Dynamical low‐rank approximations of solutions to the Hamilton–Jacobi–Bellman equation

DOI10.1002/NLA.2463MaRDI QIDQ6133039zbMATH OpenOpenAlexWikidataFDO

Authors Martin Eigel, Reinhold Schneider, David Sommer

Publication date 17 August 2023

Published in Numerical Linear Algebra with Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2111.14540

feedback control variational Monte Carlo tensor product approximation Hamilton-Jacobi-Bellman dynamical low-rank approximation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Multilinear algebra, tensor calculus (15A69) Numerical methods based on nonlinear programming (49M37) Dynamic programming in optimal control and differential games (49L20) Feedback control (93B52) Numerical methods for low-rank matrix approximation; matrix compression (65F55) Computational methods for problems pertaining to systems and control theory (93-08)

Abstract: We present a novel method to approximate optimal feedback laws for nonlinear optimal control based on low-rank tensor train (TT) decompositions. The approach is based on the Dirac-Frenkel variational principle with the modification that the optimisation uses an empirical risk. Compared to current state-of-the-art TT methods, our approach exhibits a greatly reduced computational burden while achieving comparable results. A rigorous description of the numerical scheme and demonstrations of its performance are provided.

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