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A transformation approach to stochastic model reduction
Desai, U.; Pal, D.;
Automatic Control, IEEE Transactions on
Volume 29,
Issue 12,
Dec 1984
Page(s):1097
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1100
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.
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