TT-QI: Faster Value Iteration in Tensor Train Format for Stochastic Optimal Control

The problem of general non-linear stochastic optimal control with small Wiener noise is studied. The problem is approximated by a Markov Decision Process. Bellman Equation is solved using Value Iteration (VI) algorithm in the low rank Tensor Train format (TT-VI). In this paper a modification of the...

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Veröffentlicht in:	Computational mathematics and mathematical physics 2021-05, Vol.61 (5), p.836-846
Hauptverfasser:	Boyko, A. I., Oseledets, I. V., Ferrer, G.
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Asymptotic methods Computational Mathematics and Numerical Analysis Format Markov processes Mathematical analysis Mathematics Mathematics and Statistics Mathematics, Applied Noise control Nonlinear control Optimal Control Optimization Physical Sciences Physics Physics, Mathematical Railroad cars Science & Technology Tensors Transition probabilities
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