Reverse diffusion sampling with tensor train approximations of Hamilton-Jacobi-Bellman equations

DOI10.1137/24M1637210MaRDI QIDQ6876878zbMATH OpenFDO

Authors Robert Gruhlke, David Sommer, Max Kirstein, Martin Eigel, Claudia Schillings

Publication date 9 January 2026

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

zbMATH Keywords

Hamilton-Jacobi-Bellmanapproximate samplinglow-rank tensorsgenerative modeling

Mathematics Subject Classification ID

Bayesian inference (62F15) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Hamilton-Jacobi equations (35F21) Fokker-Planck equations (35Q84) Numerical solutions to stochastic differential and integral equations (65C30)

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