan, Arov, and Krein in a way not previously exploited. It is shown thai the error variance of the resulting 
th-order approximation is bounded from above by the 
singular value of the system\´s Hankel matrix.
th-order approximation is bounded from above by the singular value of the system\´s Hankel matrix.Keywords :
Hankel matrices; Linear systems, stochastic; Reduced-order systems, linear; Stochastic systems, linear; Boundary conditions; Computational efficiency; Couplings; Elbow; Iterative algorithms; Open loop systems; Optimal control; Reduced order systems; Stochastic processes; Weight control;
fLanguage :
English
Journal_Title :
Automatic Control, IEEE Transactions on
Publisher :
ieee
ISSN :
0018-9286
Type :
jour
DOI :
10.1109/TAC.1985.1103856
Filename :
1103856
Link To Document :
