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A relative error bound for balanced stochastic truncation

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1 Author(s)
M. Green ; Dept. of Electr. Eng., Imperial Coll., London, UK

Recently, several methods have appeared for the approximation of (power) spectra, notably balanced stochastic truncation (BST). It is shown that BST satisfies a relative error bound approximately twice the bound for the relative error method (REM) proper. This offers a quantitative basis for the observation that BST and REM produce similar reduced-order models. Balanced stochastic truncation can therefore be interpreted as providing a computationally simple algorithm for relative error approximation

Published in:

IEEE Transactions on Automatic Control  (Volume:33 ,  Issue: 10 )