Becker, Simon and Hartmann, Carsten and Redmann, Martin and Richter, Lorenz (2019) Feedback control theory & Model order reduction for stochastic equations. ArXive . pp. 1-36. (Submitted)
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Abstract
Abstract: 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.
| Item Type: | Article |
|---|---|
| Subjects: | Mathematical and Computer Sciences > Mathematics > Applied Mathematics |
| Divisions: | Department of Mathematics and Computer Science > Institute of Mathematics |
| ID Code: | 2801 |
| Deposited By: | Monika Drueck |
| Deposited On: | 14 Mar 2022 14:37 |
| Last Modified: | 14 Mar 2022 14:37 |
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