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.
Simple structure and other common principles of factor rotation do not in general provide strong grounds for attributing explanatory significance to the factors which they select. In contrast, it is shown that an extension of Cattell's principle of rotation to Proportional Profiles (PP) offers a basis for determining explanatory factors for three-way or higher order multi-mode data. Conceptual models are developed for two basic patterns of multi-mode data variation, systemand object-variation, and PP analysis is found to apply in the system-variation case. Although PP was originally formulated as a principle of rotation to be used with classic two-way factor analysis, it is shown to embody a latent three-mode factor model, which is here made explicit and generalized frown two to N "parallel occasions". As originally formulated, PP rotation was restricted to orthogonal factors. The generalized PP model is demonstrated to give unique "correct" solutions with oblique, non-simple structure, and even non-linear factor structures. A series of tests, conducted with synthetic data of known factor composition, demonstrate the capabilities of linear and non-linear versions of the model, provide data on the minimal necessary conditions of uniqueness, and reveal the properties of the analysis procedures when these minimal conditions are not fulfilled. In addition, a mathematical proof is presented for the uniqueness of the solution given certain conditions on the data. Three-mode PP factor analysis is applied to a three-way set of real data consisting of the fundamental and first three formant frequencies of 11 persons saying 8 vowels. A unique solution is extracted, consisting of three factors which are highly meaningful and consistent with prior knowledge and theory concerning vowel quality. The relationships between the three-mode PP model and Tucker's multi-modal model, McDonald's non-linear model and Carroll and Chang's multi-dimensional scaling model are explored. In this paper we consider sparsity on a tensor level, as given by the n-rank of a tensor. In an important sparse-vector approximation problem (compressed sensing) and the low-rank matrix recovery problem, using a convex relaxation technique proved to be a valuable solution strategy. Here, we will adapt these techniques to the tensor setting. We use the n-rank of a tensor as a sparsity measure and consider the low-n-rank tensor recovery problem, i.e. the problem of finding the tensor of the lowest n-rank that fulfills some linear constraints. We introduce a tractable convex relaxation of the n-rank and propose efficient algorithms to solve the low-n-rank tensor recovery problem numerically. The algorithms are based on the Douglas–Rachford splitting technique and its dual variant, the alternating direction method of multipliers. Abstract In the present paper, we give a survey of the recent results and outline future prospects of the tensor-structured numerical methods in applications to multidimensional problems in scientific computing. The guiding principle of the tensor methods is an approximation of multivariate functions and operators relying on a certain separation of variables. Along with the traditional canonical and Tucker models, we focus on the recent quantics-TT tensor approximation method that allows to represent N-d tensors with log-volume complexity, O ( d log N ). We outline how these methods can be applied in the framework of tensor truncated iteration for the solution of the high-dimensional elliptic parabolic equations and parametric PDEs. Numerical examples demonstrate that the tensor-structured methods have proved their value in application to various computational problems arising in quantum chemistry and in the multi-dimensional parametric FEM BEM modeling—the tool apparently works and gives the promise for future use in challenging high-dimensional applications. In applications throughout science and engineering one is often faced with the challenge of solving an ill-posed inverse problem, where the number of available measurements is smaller than the dimension of the model to be estimated. However in many practical situations of interest, models are constrained structurally so that they only have a few degrees of freedom relative to their ambient dimension. This paper provides a general framework to convert notions of simplicity into convex penalty functions, resulting in convex optimization solutions to linear, underdetermined inverse problems. The class of simple models considered includes those formed as the sum of a few atoms from some (possibly infinite) elementary atomic set; examples include well-studied cases from many technical fields such as sparse vectors (signal processing, statistics) and low-rank matrices (control, statistics), as well as several others including sums of a few permutation matrices (ranked elections, multiobject tracking), low-rank tensors (computer vision, neuroscience), orthogonal matrices (machine learning), and atomic measures (system identification). The convex programming formulation is based on minimizing the norm induced by the convex hull of the atomic set; this norm is referred to as the atomic norm. The facial structure of the atomic norm ball carries a number of favorable properties that are useful for recovering simple models, and an analysis of the underlying convex geometry provides sharp estimates of the number of generic measurements required for exact and robust recovery of models from partial information. These estimates are based on computing the Gaussian widths of tangent cones to the atomic norm ball. When the atomic set has algebraic structure the resulting optimization problems can be solved or approximated via semidefinite programming. The quality of these approximations affects the number of measurements required for recovery, and this tradeoff is characterized via some examples. Thus this work extends the catalog of simple models (beyond sparse vectors and low-rank matrices) that can be recovered from limited linear information via tractable convex programming. An individual differences model for multidimensional scaling is outlined in which individuals are assumed differentially to weight the several dimensions of a common “psychological space”. A corresponding method of analyzing similarities data is proposed, involving a generalization of “Eckart-Young analysis” to decomposition of three-way (or higher-way) tables. In the present case this decomposition is applied to a derived three-way table of scalar products between stimuli for individuals. This analysis yields a stimulus by dimensions coordinate matrix and a subjects by dimensions matrix of weights. This method is illustrated with data on auditory stimuli and on perception of nations. Nearly every numerical analysis algorithm has computational complexity that scales exponentially in the underlying physical dimension. The separated representation, introduced previously, allows many operations to be performed with scaling that is formally linear in the dimension. In this paper we further develop this representation by (i) discussing the variety of mechanisms that allow it to be surprisingly efficient; (ii) addressing the issue of conditioning; (iii) presenting algorithms for solving linear systems within this framework; and (iv) demonstrating methods for dealing with antisymmetric functions, as arise in the multiparticle Schrodinger equation in quantum mechanics. Numerical examples are given. Abstract We prove that computing the rank of a three-dimensional tensor over any finite field is NP-complete. Over the rational numbers the problem is NP-hard. This paper addresses the curse of dimensionality in the numerical solution of stationary Fokker-Planck equa- tions. Combined with Chebyshev spectral differentiation, the tensor approach significantly reduces the degrees of freedom of the approximation essentially in exchange for nonlinearity, such that the resulting discretized nonlinear system is solved by alternating least squares. Enforcement of the normality condition via a penalty method avoids the need for exploration of the the null space of the discretized Fokker-Planck operator. The proposed method enables a drastic reduction of degrees of freedom required to maintain accuracy as dimensionality increases. Numerical results are presented to illustrate the effectiveness of the proposed method. I. INTRODUCTION