Balancing of partially-observed stochastic differential equations

被引：4
|
作者：
Hartmann, Carsten [1 ]
Schuette, Christof [1 ]
机构：
[1] Free Univ Berlin, Inst Math, D-14195 Berlin, Germany
来源：
47TH IEEE CONFERENCE ON DECISION AND CONTROL, 2008 (CDC 2008) | 2008年
关键词：
D O I：
10.1109/CDC.2008.4739161
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
We study Balanced Truncation for stochastic differential equations. In doing so, we adopt ideas from large deviations theory and discuss notions of controllability and obervability for dissipative Hamiltonian systems with degenerate noise term, also known as Langevin equations. For partially-observed Langevin equations, we illustrate model reduction by balanced truncation with an example from molecular dynamics and discuss aspects of structure-preservation.
引用
收藏
页码：4867 / 4872
页数：6
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