A relative error bound for balanced stochastic truncation
- 1 January 1988
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 33 (10) , 961-965
- https://doi.org/10.1109/9.7255
Abstract
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.Keywords
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