TTRISK: Tensor train decomposition algorithm for risk averse optimization

DOI10.1002/nla.2481arXiv2111.05180MaRDI 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

preconditioner; risk measures; CVaR; full space; tensor train; reduced space; TTRISK

Mathematics Subject Classification ID

15A23: Factorization of matrices

49K20: Optimality conditions for problems involving partial differential equations

90C15: Stochastic programming

93E20: Optimal stochastic control

65D15: Algorithms for approximation of functions

15A69: Multilinear algebra, tensor calculus

49K45: Optimality conditions for problems involving randomness

49J55: Existence of optimal solutions to problems involving randomness

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