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Optimal truncation for random process in the prespecified coordinate. (Chinese. English summary) Zbl 0902.65101

Summary: An optimal method to truncate the components of a stable random output process in the prespecified coordinate is presented, which is based on the performance criterion for the output error. It is pointed out that this optimal truncation is also a minimal orthogonal projection of the truncated components. Several properties for such truncation are introduced. A numerical example is given in the end.

MSC:

65C99 Probabilistic methods, stochastic differential equations
93B11 System structure simplification
93A99 General systems theory
93E03 Stochastic systems in control theory (general)
65K10 Numerical optimization and variational techniques
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