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2001 | 11 | 5 | 1123-1150

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Efficient numerical algorithms for balanced stochastic truncation

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We propose an efficient numerical algorithm for relative error model reduction based on balanced stochastic truncation. The method uses full-rank factors of the Gramians to be balanced versus each other and exploits the fact that for large-scale systems these Gramians are often of low numerical rank. We use the easy-to-parallelize sign function method as the major computational tool in determining these full-rank factors and demonstrate the numerical performance of the suggested implementation of balanced stochastic truncation model reduction.








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  • Zentrum für Technomathematik, Fachbereich 3/Mathematik und Informatik, Universität Bremen, D-28334 Bremen, Germany
  • Departamento de Informática, Universidad Jaume I, 12080 Castellón, Spain
  • Departamento de Informática, Universidad Jaume I, 12080 Castellón, Spain


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