Balanced model reduction of partially observed Langevin equations: an averaging principle
نویسندگان
چکیده
منابع مشابه
Balanced model reduction of partially-observed Langevin equations: an averaging principle
We study balanced model reduction of partially-observed stochastic differential equations of Langevin type. Upon balancing, the Langevin equation turns into a singularly perturbed system of equations with slow and fast degrees of freedom. We prove that in the limit of vanishing small Hankel singular values (i.e., for infinite scale separation between fast and slow variables), its solution conve...
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ژورنال
عنوان ژورنال: Mathematical and Computer Modelling of Dynamical Systems
سال: 2011
ISSN: 1387-3954,1744-5051
DOI: 10.1080/13873954.2011.576517