Abstract
A model reduction problem of certain large-scale Markov chains under an optimal criterion for Hankel-norm approximation is discussed. The multi-dimensional Markov chain under investigation is assumed to have a finite-dimensional stationary state-transition matrix, which is first reformulated as a multi-input/multi-output (MIMO) linear time-invariant (LT1) stochastic system. Consequently, the resulting large-scale MIMO LTI stochastic system has a closed-form best approximant in the Hankel-norm from a specified class of stable lower-dimensional MIMO LTI systems. © 1992 Taylor & Francis Group, LLC.
| Original language | English |
|---|---|
| Pages (from-to) | 1289-1297 |
| Journal | International Journal of Systems Science |
| Volume | 23 |
| Issue number | 8 |
| DOIs | |
| Publication status | Published - Aug 1992 |
| Externally published | Yes |
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