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سند علمی

Efficient Numerical Algorithms for Balanced Stochastic Truncation

Peter BENNER, Enrique S. QUINTANA-ORTÍ, Gregorio QUINTANA-ORTÍ

چکیده

We propose an efficient numerical algorithm for relative error model reduction based on balanced stochastic truncation. The method uses full-rank factors of the Gramians to be balanced versus each other and exploits the fact that for large-scale systems these Gramians are often of low numerical rank. We use the easy-to-parallelize sign function method as the major computational tool in determining these full-rank factors and demonstrate the numerical performance of the suggested implementation of balanced stochastic truncation model reduction.

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