An Approximate Subgame-Perfect Equilibrium Computation Technique for Repeated Games

This paper presents a technique for approximating, up to any precision, the set of subgame-perfect equilibria (SPE) in discounted repeated games. The process starts with a single hypercube approximation of the set of SPE. Then the initial hypercube is gradually partitioned on to a set of smaller adjacent hypercubes, while those hypercubes that cannot contain any point belonging to the set of SPE are simultaneously withdrawn. Whether a given hypercube can contain an equilibrium point is verified by an appropriate mathematical program. Three different formulations of the algorithm for both approximately computing the set of SPE payoffs and extracting players' strategies are then proposed: the first two that do not assume the presence of an external coordination between players, and the third one that assumes a certain level of coordination during game play for convexifying the set of continuation payoffs after any repeated game history. A special attention is paid to the question of extracting players' strategies and their representability in form of finite automata, an important feature for artificial agent systems.Comment: 26 pages, 13 figures, 1 tabl

Estimating Signals with Finite Rate of Innovation from Noisy Samples: A Stochastic Algorithm

As an example of the recently-introduced concept of rate of innovation, signals that are linear combinations of a finite number of Diracs per unit time can be acquired by linear filtering followed by uniform sampling. However, in reality, samples are rarely noiseless. In this paper, we introduce a novel stochastic algorithm to reconstruct a signal with finite rate of innovation from its noisy samples. Even though variants of this problem has been approached previously, satisfactory solutions are only available for certain classes of sampling kernels, for example kernels which satisfy the Strang-Fix condition. In this paper, we consider the infinite-support Gaussian kernel, which does not satisfy the Strang-Fix condition. Other classes of kernels can be employed. Our algorithm is based on Gibbs sampling, a Markov chain Monte Carlo (MCMC) method. Extensive numerical simulations demonstrate the accuracy and robustness of our algorithm.Comment: Submitted to IEEE Transactions on Signal Processin

Importance sampling large deviations in nonequilibrium steady states. I

Large deviation functions contain information on the stability and response of systems driven into nonequilibrium steady states, and in such a way are similar to free energies for systems at equilibrium. As with equilibrium free energies, evaluating large deviation functions numerically for all but the simplest systems is difficult, because by construction they depend on exponentially rare events. In this first paper of a series, we evaluate different trajectory-based sampling methods capable of computing large deviation functions of time integrated observables within nonequilibrium steady states. We illustrate some convergence criteria and best practices using a number of different models, including a biased Brownian walker, a driven lattice gas, and a model of self-assembly. We show how two popular methods for sampling trajectory ensembles, transition path sampling and diffusion Monte Carlo, suffer from exponentially diverging correlations in trajectory space as a function of the bias parameter when estimating large deviation functions. Improving the efficiencies of these algorithms requires introducing guiding functions for the trajectories.Comment: Published in JC

Sequential Randomized Algorithms for Convex Optimization in the Presence of Uncertainty

In this paper, we propose new sequential randomized algorithms for convex optimization problems in the presence of uncertainty. A rigorous analysis of the theoretical properties of the solutions obtained by these algorithms, for full constraint satisfaction and partial constraint satisfaction, respectively, is given. The proposed methods allow to enlarge the applicability of the existing randomized methods to real-world applications involving a large number of design variables. Since the proposed approach does not provide a priori bounds on the sample complexity, extensive numerical simulations, dealing with an application to hard-disk drive servo design, are provided. These simulations testify the goodness of the proposed solution.Comment: 18 pages, Submitted for publication to IEEE Transactions on Automatic Contro

Limits on Sparse Data Acquisition: RIC Analysis of Finite Gaussian Matrices

One of the key issues in the acquisition of sparse data by means of compressed sensing (CS) is the design of the measurement matrix. Gaussian matrices have been proven to be information-theoretically optimal in terms of minimizing the required number of measurements for sparse recovery. In this paper we provide a new approach for the analysis of the restricted isometry constant (RIC) of finite dimensional Gaussian measurement matrices. The proposed method relies on the exact distributions of the extreme eigenvalues for Wishart matrices. First, we derive the probability that the restricted isometry property is satisfied for a given sufficient recovery condition on the RIC, and propose a probabilistic framework to study both the symmetric and asymmetric RICs. Then, we analyze the recovery of compressible signals in noise through the statistical characterization of stability and robustness. The presented framework determines limits on various sparse recovery algorithms for finite size problems. In particular, it provides a tight lower bound on the maximum sparsity order of the acquired data allowing signal recovery with a given target probability. Also, we derive simple approximations for the RICs based on the Tracy-Widom distribution.Comment: 11 pages, 6 figures, accepted for publication in IEEE transactions on information theor

Study of noise effects in electrical impedance tomography with resistor networks

We present a study of the numerical solution of the two dimensional electrical impedance tomography problem, with noisy measurements of the Dirichlet to Neumann map. The inversion uses parametrizations of the conductivity on optimal grids. The grids are optimal in the sense that finite volume discretizations on them give spectrally accurate approximations of the Dirichlet to Neumann map. The approximations are Dirichlet to Neumann maps of special resistor networks, that are uniquely recoverable from the measurements. Inversion on optimal grids has been proposed and analyzed recently, but the study of noise effects on the inversion has not been carried out. In this paper we present a numerical study of both the linearized and the nonlinear inverse problem. We take three different parametrizations of the unknown conductivity, with the same number of degrees of freedom. We obtain that the parametrization induced by the inversion on optimal grids is the most efficient of the three, because it gives the smallest standard deviation of the maximum a posteriori estimates of the conductivity, uniformly in the domain. For the nonlinear problem we compute the mean and variance of the maximum a posteriori estimates of the conductivity, on optimal grids. For small noise, we obtain that the estimates are unbiased and their variance is very close to the optimal one, given by the Cramer-Rao bound. For larger noise we use regularization and quantify the trade-off between reducing the variance and introducing bias in the solution. Both the full and partial measurement setups are considered.Comment: submitted to Inverse Problems and Imagin

Invaded cluster simulations of the XY model in two and three dimensions

The invaded cluster algorithm is used to study the XY model in two and three dimensions up to sizes 2000^2 and 120^3 respectively. A soft spin O(2) model, in the same universality class as the 3D XY model, is also studied. The static critical properties of the model and the dynamical properties of the algorithm are reported. The results are K_c=0.45412(2) for the 3D XY model and eta=0.037(2) for the 3D XY universality class. For the 2D XY model the results are K_c=1.120(1) and eta=0.251(5). The invaded cluster algorithm does not show any critical slowing for the magnetization or critical temperature estimator for the 2D or 3D XY models.Comment: 30 pages, 11 figures, problem viewing figures corrected in v