Feedback control theory Model order reduction for stochastic equations

12/12/2019
by   Simon Becker, et al.
0

We analyze structure-preserving model order reduction methods for Ornstein-Uhlenbeck processes and linear SPDEs with multiplicative noise based on balanced truncation with non-zero initial data. We then marry these model order reduction methods with stochastic optimal control theory and prove error bounds for a class of linear quadratic regulator problems. We discuss the application of our approach to enhanced sampling methods from non-equilibrium statistical mechanics.

READ FULL TEXT

Please sign up or login with your details

Forgot password? Click here to reset