Repository: Freie Universit├Ąt Berlin, Math Department

Feedback control theory & Model order reduction for stochastic equations

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: 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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