Title

OBTAINING REDUCED-ORDER STOCHASTIC MODELS.

Document Type

Conference Proceeding

Date of Original Version

1-1-1984

Abstract

Recent approaches to stochastic model reduction have followed the balancing approach introduced by Moore for the deterministic model reduction problem. In this approach, a given model is transformed to one in which the state variables are ordered with respect to their contribution to some criterion, and the reduced-order model is then obtained by deleting the least important variables. In the deterministic case, the ordering of the state variable implies that the reduced-order model is a subsystem of the original model. However, this is not necessarily true in the stochastic case. An optimality framework for obtaining reduced-order stochastic models is derived. Since exact solutions appear intractable, a new suboptimal approach is presented.

Publication Title

Proceedings of the American Control Conference

Volume

1

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