Model Reduction of Linear Dynamical Systems via Balancing for Bayesian Inference

1 code implementation • 25 Nov 2021 • Elizabeth Qian, Jemima M. Tabeart, Christopher Beattie, Serkan Gugercin, Jiahua Jiang, Peter R. Kramer, Akil Narayan

We introduce Gramian definitions relevant to the inference setting and propose a balanced truncation approach based on these inference Gramians that yield a reduced dynamical system that can be used to cheaply approximate the posterior mean and covariance.

Bayesian Inference Dimensionality Reduction