Category Archives: Mathematics

Regression to help in finding the optimal policy in MDPs based on duality theory

April 26, 2018 07:44 ,

H. Zhu, F. Ye and E. Zhou, Solving the Dual Problems of Dynamic Programs via Regression, IEEE Transactions on Automatic Control, vol. 63, no. 5, pp. 1340-1355, DOI: 10.1109/TAC.2017.2747405.

In recent years, information relaxation and duality in dynamic programs have been studied extensively, and the resulted primal-dual approach has become a powerful procedure in solving dynamic programs by providing lower-upper bounds on the optimal value function. Theoretically, with the so-called value-based optimal dual penalty, the optimal value function could be recovered exactly via strong duality. However, in practice, obtaining tight dual bounds usually requires good approximations of the optimal dual penalty, which could be time consuming if analytical computation is not possible and nested simulation has to be used to estimate the conditional expectations inside the dual penalty. In this paper, we will develop a framework of a regression approach to approximating the optimal dual penalty in a nonnested manner, by exploring the structure of the function space consisting of all feasible dual penalties. The resulted approximations maintain to be feasible dual penalties, and thus yielding valid dual bounds on the optimal value function. We show that the proposed framework is computationally efficient, and the resulted dual penalties lead to numerically tractable dual problems. Finally, we apply the framework to a high-dimensional dynamic trading problem to demonstrate its effectiveness in solving the dual problems of complex dynamic programs.

Posted in: Probability and statistics , Tagged: ,

POMDPs aware of the data association problem

March 29, 2018 09:32 ,

Shashank Pathak, Antony Thomas, and Vadim Indelman, A unified framework for data association aware robust belief space planning and perception, The International Journal of Robotics Research Vol 37, Issue 2-3, pp. 287 – 315, DOI: 10.1177/0278364918759606.

We develop a belief space planning approach that advances the state of the art by incorporating reasoning about data association within planning, while considering additional sources of uncertainty. Existing belief space planning approaches typically assume that data association is given and perfect, an assumption that can be harder to justify during operation in the presence of localization uncertainty, or in ambiguous and perceptually aliased environments. By contrast, our data association aware belief space planning (DA-BSP) approach explicitly reasons about data association within belief evolution owing to candidate actions, and as such can better accommodate these challenging real-world scenarios. In particular, we show that, owing to perceptual aliasing, a posterior belief can become a mixture of probability distribution functions and design cost functions, which measure the expected level of ambiguity and posterior uncertainty given candidate action. Furthermore, we also investigate more challenging situations, such as when prior belief is multimodal and when data association aware planning is performed over several look-ahead steps. Our framework models the belief as a Gaussian mixture model. Another unique aspect of this approach is that the number of components of this Gaussian mixture model can increase as well as decrease, thereby reflecting reality more accurately. Using these and standard costs (e.g. control penalty, distance to goal) within the objective function yields a general framework that reliably represents action impact and, in particular, is capable of active disambiguation. Our approach is thus applicable to both robust perception in a passive setting with data given a priori and in an active setting, such as in autonomous navigation in perceptually aliased environments. We demonstrate key aspects of DA-BSP in a theoretical example, in a Gazebo-based realistic simulation, and also on the real robotic platform using a Pioneer robot in an office environment.

Posted in: Probability and statistics, Robot task planning , Tagged: ,

Using EKF estimation in a PI controller for improving its performance under noise

March 29, 2018 09:29 ,

Y. Zhou, Q. Zhang, H. Wang, P. Zhou and T. Chai, EKF-Based Enhanced Performance Controller Design for Nonlinear Stochastic Systems, IEEE Transactions on Automatic Control, vol. 63, no. 4, pp. 1155-1162, DOI: 10.1109/TAC.2017.2742661.

In this paper, a novel control algorithm is presented to enhance the performance of the tracking property for a class of nonlinear and dynamic stochastic systems subjected to non-Gaussian noises. Although the existing standard PI controller can be used to obtain the basic tracking of the systems, the desired tracking performance of the stochastic systems is difficult to achieve due to the random noises. To improve the tracking performance, an enhanced performance loop is constructed using the EKF-based state estimates without changing the existing closed loop with a PI controller. Meanwhile, the gain of the enhanced performance loop can be obtained based upon the entropy optimization of the tracking error. In addition, the stability of the closed loop system is analyzed in the mean-square sense. The simulation results are given to illustrate the effectiveness of the proposed control algorithm.

Posted in: Bayesian filtering, Control Engineering , Tagged: ,

A novel method of mathematical compression of the value function for polynomial (in the state) time complexity of value iteration / policy iteration

March 27, 2018 09:01 ,

Alex Gorodetsky, Sertac Karaman, and Youssef Marzouk, High-dimensional stochastic optimal control using continuous tensor decompositions, The International Journal of Robotics Research Vol 37, Issue 2-3, pp. 340 – 377, DOI: 10.1177/0278364917753994.

