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Efficient numerical algorithms for balanced stochastic truncation

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Benner P., Quintana-Ortí E. S., Quintana-Ortí G.

International Journal of Applied Mathematics and Computer Science

2001

tom 11

nr 5

1123-1150

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.

Ograniczanie wyników

1 International Journal of Applied Mathematics and Computer Science

1 Benner P.

1 Quintana-Ortí E. S.

1 Quintana-Ortí G.

1 2001

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Efficient numerical algorithms for balanced stochastic truncation