DocumentCode
1439515
Title
A relative error bound for balanced stochastic truncation
Author
Green, Michael
Author_Institution
Dept. of Electr. Eng., Imperial Coll., London, UK
Volume
33
Issue
10
fYear
1988
fDate
10/1/1988 12:00:00 AM
Firstpage
961
Lastpage
965
Abstract
Recently, several methods have appeared for the approximation of (power) spectra, notably balanced stochastic truncation (BST). It is shown that BST satisfies a relative error bound approximately twice the bound for the relative error method (REM) proper. This offers a quantitative basis for the observation that BST and REM produce similar reduced-order models. Balanced stochastic truncation can therefore be interpreted as providing a computationally simple algorithm for relative error approximation
Keywords
error analysis; spectral analysis; stochastic processes; balanced stochastic truncation; reduced-order models; relative error bound; relative error method; spectral factor approximation; Approximation algorithms; Automatic control; Binary search trees; Frequency conversion; Iterative algorithms; Reduced order systems; Riccati equations; Stability; Stochastic processes; Transfer functions;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/9.7255
Filename
7255
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