Motion planning and control problems are embedded and essential in almost all robotics applications. These problems are often formulated as stochastic optimal control problems and solved using dynamic programming algorithms. Unfortunately, most existing algorithms that guarantee convergence to optimal solutions suffer from the curse of dimensionality: the run time of the algorithm grows exponentially with the dimension of the state space of the system. We propose novel dynamic programming algorithms that alleviate the curse of dimensionality in problems that exhibit certain low-rank structure. The proposed algorithms are based on continuous tensor decompositions recently developed by the authors. Essentially, the algorithms represent high-dimensional functions (e.g. the value function) in a compressed format, and directly perform dynamic programming computations (e.g. value iteration, policy iteration) in this format. Under certain technical assumptions, the new algorithms guarantee convergence towards optimal solutions with arbitrary precision. Furthermore, the run times of the new algorithms scale polynomially with the state dimension and polynomially with the ranks of the value function. This approach realizes substantial computational savings in “compressible” problem instances, where value functions admit low-rank approximations. We demonstrate the new algorithms in a wide range of problems, including a simulated six-dimensional agile quadcopter maneuvering example and a seven-dimensional aircraft perching example. In some of these examples, we estimate computational savings of up to 10 orders of magnitude over standard value iteration algorithms. We further demonstrate the algorithms running in real time on board a quadcopter during a flight experiment under motion capture.

Posted in: Probability and statistics, Robot motion planning , Tagged: , , , ,

Improving the estimation of the offset parameter of heavy-tailed distributions through the injection of noise

March 8, 2018 09:17 ,

Y. Pan, F. Duan, F. Chapeau-Blondeau and D. Abbott, Noise Enhancement in Robust Estimation of Location, IEEE Transactions on Signal Processing, vol. 66, no. 8, pp. 1953-1966, DOI: 10.1109/TSP.2018.2802463.

In this paper, we investigate the noise benefits to maximum likelihood type estimators (M-estimator) for the robust estimation of a location parameter. Two distinct noise benefits are shown to be accessible under these conditions. With symmetric heavy-tailed noise distributions, the asymptotic efficiency of the estimation can be enhanced by injecting extra noise into the M-estimators. With an asymmetric contaminated noise model having a convex cumulative distribution function, we demonstrate that addition of noise can reduce the maximum bias of the median estimator. These findings extend the analysis of stochastic resonance effects for noise-enhanced signal and information processing.

Posted in: Probability and statistics , Tagged: ,

A novel approach to use POMDP in practical active perception, where rewards are needed to penalize uncertainty and therefore reomve the piecewise-linear and convex property of the value function

February 11, 2018 09:08 ,

Satsangi, Y., Whiteson, S., Oliehoek, F.A. et al., Exploiting submodular value functions for scaling up active perception, Auton Robot (2018) 42: 209, DOI: 10.1007/s10514-017-9666-5.

In active perception tasks, an agent aims to select sensory actions that reduce its uncertainty about one or more hidden variables. For example, a mobile robot takes sensory actions to efficiently navigate in a new environment. While partially observable Markov decision processes (POMDPs) provide a natural model for such problems, reward functions that directly penalize uncertainty in the agent’s belief can remove the piecewise-linear and convex (PWLC) property of the value function required by most POMDP planners. Furthermore, as the number of sensors available to the agent grows, the computational cost of POMDP planning grows exponentially with it, making POMDP planning infeasible with traditional methods. In this article, we address a twofold challenge of modeling and planning for active perception tasks. We analyze ρ POMDP and POMDP-IR, two frameworks for modeling active perception tasks, that restore the PWLC property of the value function. We show the mathematical equivalence of these two frameworks by showing that given a ρ POMDP along with a policy, they can be reduced to a POMDP-IR and an equivalent policy (and vice-versa). We prove that the value function for the given ρ POMDP (and the given policy) and the reduced POMDP-IR (and the reduced policy) is the same. To efficiently plan for active perception tasks, we identify and exploit the independence properties of POMDP-IR to reduce the computational cost of solving POMDP-IR (and ρ POMDP). We propose greedy point-based value iteration (PBVI), a new POMDP planning method that uses greedy maximization to greatly improve scalability in the action space of an active perception POMDP. Furthermore, we show that, under certain conditions, including submodularity, the value function computed using greedy PBVI is guaranteed to have bounded error with respect to the optimal value function. We establish the conditions under which the value function of an active perception POMDP is guaranteed to be submodular. Finally, we present a detailed empirical analysis on a dataset collected from a multi-camera tracking system employed in a shopping mall. Our method achieves similar performance to existing methods but at a fraction of the computational cost leading to better scalability for solving active perception tasks.

Posted in: Probability and statistics, Robotics , Tagged: ,

Detecting anomalies in sequences of data by first modeling the data and then distinguishing non-usual information based on that model

February 1, 2018 08:45 ,

K. Gokcesu and S. S. Kozat, Online Anomaly Detection With Minimax Optimal Density Estimation in Nonstationary Environments, IEEE Transactions on Signal Processing, vol. 66, no. 5, pp. 1213-1227, DOI: 10.1109/TSP.2017.2784390.

