A comparison of sample-based Stochastic Optimal Control methods

In this paper, we compare the performance of two scenario-based numerical methods to solve stochastic optimal control problems: scenario trees and particles. The problem consists in finding strategies to control a dynamical system perturbed by exogenous noises so as to minimize some expected cost along a discrete and finite time horizon. We introduce the Mean Squared Error (MSE) which is the expected $L^2$-distance between the strategy given by the algorithm and the optimal strategy, as a performance indicator for the two models. We study the behaviour of the MSE with respect to the number of scenarios used for discretization. The first model, widely studied in the Stochastic Programming community, consists in approximating the noise diffusion using a scenario tree representation. On a numerical example, we observe that the number of scenarios needed to obtain a given precision grows exponentially with the time horizon. In that sense, our conclusion on scenario trees is equivalent to the one in the work by Shapiro (2006) and has been widely noticed by practitioners. However, in the second part, we show using the same example that, by mixing Stochastic Programming and Dynamic Programming ideas, the particle method described by Carpentier et al (2009) copes with this numerical difficulty: the number of scenarios needed to obtain a given precision now does not depend on the time horizon. Unfortunately, we also observe that serious obstacles still arise from the system state space dimension

On The Power of Tree Projections: Structural Tractability of Enumerating CSP Solutions

The problem of deciding whether CSP instances admit solutions has been deeply studied in the literature, and several structural tractability results have been derived so far. However, constraint satisfaction comes in practice as a computation problem where the focus is either on finding one solution, or on enumerating all solutions, possibly projected to some given set of output variables. The paper investigates the structural tractability of the problem of enumerating (possibly projected) solutions, where tractability means here computable with polynomial delay (WPD), since in general exponentially many solutions may be computed. A general framework based on the notion of tree projection of hypergraphs is considered, which generalizes all known decomposition methods. Tractability results have been obtained both for classes of structures where output variables are part of their specification, and for classes of structures where computability WPD must be ensured for any possible set of output variables. These results are shown to be tight, by exhibiting dichotomies for classes of structures having bounded arity and where the tree decomposition method is considered

Online Convex Optimization for Sequential Decision Processes and Extensive-Form Games

Regret minimization is a powerful tool for solving large-scale extensive-form games. State-of-the-art methods rely on minimizing regret locally at each decision point. In this work we derive a new framework for regret minimization on sequential decision problems and extensive-form games with general compact convex sets at each decision point and general convex losses, as opposed to prior work which has been for simplex decision points and linear losses. We call our framework laminar regret decomposition. It generalizes the CFR algorithm to this more general setting. Furthermore, our framework enables a new proof of CFR even in the known setting, which is derived from a perspective of decomposing polytope regret, thereby leading to an arguably simpler interpretation of the algorithm. Our generalization to convex compact sets and convex losses allows us to develop new algorithms for several problems: regularized sequential decision making, regularized Nash equilibria in extensive-form games, and computing approximate extensive-form perfect equilibria. Our generalization also leads to the first regret-minimization algorithm for computing reduced-normal-form quantal response equilibria based on minimizing local regrets. Experiments show that our framework leads to algorithms that scale at a rate comparable to the fastest variants of counterfactual regret minimization for computing Nash equilibrium, and therefore our approach leads to the first algorithm for computing quantal response equilibria in extremely large games. Finally we show that our framework enables a new kind of scalable opponent exploitation approach

Robust Machine Learning Applied to Astronomical Datasets I: Star-Galaxy Classification of the SDSS DR3 Using Decision Trees

We provide classifications for all 143 million non-repeat photometric objects in the Third Data Release of the Sloan Digital Sky Survey (SDSS) using decision trees trained on 477,068 objects with SDSS spectroscopic data. We demonstrate that these star/galaxy classifications are expected to be reliable for approximately 22 million objects with r < ~20. The general machine learning environment Data-to-Knowledge and supercomputing resources enabled extensive investigation of the decision tree parameter space. This work presents the first public release of objects classified in this way for an entire SDSS data release. The objects are classified as either galaxy, star or nsng (neither star nor galaxy), with an associated probability for each class. To demonstrate how to effectively make use of these classifications, we perform several important tests. First, we detail selection criteria within the probability space defined by the three classes to extract samples of stars and galaxies to a given completeness and efficiency. Second, we investigate the efficacy of the classifications and the effect of extrapolating from the spectroscopic regime by performing blind tests on objects in the SDSS, 2dF Galaxy Redshift and 2dF QSO Redshift (2QZ) surveys. Given the photometric limits of our spectroscopic training data, we effectively begin to extrapolate past our star-galaxy training set at r ~ 18. By comparing the number counts of our training sample with the classified sources, however, we find that our efficiencies appear to remain robust to r ~ 20. As a result, we expect our classifications to be accurate for 900,000 galaxies and 6.7 million stars, and remain robust via extrapolation for a total of 8.0 million galaxies and 13.9 million stars. [Abridged]Comment: 27 pages, 12 figures, to be published in ApJ, uses emulateapj.cl