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

DOI10.1002/NLA.2463arXiv2111.14540OpenAlexW3216224139WikidataQ113913600 ScholiaQ113913600MaRDI QIDQ6133039FDOQ6133039

Authors: Martin Eigel, Reinhold Schneider, David Sommer 

Publication date: 17 August 2023

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

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.

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

zbMATH Keywords

feedback controlvariational Monte Carlotensor product approximationHamilton-Jacobi-Bellmandynamical 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)

This page was built for publication: Dynamical low‐rank approximations of solutions to the Hamilton–Jacobi–Bellman equation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6133039)