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math.OC2021
Approximating optimal feedback controllers of finite horizon control problems using hierarchical tensor formats
Mathias Oster, Leon Sallandt, Reinhold Schneider
Controlling systems of ordinary differential equations (ODEs) is ubiquitous in science and engineering. For finding an optimal feedback controller, the value function and associate…
math.OC2020
Approximative Policy Iteration for Exit Time Feedback Control Problems driven by Stochastic Differential Equations using Tensor Train format
Konstantin Fackeldey, Mathias Oster, Leon Sallandt +1
We consider a stochastic optimal exit time feedback control problem. The Bellman equation is solved approximatively via the Policy Iteration algorithm on a polynomial ansatz space…