Projected Equation Methods for Approximate Solution of Large Linear Systems1
نویسندگان
چکیده
We consider linear systems of equations and solution approximations derived by projection on a lowdimensional 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.
منابع مشابه
Projected equation methods for approximate solution of large linear systems
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 meth...
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