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Model order reduction (MOR) techniques are often used to reduce the order of spatially-discretized (stochastic) partial differential equations and hence reduce computational complexity. A particular class of MOR techniques is balancing…
Mathematical modeling often yields linear dynamical systems in science and engineering. We change physical parameters of the system into random variables to perform an uncertainty quantification. The stochastic Galerkin method yields a…
In this paper, we consider a model reduction technique for stabilizable and detectable stochastic systems. It is based on a pair of Gramians that we analyze in terms of well-posedness. Subsequently, dominant subspaces of the stochastic…
This paper presents a novel model order reduction framework tailored for fully nonlinear stochastic dynamics without lifting them to quadratic systems and without using linearization techniques. By directly leveraging structural properties…
The increasing size and complexity of modern power systems have led to a high-dimensional mathematical model for transient stability studies, rendering full-scale simulations computationally burdensome. While dimensionality reduction is…
We consider a second-order linear system of ordinary differential equations (ODEs) including random variables. A stochastic Galerkin method yields a larger deterministic linear system of ODEs. We apply a model order reduction (MOR) of this…
In this paper, we investigate large-scale linear systems driven by a fractional Brownian motion (fBm) with Hurst parameter $H\in [1/2, 1)$. We interpret these equations either in the sense of Young ($H>1/2$) or Stratonovich ($H=1/2$).…
We consider high-dimensional asset price models that are reduced in their dimension in order to reduce the complexity of the problem or the effect of the curse of dimensionality in the context of option pricing. We apply model order…
We develop an optimization-based algorithm for parametric model order reduction (PMOR) of linear time-invariant dynamical systems. Our method aims at minimizing the $\mathcal{H}_\infty \otimes \mathcal{L}_\infty$ approximation error in the…
In this paper, balancing based model order reduction (MOR) for large-scale linear discrete-time time-invariant systems in prescribed finite time intervals is studied. The first main topic is the development of error bounds regarding the…
We present a novel certified model order reduction (MOR) algorithm for switched descriptor systems applicable to large-scale systems. Our algorithm combines the idea of [Hossain \& Trenn, Technical report, 2023] to reformulate the switched…
Suitable reduced order models (ROMs) are computationally efficient tools in characterizing key dynamical and statistical features of nature. In this paper, a systematic multiscale stochastic ROM framework is developed for complex systems…
We investigate model order reduction (MOR) for linear dynamical systems, where a quadratic output is defined as a quantity of interest. The system can be transformed into a linear dynamical system with many linear outputs. MOR is feasible…
In order to solve partial differential equations numerically and accurately, a high order spatial discretization is usually needed. Model order reduction (MOR) techniques are often used to reduce the order of spatially-discretized systems…
This paper presents an H2-optimal model order reduction (MOR) method for linear systems with quadratic outputs based on Riemannian optimization. The H2-optimal MOR is formulated as an optimization problem in which the optimization variables…
Model order reduction (MOR) involves offering low-dimensional models that effectively approximate the behavior of complex high-order systems. Due to potential model complexities and computational costs, designing controllers for…
Parametric high-fidelity simulations are of interest for a wide range of applications. But the restriction of computational resources renders such models to be inapplicable in a real-time context or in multi-query scenarios. Model order…
Here, we focus on Model Order Reduction (MOR) of non-parametric second-order dynamical systems. In these MOR algorithms, sequences of large and sparse linear systems arise during the model reduction process. Solving such linear systems is…
Model order reduction is a technique that is used to construct low-order approximations of large-scale dynamical systems. In this paper, we investigate a balancing based model order reduction method for dynamical systems with a linear…
We present an adaptive sampling strategy for the optimization-based structure preserving model order reduction (MOR) algorithm developed in [Schwerdtner, P. and Voigt, M. (2020). Structure preserving model order reduction by parameter…