We introduce a truly online anomaly detection algorithm that sequentially processes data to detect anomalies in time series. In anomaly detection, while the anomalous data are arbitrary, the normal data have similarities and generally conforms to a particular model. However, the particular model that generates the normal data is generally unknown (even nonstationary) and needs to be learned sequentially. Therefore, a two stage approach is needed, where in the first stage, we construct a probability density function to model the normal data in the time series. Then, in the second stage, we threshold the density estimation of the newly observed data to detect anomalies. We approach this problem from an information theoretic perspective and propose minimax optimal schemes for both stages to create an optimal anomaly detection algorithm in a strong deterministic sense. To this end, for the first stage, we introduce a completely online density estimation algorithm that is minimax optimal with respect to the log-loss and achieves Merhav’s lower bound for general nonstationary exponential-family of distributions without any assumptions on the observation sequence. For the second stage, we propose a threshold selection scheme that is minimax optimal (with logarithmic performance bounds) against the best threshold chosen in hindsight with respect to the surrogate logistic loss. Apart from the regret bounds, through synthetic and real life experiments, we demonstrate substantial performance gains with respect to the state-of-the-art density estimation based anomaly detection algorithms in the literature.

Posted in: Probability and statistics , Tagged: ,

Probabilistic SLAM is still the way to go for dynamic environments (according to this paper)

January 18, 2018 08:01 ,

C. Evers and P. A. Naylor, Optimized Self-Localization for SLAM in Dynamic Scenes Using Probability Hypothesis Density Filters, IEEE Transactions on Signal Processing, vol. 66, no. 4, pp. 863-878, DOI: 10.1109/TSP.2017.2775590.

In many applications, sensors that map the positions of objects in unknown environments are installed on dynamic platforms. As measurements are relative to the observer’s sensors, scene mapping requires accurate knowledge of the observer state. However, in practice, observer reports are subject to positioning errors. Simultaneous localization and mapping addresses the joint estimation problem of observer localization and scene mapping. State-of-the-art approaches typically use visual or optical sensors and therefore rely on static beacons in the environment to anchor the observer estimate. However, many applications involving sensors that are not conventionally used for Simultaneous Localization and Mapping (SLAM) are affected by highly dynamic scenes, such that the static world assumption is invalid. This paper proposes a novel approach for dynamic scenes, called GEneralized Motion (GEM) SLAM. Based on probability hypothesis density filters, the proposed approach probabilistically anchors the observer state by fusing observer information inferred from the scene with reports of the observer motion. This paper derives the general, theoretical framework for GEM-SLAM, and shows that it generalizes existing Probability Hypothesis Density (PHD)-based SLAM algorithms. Simulations for a model-specific realization using range-bearing sensors and multiple moving objects highlight that GEM-SLAM achieves significant improvements over three benchmark algorithms.

Posted in: Bayesian filtering, Mobile robot SLAM , Tagged: ,

Solving MDPs with discounted rewards for minimizing variance instead of expected (discounted) reward

January 3, 2018 10:29 ,

Li Xia, Mean–variance optimization of discrete time discounted Markov decision processes, Automatica, Volume 88, 2018, Pages 76-82, DOI: 10.1016/j.automatica.2017.11.012.

In this paper, we study a mean–variance optimization problem in an infinite horizon discrete time discounted Markov decision process (MDP). The objective is to minimize the variance of system rewards with the constraint of mean performance. Different from most of works in the literature which require the mean performance already achieve optimum, we can let the discounted performance equal any constant. The difficulty of this problem is caused by the quadratic form of the variance function which makes the variance minimization problem not a standard MDP. By proving the decomposable structure of the feasible policy space, we transform this constrained variance minimization problem to an equivalent unconstrained MDP under a new discounted criterion and a new reward function. The difference of the variances of Markov chains under any two feasible policies is quantified by a difference formula. Based on the variance difference formula, a policy iteration algorithm is developed to find the optimal policy. We also prove the optimality of deterministic policy over the randomized policy generated in the mean-constrained policy space. Numerical experiments demonstrate the effectiveness of our approach.

Posted in: Probability and statistics , Tagged:

A new approach to SLAM based on KF but without linearization

December 23, 2017 09:42 ,

Feng Tan, Winfried Lohmiller, and Jean-Jacques Slotine, Analytical SLAM without linearization, The International Journal of Robotics Research
Vol 36, Issue 13-14, pp. 1554 – 1578, DOI: 10.1177/0278364917710541.

This paper solves the classical problem of simultaneous localization and mapping (SLAM) in a fashion that avoids linearized approximations altogether. Based on the creation of virtual synthetic measurements, the algorithm uses a linear time-varying Kalman observer, bypassing errors and approximations brought by the linearization process in traditional extended Kalman filtering SLAM. Convergence rates of the algorithm are established using contraction analysis. Different combinations of sensor information can be exploited, such as bearing measurements, range measurements, optical flow, or time-to-contact. SLAM-DUNK, a more advanced version of the algorithm in global coordinates, exploits the conditional independence property of the SLAM problem, decoupling the covariance matrices between different landmarks and reducing computational complexity to O(n). As illustrated in simulations, the proposed algorithm can solve SLAM problems in both 2D and 3D scenarios with guaranteed convergence rates in a full nonlinear context.

Posted in: Bayesian filtering, Mobile robot SLAM