dolgov/TT-IRT

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14
Rank 1,438,076 (Top 29 %)
Language
MATLAB
License
BSD 2-Clause "Sim...
Created about 6 years ago
Updated about 1 year ago

dolgov/TT-IRT

dolgov

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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

TT-FFT-COV

Field generation and kriging using circulant covariance matrix and TT approximations

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