Linear quadratic Gaussian (LQG) balanced truncation is a model reduction technique for possibly unstable linear time-invariant systems which are to be controlled by an LQG controller. In contrast to the classical balanced truncation approach, the LQG balancing procedure is based on the closed-loop system behavior rather than on the transfer function of the open-loop system. Furthermore, LQG...
We introduce a novel procedure for computing an SVD-type approximation of a matrix $\mathbf{A}\in\mathbb{R}^{m\times n}$, $m\geq n$. Specifically, we propose a randomization-based algorithm that improves over the standard Randomized Singular Value Decomposition (RSVD). Most significantly, our approach, the Row-aware RSVD (R-RSVD), explicitly constructs information from the row space of...
