8 citations · 12 across the 6 of their papers we have counts for
3 papers · 1 filter
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…
Pricing high-dimensional Bermudan options with hierarchical tensor formats
Christian Bayer, Martin Eigel, Leon Sallandt +1
An efficient compression technique based on hierarchical tensors for popular option pricing methods is presented. It is shown that the "curse of dimensionality" can be alleviated f…
Solving high-dimensional parabolic PDEs using the tensor train format
Lorenz Richter, Leon Sallandt, Nikolas Nüsken
High-dimensional partial differential equations (PDEs) are ubiquitous in economics, science and engineering. However, their numerical treatment poses formidable challenges since tr…