This MATLAB repository contains code for the numerical results of the following paper:
- König, J., Lie, H. C. "Posterior error bounds for prior-driven balancing in linear Gaussian inverse problems".
The work in [1] proposes error bounds for the posterior mean and covariance approximation in linear Gaussian inverse problems, in which the forward model is reduced via prior-driven balanced truncation (PD-BT) [2]. Additionally, we include theoretical bounds and code for the time-limited version of PD-BT, comparing both bounds to the absolute errors in the numerical example given in this repository. This work uses code from [2] (to be found at https://github.com/joskoUP/PD-BT/).
To run this code, you need the MATLAB Control System Toolbox. The data file iss1R.mat was retrieved from SLICOT.
To generate Figure 1 from the paper, run the ISS_PDBT_both_bounds.m script.
- König, J., Qian, E., Freitag, M. A. "Dimension and model reduction approaches for linear Bayesian inverse problems with rank-deficient prior covariances."
Please feel free to contact Josie König with any questions about this repository or the associated paper.