A lithographic projection apparatus contains a projection system configured to project a patterned beam of radiation onto a target portion of a substrate. The projection system contains one or more optically active mirrors and heat shields located to intercept heat radiation to or from the mirrors and/or their support. The heat shields are actively cooled and the mirrors and the heat shields and the mirrors are supported separately on a support frame to reduce vibration of the mirrors due to active cooling. The heat shields may include heat shields that intercept heat radiation to or from the support and/or respective heat shields for individual mirrors that intercept heat radiation to or from the mirrors.