Hartmann, C.
(2011)
*Balanced model reduction of partially-observed Langevin processes: an averaging principle.*
Math. Comput. Model. Dyn. Syst., 17
(5).
pp. 463-490.

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Official URL: http://www.tandfonline.com/doi/abs/10.1080/1387395...

## Abstract

We study balanced model reduction of partially-observed linear stochastic dierential equations of Langevin type. Balancing the equations of motion gives rise to a singularly perturbed system of equations with slow and fast degrees of freedom, and we prove that in the limit of the fast variables becoming innitely fast, the solutions converge to the solution of a reduced-order Langevin equation. We illustrate the method with several numerical examples and discuss the relation to model reduction of deterministic control systems that have an underlying Hamiltonian structure.

Item Type: | Article |
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Subjects: | Mathematical and Computer Sciences > Mathematics > Applied Mathematics |

Divisions: | Department of Mathematics and Computer Science > Institute of Mathematics Department of Mathematics and Computer Science > Institute of Mathematics > Cellular Mechanics Group Department of Mathematics and Computer Science > Institute of Mathematics > BioComputing Group |

ID Code: | 802 |

Deposited By: | Carsten Hartmann |

Deposited On: | 13 Jan 2010 14:49 |

Last Modified: | 03 Mar 2017 14:40 |

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