Linear Hamilton Jacobi Bellman Equations in High Dimensions

The Hamilton Jacobi Bellman Equation (HJB) provides the globally optimal solution to large classes of control problems. Unfortunately, this generality comes at a price, the calculation of such solutions is typically intractible for systems with more than moderate state space size due to the curse of dimensionality. This work combines recent results in the structure of the HJB, and its reduction to a linear Partial Differential Equation (PDE), with methods based on low rank tensor representations, known as a separated representations, to address the curse of dimensionality. The result is an algorithm to solve optimal control problems which scales linearly with the number of states in a system, and is applicable to systems that are nonlinear with stochastic forcing in finite-horizon, average cost, and first-exit settings. The method is demonstrated on inverted pendulum, VTOL aircraft, and quadcopter models, with system dimension two, six, and twelve respectively.Comment: 8 pages. Accepted to CDC 201

On the reducibility of induced representations for classical p-adic groups and related affine Hecke algebras

Let $\pi$ be an irreducible smooth complex representation of a general linear $p$-adic group and let $\sigma$ be an irreducible complex supercuspidal representation of a classical $p$-adic group of a given type, so that $\pi\otimes\sigma$ is a representation of a standard Levi subgroup of a $p$-adic classical group of higher rank. We show that the reducibility of the representation of the appropriate $p$-adic classical group obtained by (normalized) parabolic induction from $\pi\otimes\sigma$ does not depend on $\sigma$, if $\sigma$ is "separated" from the supercuspidal support of $\pi$. (Here, "separated" means that, for each factor $\rho$ of a representation in the supercuspidal support of $\pi$, the representation parabolically induced from $\rho\otimes\sigma$ is irreducible.) This was conjectured by E. Lapid and M. Tadi\'c. (In addition, they proved, using results of C. Jantzen, that this induced representation is always reducible if the supercuspidal support is not separated.) More generally, we study, for a given set $I$ of inertial orbits of supercuspidal representations of $p$-adic general linear groups, the category \CC _{I,\sigma} of smooth complex finitely generated representations of classical $p$-adic groups of fixed type, but arbitrary rank, and supercuspidal support given by $\sigma$ and $I$, show that this category is equivalent to a category of finitely generated right modules over a direct sum of tensor products of extended affine Hecke algebras of type $A$, $B$ and $D$ and establish functoriality properties, relating categories with disjoint $I$'s. In this way, we extend results of C. Jantzen who proved a bijection between irreducible representations corresponding to these categories. The proof of the above reducibility result is then based on Hecke algebra arguments, using Kato's exotic geometry.Comment: 21 pages, the results of the paper have been improved thanks to the remarks and encouragements of the anonymous refere