## Efficient Numerical Algorithms for Balanced Stochastic Truncation (2001)

Citations: | 30 - 2 self |

### BibTeX

@MISC{Benner01efficientnumerical,

author = {Peter Benner and Enrique S. Quintana-Ortí and Gregorio Quintana-Ortí},

title = { Efficient Numerical Algorithms for Balanced Stochastic Truncation },

year = {2001}

}

### OpenURL

### Abstract

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.