TTRISK: Tensor train decomposition algorithm for risk averse optimization

DOI10.1002/nla.2481arXiv2111.05180OpenAlexW3213872578MaRDI QIDQ6133042

Harbir Antil, Sergey V. Dolgov, Akwum Onwunta

Publication date: 17 August 2023

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

Full work available at URL: https://arxiv.org/abs/2111.05180

zbMATH Keywords

preconditionerrisk measuresCVaRfull spacetensor trainreduced spaceTTRISK

Mathematics Subject Classification ID

Factorization of matrices (15A23) Optimality conditions for problems involving partial differential equations (49K20) Stochastic programming (90C15) Optimal stochastic control (93E20) Algorithms for approximation of functions (65D15) Multilinear algebra, tensor calculus (15A69) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)

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