Dynamical low-rank approximations of solutions to the Hamilton--Jacobi--Bellman equation
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Date
2021
Journal Title
Journal ISSN
Volume Title
Publisher
Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik
Abstract
We present a novel method to approximate optimal feedback laws for nonlinar optimal control basedon low-rank tensor train (TT) decompositions. The approach is based on the Dirac-Frenkel variationalprinciple with the modification that the optimisation uses an empirical risk. Compared to currentstate-of-the-art TT methods, our approach exhibits a greatly reduced computational burden whileachieving comparable results. A rigorous description of the numerical scheme and demonstrations ofits performance are provided.
Description
Keywords
Dynamical low-rank approximation, feedback control, Hamilton-Jacobi-Bellman, variational Monte Carlo, tensor product approximation
Citation
Citation
Eigel, M., Schneider, R., & Sommer, D. (2021). Dynamical low-rank approximations of solutions to the Hamilton--Jacobi--Bellman equation (Version publishedVersion, Vol. 2896). Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik. https://doi.org//10.20347/WIAS.PREPRINT.2896