Projected equation methods for approximate solution of large linear systems |
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Authors: | Dimitri P Bertsekas Huizhen Yu |
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Institution: | 1. Department of Electr. Engineering and Comp. Science, M.I.T., Cambridge, MA, 02139, United States;2. Helsinki Institute for Information Technology, University of Helsinki, Finland |
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Abstract: | We consider linear systems of equations and solution approximations derived by projection on a low-dimensional subspace. We propose stochastic iterative algorithms, based on simulation, which converge to the approximate solution and are suitable for very large-dimensional problems. The algorithms are extensions of recent approximate dynamic programming methods, known as temporal difference methods, which solve a projected form of Bellman’s equation by using simulation-based approximations to this equation, or by using a projected value iteration method. |
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Keywords: | Linear equations Projected equations Dynamic programming Temporal differences Simulation Value iteration Jacobi method |
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