2 papers
math.NA2024
Low-rank plus diagonal approximations for Riccati-like matrix differential equations
Silvère Bonnabel, Marc Lambert, Francis Bach
We consider the problem of computing tractable approximations of time-dependent d x d large positive semi-definite (PSD) matrices defined as solutions of a matrix differential equa…
math.OC2024
Variational Dynamic Programming for Stochastic Optimal Control
Marc Lambert, Francis Bach, Silvère Bonnabel
We consider the problem of stochastic optimal control, where the state-feedback control policies take the form of a probability distribution and where a penalty on the entropy is a…