Search

• Projection based full state model reduction scheme for stochastic and bilinear systems. • Detailed stability analysis including a new result on existence of reduced order reachability Gramians. • New error bounds showing the relation between truncated eigenvalues of a Gramian and the expected model reduction error. • Numerical experiments that show the effectiveness of the reduced systems. In this paper, the problem of full state approximation by model reduction is studied for stochastic and bilinear systems. Our proposed approach relies on identifying the dominant subspaces based on the reachability Gramian of a system. Once the desired subspace is computed, the reduced order model is then obtained by a Galerkin projection. We prove that, in the stochastic case, this approach either preserves mean square asymptotic stability or leads to reduced models whose minimal realization is mean square asymptotically stable. This stability preservation guarantees the existence of the reduced system reachability Gramian which is the basis for the full state error bounds that we derive. This error bound depends on the neglected eigenvalues of the reachability Gramian and hence shows that these values are a good indicator for the expected error in the dimension reduction procedure. Subsequently, we establish the stability preservation result and the error bound for a full state approximation to bilinear systems in a similar manner. These latter results are based on a recently proved link between stochastic and bilinear systems. We conclude the paper by numerical experiments using a benchmark problem. We compare this approach with balanced truncation and show that it performs well in reproducing the full state of the system. [ABSTRACT FROM AUTHOR]