Model reduction via time-interval balanced stochastic truncation for linear time invariant systems

In this article, a new method for model reduction of linear dynamical systems is presented. The proposed technique is from the family of gramian-based relative error model reduction methods. The method uses time-interval gramians in the reduction procedure rather than ordinary gramians and in such a way it improves the accuracy of the approximation within the time interval which is applied. It is proven that the reduced order model is stable when the proposed method applies to a stable system. The method uses a recently proposed inner-outer factorisation algorithm which enhances the numerical accuracy and efficiency. In order to avoid numerical instability and also to further increase the numerical efficiency, projector matrices are constructed instead of the similarity transform approach for reduction. The method is illustrated by a numerical example and finally it is applied to a practical CD player example. The numerical results show that the method is more accurate than ordinary balanced stochastic truncation.