TT-QI: faster value iteration in tensor train format for stochastic optimal control

DOI10.1134/S0965542521050043zbMath1469.49026OpenAlexW3185610096MaRDI QIDQ2038496

Yanyan Li

Publication date: 7 July 2021

Published in: Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0965542521050043

zbMATH Keywords

optimal controldynamic programmingMarkov decision process (MDP)low rank decompositionMarkov chain approximation (MCA)

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimality conditions for problems involving randomness (49K45) Numerical linear algebra (65F99)

Related Items (1)

New applications of matrix methods

Cites Work

• TT-cross approximation for multidimensional arrays
• Controlled Markov processes and viscosity solutions
• Breaking the Curse of Dimensionality, Or How to Use SVD in Many Dimensions
• Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
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