29,856 research outputs found
Constant directions of the Riccati equation
A constant direction of the Riccati equation associated with a class of singular discrete-time optimization problems is defined. The set of constant directions is completely characterized using a control viewpoint. Constant directions are used to reduce the computational complexity of the optimal system. Application to optimal filtering in colored noise is given
Data Transmission Over Networks for Estimation and Control
We consider the problem of controlling a linear time invariant process when the controller is located at a location remote from where the sensor measurements are being generated. The communication from the sensor to the controller is supported by a communication network with arbitrary topology composed of analog erasure channels. Using a separation principle, we prove that the optimal linear-quadratic-Gaussian (LQG) controller consists of an LQ optimal regulator along with an estimator that estimates the state of the process across the communication network. We then determine the optimal information processing strategy that should be followed by each node in the network so that the estimator is able to compute the best possible estimate in the minimum mean squared error sense. The algorithm is optimal for any packet-dropping process and at every time step, even though it is recursive and hence requires a constant amount of memory, processing and transmission at every node in the network per time step. For the case when the packet drop processes are memoryless and independent across links, we analyze the stability properties and the performance of the closed loop system. The algorithm is an attempt to escape the viewpoint of treating a network of communication links as a single end-to-end link with the probability of successful transmission determined by some measure of the reliability of the network
Universal Nonlinear Filtering Using Feynman Path Integrals II: The Continuous-Continuous Model with Additive Noise
In this paper, the Feynman path integral formulation of the
continuous-continuous filtering problem, a fundamental problem of applied
science, is investigated for the case when the noise in the signal and
measurement model is additive. It is shown that it leads to an independent and
self-contained analysis and solution of the problem. A consequence of this
analysis is Feynman path integral formula for the conditional probability
density that manifests the underlying physics of the problem. A corollary of
the path integral formula is the Yau algorithm that has been shown to be
superior to all other known algorithms. The Feynman path integral formulation
is shown to lead to practical and implementable algorithms. In particular, the
solution of the Yau PDE is reduced to one of function computation and
integration.Comment: Interdisciplinary, 41 pages, 5 figures, JHEP3 class; added more
discussion and reference
Best Subset Selection via a Modern Optimization Lens
In the last twenty-five years (1990-2014), algorithmic advances in integer
optimization combined with hardware improvements have resulted in an
astonishing 200 billion factor speedup in solving Mixed Integer Optimization
(MIO) problems. We present a MIO approach for solving the classical best subset
selection problem of choosing out of features in linear regression
given observations. We develop a discrete extension of modern first order
continuous optimization methods to find high quality feasible solutions that we
use as warm starts to a MIO solver that finds provably optimal solutions. The
resulting algorithm (a) provides a solution with a guarantee on its
suboptimality even if we terminate the algorithm early, (b) can accommodate
side constraints on the coefficients of the linear regression and (c) extends
to finding best subset solutions for the least absolute deviation loss
function. Using a wide variety of synthetic and real datasets, we demonstrate
that our approach solves problems with in the 1000s and in the 100s in
minutes to provable optimality, and finds near optimal solutions for in the
100s and in the 1000s in minutes. We also establish via numerical
experiments that the MIO approach performs better than {\texttt {Lasso}} and
other popularly used sparse learning procedures, in terms of achieving sparse
solutions with good predictive power.Comment: This is a revised version (May, 2015) of the first submission in June
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