Non-linear projection to latent structures

PhD ThesisThis Thesis focuses on the study of multivariate statistical regression techniques which have been used to produce non-linear empirical models of chemical processes, and on the development of a novel approach to non-linear Projection to Latent Structures regression. Empirical modelling relies on the availability of process data and sound empirical regression techniques which can handle variable collinearities, measurement noise, unknown variable and noise distributions and high data set dimensionality. Projection based techniques, such as Principal Component Analysis (PCA) and Projection to Latent Structures (PLS), have been shown to be appropriate for handling such data sets. The multivariate statistical projection based techniques of PCA and linear PLS are described in detail, highlighting the benefits which can be gained by using these approaches. However, many chemical processes exhibit severely nonlinear behaviour and non-linear regression techniques are required to develop empirical models. The derivation of an existing quadratic PLS algorithm is described in detail. The procedure for updating the model parameters which is required by the quadratic PLS algorithms is explored and modified. A new procedure for updating the model parameters is presented and is shown to perform better the existing algorithm. The two procedures have been evaluated on the basis of the performance of the corresponding quadratic PLS algorithms in modelling data generated with a strongly non-linear mathematical function and data generated with a mechanistic model of a benchmark pH neutralisation system. Finally a novel approach to non-linear PLS modelling is then presented combining the general approximation properties of sigmoid neural networks and radial basis function networks with the new weights updating procedure within the PLS framework. These algorithms are shown to outperform existing neural network PLS algorithms and the quadratic PLS approaches. The new neural network PLS algorithms have been evaluated on the basis of their performance in modelling the same data used to compare the quadratic PLS approaches.Strang Studentship European project ESPRIT PROJECT 22281 (PROGNOSIS) Centre for Process Analysis, Chemometrics and Control

A Bayesian perspective on classical control

The connections between optimal control and Bayesian inference have long been recognised, with the field of stochastic (optimal) control combining these frameworks for the solution of partially observable control problems. In particular, for the linear case with quadratic functions and Gaussian noise, stochastic control has shown remarkable results in different fields, including robotics, reinforcement learning and neuroscience, especially thanks to the established duality of estimation and control processes. Following this idea we recently introduced a formulation of PID control, one of the most popular methods from classical control, based on active inference, a theory with roots in variational Bayesian methods, and applications in the biological and neural sciences. In this work, we highlight the advantages of our previous formulation and introduce new and more general ways to tackle some existing problems in current controller design procedures. In particular, we consider 1) a gradient-based tuning rule for the parameters (or gains) of a PID controller, 2) an implementation of multiple degrees of freedom for independent responses to different types of signals (e.g., two-degree-of-freedom PID), and 3) a novel time-domain formalisation of the performance-robustness trade-off in terms of tunable constraints (i.e., priors in a Bayesian model) of a single cost functional, variational free energy.Comment: 8 pages, Accepted at IJCNN 202

Path integrals and symmetry breaking for optimal control theory

This paper considers linear-quadratic control of a non-linear dynamical system subject to arbitrary cost. I show that for this class of stochastic control problems the non-linear Hamilton-Jacobi-Bellman equation can be transformed into a linear equation. The transformation is similar to the transformation used to relate the classical Hamilton-Jacobi equation to the Schr\"odinger equation. As a result of the linearity, the usual backward computation can be replaced by a forward diffusion process, that can be computed by stochastic integration or by the evaluation of a path integral. It is shown, how in the deterministic limit the PMP formalism is recovered. The significance of the path integral approach is that it forms the basis for a number of efficient computational methods, such as MC sampling, the Laplace approximation and the variational approximation. We show the effectiveness of the first two methods in number of examples. Examples are given that show the qualitative difference between stochastic and deterministic control and the occurrence of symmetry breaking as a function of the noise.Comment: 21 pages, 6 figures, submitted to JSTA

Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications *

We consider the optimal control problem for a linear conditional McKean-Vlasov equation with quadratic cost functional. The coefficients of the system and the weigh-ting matrices in the cost functional are allowed to be adapted processes with respect to the common noise filtration. Semi closed-loop strategies are introduced, and following the dynamic programming approach in [32], we solve the problem and characterize time-consistent optimal control by means of a system of decoupled backward stochastic Riccati differential equations. We present several financial applications with explicit solutions, and revisit in particular optimal tracking problems with price impact, and the conditional mean-variance portfolio selection in incomplete market model.Comment: to appear in Probability, Uncertainty and Quantitative Ris