dolgov/TT-FFT-COV

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MATLAB
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GNU General Publi...
Created over 5 years ago
Updated almost 5 years ago

dolgov/TT-FFT-COV

dolgov

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Field generation and kriging using circulant covariance matrix and TT approximations

TT-IRT

Inverse Rosenblatt Transform (Conditional Distribution) + MCMC sampling using Tensor Train approximation

TT-HJB

Tensor Train implementation of Newton policy iteration for Hamilton-Jacobi-Bellman equations

tamen

MATLAB implementation of the time-dependent AMEn algorithm in the tensor train format with the cell array storage.

TTRISK

TTRISK algorithm for risk averse optimization with tensor trains