Title :
A transformation approach to stochastic model reduction
Author :
Desai, Uday B. ; Pal, Debajyoti
Author_Institution :
Washington State University, Pullman, WA, USA
fDate :
12/1/1984 12:00:00 AM
Abstract :
A new and direct approach to stochastic model reduction is developed. The order reduction algorithm is obtained by establishing an equivalence between canonical correlation analysis and solutions to algebraic Riccati equations. Also the concept of balanced stochastic realization (BSR) plays a fundamental role. Asymptotic stability of the reduced-order realization is established, and spectral domain interpretations for the BSR are given.
Keywords :
Algebraic Riccati equation (ARE); Correlations; Linear systems, stochastic; Reduced-order systems, linear; Riccati equations, algebraic; Stochastic systems, linear; Costs; Damping; Equations; Flexible structures; Particle measurements; Position measurement; Reduced order systems; Stochastic processes; Torque; Transfer functions;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1984.1103438
