Dynamical low-rank approximations of solutions to the Hamilton--Jacobi--Bellman equation
dc.bibliographicCitation.volume | 2896 | |
dc.contributor.author | Eigel, Martin | |
dc.contributor.author | Schneider, Reinhold | |
dc.contributor.author | Sommer, David | |
dc.date.accessioned | 2022-07-05T14:37:18Z | |
dc.date.available | 2022-07-05T14:37:18Z | |
dc.date.issued | 2021 | |
dc.description.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. | eng |
dc.description.version | publishedVersion | eng |
dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/9614 | |
dc.identifier.uri | https://doi.org/10.34657/8652 | |
dc.language.iso | eng | |
dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | |
dc.relation.doi | https://doi.org/10.20347/WIAS.PREPRINT.2896 | |
dc.relation.issn | 2198-5855 | |
dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
dc.subject | Dynamical low-rank approximation | eng |
dc.subject | feedback control | eng |
dc.subject | Hamilton-Jacobi-Bellman | eng |
dc.subject | variational Monte Carlo | eng |
dc.subject | tensor product approximation | eng |
dc.subject.ddc | 510 | |
dc.title | Dynamical low-rank approximations of solutions to the Hamilton--Jacobi--Bellman equation | eng |
dc.type | report | eng |
dc.type | Text | eng |
dcterms.bibliographicCitation.journalTitle | Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik | |
dcterms.extent | 24 S. | |
tib.accessRights | openAccess | |
wgl.contributor | WIAS | |
wgl.subject | Mathematik | |
wgl.type | Report / Forschungsbericht / Arbeitspapier |
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