'Institute of Electrical and Electronics Engineers (IEEE)'
Doi
Abstract
Copyright [1999] IEEE. This material is posted here with permission of the IEEE. Such permission of the IEEE does not in any way imply IEEE endorsement of any of Brunel University's products or services. Internal or personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution must be obtained from the IEEE by writing to [email protected]. By choosing to view this document, you agree to all provisions of the copyright laws protecting it.In this paper a novel model reduction problem is studied for linear continuous-time time-invariant stochastic systems. The purpose of this problem is to design the reduced-order model so that it has the same dominant pole region and steady state output covariance as those of the original full-order model. The resulting reduced-order model can approximate the corresponding original full-order model in two important aspects, i.e., transient and steady state performances. Necessary and sufficient conditions for the existence of desired reduced-order models are established, and an explicit expression for these reduced order model is also presented. An illustrative example is used to demonstrate the effectiveness of the proposed design metho
