Becker, Simon and Hartmann, Carsten and Redmann, Martin and Richter, Lorenz (2022) Error bounds for model reduction of feedback-controlled linear stochastic dynamics on Hilbert spaces. Stochastic Processes and their Applications, 149 . pp. 107-141.
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Official URL: https://doi.org/10.1016/j.spa.2022.03.009
Abstract
We analyze structure-preserving model order reduction methods for Ornstein-Uhlenbeck processes and linear S(P)DEs with multiplicative noise based on balanced truncation. For the first time, we include in this study the analysis of non-zero initial conditions. We moreover allow for feedback-controlled dynamics for solving stochastic optimal control problems with reduced-order models and prove novel error bounds for a class of linear quadratic regulator problems. We provide numerical evidence for the bounds and 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: | 3033 |
| Deposited By: | Jana Jerosch |
| Deposited On: | 17 Jan 2024 08:47 |
| Last Modified: | 17 Jan 2024 08:47 |
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