Simulation-based approximate solution of large-scale linear least squares problems and applications
Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2010.
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| Format: | Thesis |
| Language: | eng |
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Massachusetts Institute of Technology
2010
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| Online Access: | http://hdl.handle.net/1721.1/58388 |
| _version_ | 1811083962405093376 |
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| author | Wang, Mengdi |
| author2 | Dimitri P. Bertsekas. |
| author_facet | Dimitri P. Bertsekas. Wang, Mengdi |
| author_sort | Wang, Mengdi |
| collection | MIT |
| description | Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2010. |
| first_indexed | 2024-09-23T12:42:23Z |
| format | Thesis |
| id | mit-1721.1/58388 |
| institution | Massachusetts Institute of Technology |
| language | eng |
| last_indexed | 2024-09-23T12:42:23Z |
| publishDate | 2010 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/583882019-04-12T16:10:01Z Simulation-based approximate solution of large-scale linear least squares problems and applications Wang, Mengdi Dimitri P. Bertsekas. Massachusetts Institute of Technology. Dept. of Electrical Engineering and Computer Science. Massachusetts Institute of Technology. Dept. of Electrical Engineering and Computer Science. Electrical Engineering and Computer Science. Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2010. Cataloged from PDF version of thesis. Includes bibliographical references (p. 94-99). We consider linear least squares problems, or linear systems that can be formulated into least squares problems, of very large dimension, such as those arising for example in dynamic programming (DP) and inverse problems. We introduce an associated approximate problem, within a subspace spanned by a relatively small number of basis functions, and solution methods that use simulation, importance sampling, and low-dimensional calculations. The main components of this methodology are a regression/ regularization approach that can deal with nearly singular problems, and an importance sampling design approach that exploits existing continuity structures in the underlying models, and allows the solution of very large problems. We also investigate the use of our regression/regularization approach in temporal difference-type methods in the context of approximate DP. Finally we demonstrate the application of our methodology in a series of practical large-scale examples arising from Fredholm integral equations of the first kind. by Mengdi Wang. S.M. 2010-09-03T18:33:10Z 2010-09-03T18:33:10Z 2010 2010 Thesis http://hdl.handle.net/1721.1/58388 635976296 eng M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission. http://dspace.mit.edu/handle/1721.1/7582 99 p. application/pdf Massachusetts Institute of Technology |
| spellingShingle | Electrical Engineering and Computer Science. Wang, Mengdi Simulation-based approximate solution of large-scale linear least squares problems and applications |
| title | Simulation-based approximate solution of large-scale linear least squares problems and applications |
| title_full | Simulation-based approximate solution of large-scale linear least squares problems and applications |
| title_fullStr | Simulation-based approximate solution of large-scale linear least squares problems and applications |
| title_full_unstemmed | Simulation-based approximate solution of large-scale linear least squares problems and applications |
| title_short | Simulation-based approximate solution of large-scale linear least squares problems and applications |
| title_sort | simulation based approximate solution of large scale linear least squares problems and applications |
| topic | Electrical Engineering and Computer Science. |
| url | http://hdl.handle.net/1721.1/58388 |
| work_keys_str_mv | AT wangmengdi simulationbasedapproximatesolutionoflargescalelinearleastsquaresproblemsandapplications |