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• W4220809453 abstract "We analyze structure-preserving model order reduction methods for Ornstein–Uhlenbeck processes and linear S(P)DEs with multiplicative noise based on balanced truncation. For the first time, we include in this study the analysis of non-zero initial conditions. We moreover allow for feedback-controlled dynamics for solving stochastic optimal control problems with reduced-order models and prove novel error bounds for a class of linear quadratic regulator problems. We provide numerical evidence for the bounds and discuss the application of our approach to enhanced sampling methods from non-equilibrium statistical mechanics." @default.
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• W4220809453 date "2022-07-01" @default.
• W4220809453 modified "2023-09-30" @default.
• W4220809453 title "Error bounds for model reduction of feedback-controlled linear stochastic dynamics on Hilbert spaces" @default.
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• W4220809453 doi "https://doi.org/10.1016/j.spa.2022.03.009" @default.
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