Balancing of partially-observed stochastic differential equations

Abstract— We study Balanced Truncation for stochastic differential equations. In doing so, we adopt ideas from large deviations theory and discuss notions of controllability and obervability for dissipative Hamiltonian systems with degenerate noise term, also known as Langevin equations. For partiallyobserved Langevin equations, we illustrate model reduction by balanced truncation with an example from molecular dynamics and discuss aspects of structure-preservation.

• Type: Conference
• Year: 2008
• Where: CDC
• Authors: Carsten Hartmann, Christof Schütte
• Keywords: Balanced Truncation, CDC 2008, Control Systems, Dissipative Hamiltonian Systems, Langevin Equations