22,591 research outputs found
Infinite horizon control and minimax observer design for linear DAEs
In this paper we construct an infinite horizon minimax state observer for a
linear stationary differential-algebraic equation (DAE) with uncertain but
bounded input and noisy output. We do not assume regularity or existence of a
(unique) solution for any initial state of the DAE. Our approach is based on a
generalization of Kalman's duality principle. The latter allows us to transform
minimax state estimation problem into a dual control problem for the adjoint
DAE: the state estimate in the original problem becomes the control input for
the dual problem and the cost function of the latter is, in fact, the
worst-case estimation error. Using geometric control theory, we construct an
optimal control in the feed-back form and represent it as an output of a stable
LTI system. The latter gives the minimax state estimator. In addition, we
obtain a solution of infinite-horizon linear quadratic optimal control problem
for DAEs.Comment: This is an extended version of the paper which is to appear in the
proceedings of the 52nd IEEE Conference on Decision and Control, Florence,
Italy, December 10-13, 201
Chebyshev minimax control theory
General, closed-form, analytical solutions are determined for certain classes of C-minimax control problems, several alternative mathematical theories are derived, and a controller design theory is developed to give optimal control in the presence of unmeasureable external disturbances
Towards Minimax Online Learning with Unknown Time Horizon
We consider online learning when the time horizon is unknown. We apply a
minimax analysis, beginning with the fixed horizon case, and then moving on to
two unknown-horizon settings, one that assumes the horizon is chosen randomly
according to some known distribution, and the other which allows the adversary
full control over the horizon. For the random horizon setting with restricted
losses, we derive a fully optimal minimax algorithm. And for the adversarial
horizon setting, we prove a nontrivial lower bound which shows that the
adversary obtains strictly more power than when the horizon is fixed and known.
Based on the minimax solution of the random horizon setting, we then propose a
new adaptive algorithm which "pretends" that the horizon is drawn from a
distribution from a special family, but no matter how the actual horizon is
chosen, the worst-case regret is of the optimal rate. Furthermore, our
algorithm can be combined and applied in many ways, for instance, to online
convex optimization, follow the perturbed leader, exponential weights algorithm
and first order bounds. Experiments show that our algorithm outperforms many
other existing algorithms in an online linear optimization setting
Path-dependent Hamilton-Jacobi equations in infinite dimensions
We propose notions of minimax and viscosity solutions for a class of fully
nonlinear path-dependent PDEs with nonlinear, monotone, and coercive operators
on Hilbert space. Our main result is well-posedness (existence, uniqueness, and
stability) for minimax solutions. A particular novelty is a suitable
combination of minimax and viscosity solution techniques in the proof of the
comparison principle. One of the main difficulties, the lack of compactness in
infinite-dimensional Hilbert spaces, is circumvented by working with suitable
compact subsets of our path space. As an application, our theory makes it
possible to employ the dynamic programming approach to study optimal control
problems for a fairly general class of (delay) evolution equations in the
variational framework. Furthermore, differential games associated to such
evolution equations can be investigated following the Krasovskii-Subbotin
approach similarly as in finite dimensions.Comment: Final version, 53 pages, to appear in Journal of Functional Analysi
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