Dual pairs of generalized Lyapunov inequalities and balanced truncation of stochastic linear systems

Published 8 Apr 2015 in math.DS and math.NA | (1504.02155v1)

Abstract: We consider two approaches to balanced truncation of stochastic linear systems, which follow from different generalizations of the reachability Gramian of deterministic systems. Both preserve mean-square asymptotic stability, but only the second leads to a stochastic H-infinity-type bound for the approximation error of the truncated system.

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