Abstracting Linear Stochastic Systems via Knowledge Filtering

Abstract

In this paper, we propose a new model reduction technique for linear stochastic systems that builds upon knowledge filtering and utilizes optimal Kalman filtering techniques. This new technique will reduce the dimension of the noise disturbance and will allow any controller designed for the reduced model to be refined into a controller for the original stochastic system, while preserving any specification on the output. Although initially the reduced model will be time-varying, a method will be provided with which the reduced model can become time-invariant if it satisfies some minor technical conditions. We present our theoretical findings with an example that supports the proposed framework and illustrates how model reduction and controller refinement of stochastic systems can be achieved. We finish the paper by considering specific examples to analyze both completeness with respect to controller synthesis and model order reduction with respect to the state.