WIAS Preprint No. 2398, (2017)

Type II singular perturbation approximation for linear systems with Lévy noise


  • Redmann, Martin
    ORCID: 0000-0001-5182-9773

2010 Mathematics Subject Classification

  • 93A15 15A24


  • model order reduction, singular perturbation approximation, Gramians, stochastic systems, Lévy process




When solving linear stochastic partial differential equations numerically, usually a high order spatial discretisation is needed. Model order reduction (MOR) techniques are often used to reduce the order of spatially-discretised systems and hence reduce computational complexity. A particular MOR technique to obtain a reduced order model (ROM) is singular perturbation approximation (SPA), a method which has been extensively studied for deterministic systems. As so-called type I SPA it has already been extended to stochastic equations. We provide an alternative generalisation of the deterministic setting to linear systems with Lévy noise which is called type II SPA. It turns out that the ROM from applying type II SPA has better properties than the one of using type I SPA. In this paper, we provide new energy interpretations for stochastic reachability Gramians, show the preservation of mean square stability in the ROM by type II SPA and prove two different error bounds for type II SPA when applied to Lévy driven systems

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