Related papers: Comparative study of matrix product state/quantize…
Pricing multi-asset options via the Black-Scholes PDE is limited by the curse of dimensionality: classical full-grid solvers scale exponentially in the number of underlyings and are effectively restricted to three assets. Practitioners…
In the framework of tensor spaces, we consider orthogonalization kernels to generate an orthogonal basis of a tensor subspace from a set of linearly independent tensors. In particular, we experimentally study the loss of orthogonality of…
General multivariate distributions are notoriously expensive to sample from, particularly the high-dimensional posterior distributions in PDE-constrained inverse problems. This paper develops a sampler for arbitrary continuous multivariate…
Efficient encoding of classical information plays a fundamental role in numerous practical quantum algorithms. However, the preparation of an arbitrary amplitude-encoded state has been proven to be time-consuming, and its deployment on…
Systems of correlated quantum matter can be a steep challenge to any would-be method of solution. Matrix-product state (MPS)-based methods can describe 1D systems quasiexactly, but often struggle to retain sufficient bipartite entanglement…
Single-stage or single-step high-order temporal discretizations of partial differential equations (PDEs) have shown great promise in delivering high-order accuracy in time with efficient use of computational resources. There has been much…
Recent years have seen rapid advances in the data-driven analysis of dynamical systems based on Koopman operator theory and related approaches. On the other hand, low-rank tensor product approximations -- in particular the tensor train (TT)…
In this paper we solve $m$-parameter eigenvalue problems ($m$EPs), with $m$ any natural number by representing the problem using Tensor-Trains (TT) and designing a method based on this format. $m$EPs typically arise when separation of…
The extent to which quantum computers can simulate physical phenomena and solve the partial differential equations (PDEs) that govern them remains a central open question. In this work, one of the most fundamental PDEs is addressed: the…
In this paper, a highly parallel and derivative-free martingale neural network learning method is proposed to solve Hamilton-Jacobi-Bellman (HJB) equations arising from stochastic optimal control problems (SOCPs), as well as general…
We introduce a fully discrete scheme to solve a class of high-dimensional Mean Field Games systems. Our approach couples semi-Lagrangian (SL) time discretizations with Tensor-Train (TT) decompositions to tame the curse of dimensionality. By…
We study a stability preserved Arnoldi algorithm for matrix exponential in the time domain simulation of large-scale power delivery networks (PDN), which are formulated as semi-explicit differential algebraic equations (DAEs). The solution…
This paper addresses the problem of planning under uncertainty in large Markov Decision Processes (MDPs). Factored MDPs represent a complex state space using state variables and the transition model using a dynamic Bayesian network. This…
Direct numerical simulation (DNS) of turbulent reactive flows has been the subject of significant research interest for several decades. Accurate prediction of the effects of turbulence on the rate of reactant conversion, and the subsequent…
Tensor networks and quantum computation are two of the most powerful tools for the simulation of quantum many-body systems. Rather than viewing them as competing approaches, here we consider how these two methods can work in tandem. We…
In this note, we describe a method for reconstructing matrix product states from a small number of efficiently-implementable measurements. Our method is exponentially faster than standard tomography, and it can also be used to certify that…
Characteristic functions of weighted sums of independent random variables exhibit low-rank structure in the quantized tensor train (QTT) representation, also known as matrix product states (MPS), enabling up to exponential compression of…
Semidefinite programming (SDP) is a central topic in mathematical optimization with extensive studies on its efficient solvers. In this paper, we present a proof-of-principle sublinear-time algorithm for solving SDPs with low-rank…
Quantized tensor trains (QTTs) are a low-rank and multiscale framework that allows for efficient approximation and manipulation of multi-dimensional, high resolution data. One area of active research is their use in numerical simulation of…
Tensor-network techniques have enjoyed outstanding success in physics, and have recently attracted attention in machine learning, both as a tool for the formulation of new learning algorithms and for enhancing the mathematical understanding…