754 research outputs found
Model reduction for Hidden Markov models
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Mechanical Engineering, 2006.Includes bibliographical references (leaves 57-60).The contribution of this thesis is the development of tractable computational methods for reducing the complexity of two classes of dynamical systems, finite alphabet Hidden Markov Models and Jump Linear Systems with finite parameter space. The reduction algorithms employ convex optimization and numerical linear algebra tools and do not pose any structural requirements on the systems at hand. In the Jump Linear Systems case, a distance metric based on randomization of the parametric input is introduced. The main point of the reduction algorithm lies in the formulation of two dissipation inequalities, which in conjunction with a suitably defined storage function enable the derivation of low complexity models, whose fidelity is controlled by a guaranteed upper bound on the stochastic L2 gain of the approximation error. The developed reduction procedure can be interpreted as an extension of the balanced truncation method to the broader class of Jump Linear Systems. In the Hidden Markov Model case, Hidden Markov Models are identified with appropriate Jump Linear Systems that satisfy certain constraints on the coefficients of the linear transformation. This correspondence enables the development of a two step reduction procedure.(cont.) In the first step, the image of the high dimensional Hidden Markov Model in the space of Jump Linear Systems is simplified by means of the aforementioned balanced truncation method. Subsequently, in the second step, the constraints that reflect the Hidden Markov Model structure are imposed by solving a low dimensional non convex optimization problem. Numerical simulation results provide evidence that the proposed algorithm computes accurate reduced order Hidden Markov Models, while achieving a compression of the state space by orders of magnitude.by Georgios Kotsalis.Ph.D
Balanced truncation for linear switched systems
In this paper, we present a theoretical analysis of the model reduction
algorithm for linear switched systems. This algorithm is a reminiscence of the
balanced truncation method for linear parameter varying systems. Specifically
in this paper, we provide a bound on the approximation error in L2 norm for
continuous-time and l2 norm for discrete-time linear switched systems. We
provide a system theoretic interpretation of grammians and their singular
values. Furthermore, we show that the performance of bal- anced truncation
depends only on the input-output map and not on the choice of the state-space
representation. For a class of stable discrete-time linear switched systems (so
called strongly stable systems), we define nice controllability and nice
observability grammians, which are genuinely related to reachability and
controllability of switched systems. In addition, we show that quadratic
stability and LMI estimates of the L2 and l2 gains depend only on the
input-output map.Comment: We have corrected a number of typos and inconsistencies. In addition,
we added new results in Theorem
Model Reduction of Linear Switched Systems by Restricting Discrete Dynamics
We present a procedure for reducing the number of continuous states of
discrete-time linear switched systems, such that the reduced system has the
same behavior as the original system for a subset of switching sequences. The
proposed method is expected to be useful for abstraction based control
synthesis methods for hybrid systems
Subspace estimation and prediction methods for hidden Markov models
Hidden Markov models (HMMs) are probabilistic functions of finite Markov
chains, or, put in other words, state space models with finite state space. In
this paper, we examine subspace estimation methods for HMMs whose output lies a
finite set as well. In particular, we study the geometric structure arising
from the nonminimality of the linear state space representation of HMMs, and
consistency of a subspace algorithm arising from a certain factorization of the
singular value decomposition of the estimated linear prediction matrix. For
this algorithm, we show that the estimates of the transition and emission
probability matrices are consistent up to a similarity transformation, and that
the -step linear predictor computed from the estimated system matrices is
consistent, i.e., converges to the true optimal linear -step predictor.Comment: Published in at http://dx.doi.org/10.1214/09-AOS711 the Annals of
Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical
Statistics (http://www.imstat.org
Bayesian Nonparametric Inference of Switching Linear Dynamical Systems
Many complex dynamical phenomena can be effectively modeled by a system that
switches among a set of conditionally linear dynamical modes. We consider two
such models: the switching linear dynamical system (SLDS) and the switching
vector autoregressive (VAR) process. Our Bayesian nonparametric approach
utilizes a hierarchical Dirichlet process prior to learn an unknown number of
persistent, smooth dynamical modes. We additionally employ automatic relevance
determination to infer a sparse set of dynamic dependencies allowing us to
learn SLDS with varying state dimension or switching VAR processes with varying
autoregressive order. We develop a sampling algorithm that combines a truncated
approximation to the Dirichlet process with efficient joint sampling of the
mode and state sequences. The utility and flexibility of our model are
demonstrated on synthetic data, sequences of dancing honey bees, the IBOVESPA
stock index, and a maneuvering target tracking application.Comment: 50 pages, 7 figure
Model Reduction by Moment Matching for Linear Switched Systems
Two moment-matching methods for model reduction of linear switched systems
(LSSs) are presented. The methods are similar to the Krylov subspace methods
used for moment matching for linear systems. The more general one of the two
methods, is based on the so called "nice selection" of some vectors in the
reachability or observability space of the LSS. The underlying theory is
closely related to the (partial) realization theory of LSSs. In this paper, the
connection of the methods to the realization theory of LSSs is provided, and
algorithms are developed for the purpose of model reduction. Conditions for
applicability of the methods for model reduction are stated and finally the
results are illustrated on numerical examples.Comment: Sent for publication in IEEE TAC, on October 201
Bayesian Recurrent Neural Network Models for Forecasting and Quantifying Uncertainty in Spatial-Temporal Data
Recurrent neural networks (RNNs) are nonlinear dynamical models commonly used
in the machine learning and dynamical systems literature to represent complex
dynamical or sequential relationships between variables. More recently, as deep
learning models have become more common, RNNs have been used to forecast
increasingly complicated systems. Dynamical spatio-temporal processes represent
a class of complex systems that can potentially benefit from these types of
models. Although the RNN literature is expansive and highly developed,
uncertainty quantification is often ignored. Even when considered, the
uncertainty is generally quantified without the use of a rigorous framework,
such as a fully Bayesian setting. Here we attempt to quantify uncertainty in a
more formal framework while maintaining the forecast accuracy that makes these
models appealing, by presenting a Bayesian RNN model for nonlinear
spatio-temporal forecasting. Additionally, we make simple modifications to the
basic RNN to help accommodate the unique nature of nonlinear spatio-temporal
data. The proposed model is applied to a Lorenz simulation and two real-world
nonlinear spatio-temporal forecasting applications
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