The Hamilton Jacobi Bellman Equation (HJB) provides the globally optimal solution to large classes of control problems. Unfortunately, this generality comes at a price, the calculation of such solutions is typically intractible for systems with more than moderate state space size due to the curse of dimensionality. This work combines recent results in the structure of the HJB, and its reduction to a linear Partial Differential Equation (PDE), with methods based on low rank tensor representations, known as a separated representations, to address the curse of dimensionality. The result is an algorithm to solve optimal control problems which scales linearly with the number of states in a system, and is applicable to systems that are nonlinear with stochastic forcing in finite-horizon, average cost, and first-exit settings. The method is demonstrated on inverted pendulum, VTOL aircraft, and quadcopter models, with system dimension two, six, and twelve respectively.
Tensor approximations have historically been developed with the goal of approximating high dimensional data, yielding rise to the framework used here under the names CANDECOMP PARAFAC @cite_26 @cite_32 . However, @cite_6 demonstrated that these approximation techniques were applicable to the linear systems describing discretized PDEs. This technique has been applied in several domains, including computational chemistry and quantum physics, among others @cite_9 . In particular, @cite_5 examines their use in the context of stationary Fokker-Planck equations. There are interesting connections between the fundamental task of these techniques, approximating a tensor with one of lower rank, and convex relaxation based methods @cite_42 @cite_36 . Unfortunately, low rank tensor approximation is NP-hard in general, and an optimal solution is not to be expected @cite_0 .
@cite_26 @cite_36 @cite_9 @cite_42 @cite_32 @cite_6 @cite_0 @cite_5
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CANDECOMP PARAFAC (CP) tensor factorization of incomplete data is a powerful technique for tensor completion through explicitly capturing the multilinear latent factors. The existing CP algorithms require the tensor rank to be manually specified, however, the determination of tensor rank remains a challenging problem especially for CP rank . In addition, existing approaches do not take into account uncertainty information of latent factors, as well as missing entries. To address these issues, we formulate CP factorization using a hierarchical probabilistic model and employ a fully Bayesian treatment by incorporating a sparsity-inducing prior over multiple latent factors and the appropriate hyperpriors over all hyperparameters, resulting in automatic rank determination. To learn the model, we develop an efficient deterministic Bayesian inference algorithm, which scales linearly with data size. Our method is characterized as a tuning parameter-free approach, which can effectively infer underlying multilinear factors with a low-rank constraint, while also providing predictive distributions over missing entries. Extensive simulations on synthetic data illustrate the intrinsic capability of our method to recover the ground-truth of CP rank and prevent the overfitting problem, even when a large amount of entries are missing. Moreover, the results from real-world applications, including image inpainting and facial image synthesis, demonstrate that our method outperforms state-of-the-art approaches for both tensor factorization and tensor completion in terms of predictive performance. Given an input tensor, its CANDECOMP PARAFAC decomposition (or CPD) is a low-rank representation. CPDs are of particular interest in data analysis and mining, especially when the data tensor is sparse and of higher order (dimension). This paper focuses on the central bottleneck of a CPD algorithm, which is evaluating a sequence of matricized tensor times Khatri-Rao products (MTTKRPs). To speed up the MTTKRP sequence, we propose a novel, adaptive tensor memoization algorithm, AdaTM. Besides removing redundant computations within the MTTKRP sequence, which potentially reduces its overall asymptotic complexity, our technique also allows a user to make a space-time tradeoff by automatically tuning algorithmic and machine parameters using a model-driven framework. Our method improves as the tensor order grows, making its performance more scalable for higher-order data problems. We show speedups of up to 8× and 820× on real sparse data tensors with orders as high as 85 over the SPLATT package and Tensor Toolbox library respectively; and on a full CPD algorithm (CP-ALS), AdaTM can be up to 8× faster than state-of-the-art method implemented in SPLATT. Tensor CANDECOMP PARAFAC (CP) decomposition has wide applications in statistical learning of latent variable models and in data mining. In this paper, we propose fast and randomized tensor CP decomposition algorithms based on sketching. We build on the idea of count sketches, but introduce many novel ideas which are unique to tensors. We develop novel methods for randomized computation of tensor contractions via FFTs, without explicitly forming the tensors. Such tensor contractions are encountered in decomposition methods such as tensor power iterations and alternating least squares. We also design novel colliding hashes for symmetric tensors to further save time in computing the sketches. We then combine these sketching ideas with existing whitening and tensor power iterative techniques to obtain the fastest algorithm on both sparse and dense tensors. The quality of approximation under our method does not depend on properties such as sparsity, uniformity of elements, etc. We apply the method for topic modeling and obtain competitive results. Recent achievements in the field of tensor product approximation provide promising new formats for the representation of tensors in form of tree tensor networks. In contrast to the canonical @math -term representation (CANDECOMP, PARAFAC), these new formats provide stable representations, while the amount of required data is only slightly larger. The tensor train (TT) format [SIAM J. Sci. Comput., 33 (2011), pp. 2295-2317], a simple special case of the hierarchical Tucker format [J. Fourier Anal. Appl., 5 (2009), p. 706], is a useful prototype for practical low-rank tensor representation. In this article, we show how optimization tasks can be treated in the TT format by a generalization of the well-known alternating least squares (ALS) algorithm and by a modified approach (MALS) that enables dynamical rank adaptation. A formulation of the component equations in terms of so-called retraction operators helps to show that many structural properties of the original problems transfer to the micro-iterations, giving what is to our knowledge the first stable generic algorithm for the treatment of optimization tasks in the tensor format. For the examples of linear equations and eigenvalue equations, we derive concrete working equations for the micro-iteration steps; numerical examples confirm the theoretical results concerning the stability of the TT decomposition and of ALS and MALS but also show that in some cases, high TT ranks are required during the iterative approximation of low-rank tensors, showing some potential of improvement.