Tensor decomposition and high-performance computing for solving high-dimensional stochastic control system numerically

DOI10.1007/s11424-021-0126-0zbMath1485.91249OpenAlexW3129120974MaRDI QIDQ2121191

Yidong Chen, Zhonghua Lu

Publication date: 1 April 2022

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-021-0126-0

zbMATH Keywords

tensor decompositionstochastic control systemseparated representationDC pension modelhigh-dimensional HJB equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99) Actuarial mathematics (91G05)

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