48,720 research outputs found
A Probabilistic Approach to Robust Optimal Experiment Design with Chance Constraints
Accurate estimation of parameters is paramount in developing high-fidelity
models for complex dynamical systems. Model-based optimal experiment design
(OED) approaches enable systematic design of dynamic experiments to generate
input-output data sets with high information content for parameter estimation.
Standard OED approaches however face two challenges: (i) experiment design
under incomplete system information due to unknown true parameters, which
usually requires many iterations of OED; (ii) incapability of systematically
accounting for the inherent uncertainties of complex systems, which can lead to
diminished effectiveness of the designed optimal excitation signal as well as
violation of system constraints. This paper presents a robust OED approach for
nonlinear systems with arbitrarily-shaped time-invariant probabilistic
uncertainties. Polynomial chaos is used for efficient uncertainty propagation.
The distinct feature of the robust OED approach is the inclusion of chance
constraints to ensure constraint satisfaction in a stochastic setting. The
presented approach is demonstrated by optimal experimental design for the
JAK-STAT5 signaling pathway that regulates various cellular processes in a
biological cell.Comment: Submitted to ADCHEM 201
A Family of Iterative Gauss-Newton Shooting Methods for Nonlinear Optimal Control
This paper introduces a family of iterative algorithms for unconstrained
nonlinear optimal control. We generalize the well-known iLQR algorithm to
different multiple-shooting variants, combining advantages like
straight-forward initialization and a closed-loop forward integration. All
algorithms have similar computational complexity, i.e. linear complexity in the
time horizon, and can be derived in the same computational framework. We
compare the full-step variants of our algorithms and present several simulation
examples, including a high-dimensional underactuated robot subject to contact
switches. Simulation results show that our multiple-shooting algorithms can
achieve faster convergence, better local contraction rates and much shorter
runtimes than classical iLQR, which makes them a superior choice for nonlinear
model predictive control applications.Comment: 8 page
Machine Learning for Fluid Mechanics
The field of fluid mechanics is rapidly advancing, driven by unprecedented
volumes of data from field measurements, experiments and large-scale
simulations at multiple spatiotemporal scales. Machine learning offers a wealth
of techniques to extract information from data that could be translated into
knowledge about the underlying fluid mechanics. Moreover, machine learning
algorithms can augment domain knowledge and automate tasks related to flow
control and optimization. This article presents an overview of past history,
current developments, and emerging opportunities of machine learning for fluid
mechanics. It outlines fundamental machine learning methodologies and discusses
their uses for understanding, modeling, optimizing, and controlling fluid
flows. The strengths and limitations of these methods are addressed from the
perspective of scientific inquiry that considers data as an inherent part of
modeling, experimentation, and simulation. Machine learning provides a powerful
information processing framework that can enrich, and possibly even transform,
current lines of fluid mechanics research and industrial applications.Comment: To appear in the Annual Reviews of Fluid Mechanics, 202
Sequential Design for Optimal Stopping Problems
We propose a new approach to solve optimal stopping problems via simulation.
Working within the backward dynamic programming/Snell envelope framework, we
augment the methodology of Longstaff-Schwartz that focuses on approximating the
stopping strategy. Namely, we introduce adaptive generation of the stochastic
grids anchoring the simulated sample paths of the underlying state process.
This allows for active learning of the classifiers partitioning the state space
into the continuation and stopping regions. To this end, we examine sequential
design schemes that adaptively place new design points close to the stopping
boundaries. We then discuss dynamic regression algorithms that can implement
such recursive estimation and local refinement of the classifiers. The new
algorithm is illustrated with a variety of numerical experiments, showing that
an order of magnitude savings in terms of design size can be achieved. We also
compare with existing benchmarks in the context of pricing multi-dimensional
Bermudan options.Comment: 24 page
Comparing Kalman Filters and Observers for Power System Dynamic State Estimation with Model Uncertainty and Malicious Cyber Attacks
Kalman filters and observers are two main classes of dynamic state estimation
(DSE) routines. Power system DSE has been implemented by various Kalman
filters, such as the extended Kalman filter (EKF) and the unscented Kalman
filter (UKF). In this paper, we discuss two challenges for an effective power
system DSE: (a) model uncertainty and (b) potential cyber attacks. To address
this, the cubature Kalman filter (CKF) and a nonlinear observer are introduced
and implemented. Various Kalman filters and the observer are then tested on the
16-machine, 68-bus system given realistic scenarios under model uncertainty and
different types of cyber attacks against synchrophasor measurements. It is
shown that CKF and the observer are more robust to model uncertainty and cyber
attacks than their counterparts. Based on the tests, a thorough qualitative
comparison is also performed for Kalman filter routines and observers.Comment: arXiv admin note: text overlap with arXiv:1508.0725
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