9,395 research outputs found
Optimization viewpoint on Kalman smoothing, with applications to robust and sparse estimation
In this paper, we present the optimization formulation of the Kalman
filtering and smoothing problems, and use this perspective to develop a variety
of extensions and applications. We first formulate classic Kalman smoothing as
a least squares problem, highlight special structure, and show that the classic
filtering and smoothing algorithms are equivalent to a particular algorithm for
solving this problem. Once this equivalence is established, we present
extensions of Kalman smoothing to systems with nonlinear process and
measurement models, systems with linear and nonlinear inequality constraints,
systems with outliers in the measurements or sudden changes in the state, and
systems where the sparsity of the state sequence must be accounted for. All
extensions preserve the computational efficiency of the classic algorithms, and
most of the extensions are illustrated with numerical examples, which are part
of an open source Kalman smoothing Matlab/Octave package.Comment: 46 pages, 11 figure
Linear system identification using stable spline kernels and PLQ penalties
The classical approach to linear system identification is given by parametric
Prediction Error Methods (PEM). In this context, model complexity is often
unknown so that a model order selection step is needed to suitably trade-off
bias and variance. Recently, a different approach to linear system
identification has been introduced, where model order determination is avoided
by using a regularized least squares framework. In particular, the penalty term
on the impulse response is defined by so called stable spline kernels. They
embed information on regularity and BIBO stability, and depend on a small
number of parameters which can be estimated from data. In this paper, we
provide new nonsmooth formulations of the stable spline estimator. In
particular, we consider linear system identification problems in a very broad
context, where regularization functionals and data misfits can come from a rich
set of piecewise linear quadratic functions. Moreover, our anal- ysis includes
polyhedral inequality constraints on the unknown impulse response. For any
formulation in this class, we show that interior point methods can be used to
solve the system identification problem, with complexity O(n3)+O(mn2) in each
iteration, where n and m are the number of impulse response coefficients and
measurements, respectively. The usefulness of the framework is illustrated via
a numerical experiment where output measurements are contaminated by outliers.Comment: 8 pages, 2 figure
Optimization algorithms for the solution of the frictionless normal contact between rough surfaces
This paper revisits the fundamental equations for the solution of the
frictionless unilateral normal contact problem between a rough rigid surface
and a linear elastic half-plane using the boundary element method (BEM). After
recasting the resulting Linear Complementarity Problem (LCP) as a convex
quadratic program (QP) with nonnegative constraints, different optimization
algorithms are compared for its solution: (i) a Greedy method, based on
different solvers for the unconstrained linear system (Conjugate Gradient CG,
Gauss-Seidel, Cholesky factorization), (ii) a constrained CG algorithm, (iii)
the Alternating Direction Method of Multipliers (ADMM), and () the
Non-Negative Least Squares (NNLS) algorithm, possibly warm-started by
accelerated gradient projection steps or taking advantage of a loading history.
The latter method is two orders of magnitude faster than the Greedy CG method
and one order of magnitude faster than the constrained CG algorithm. Finally,
we propose another type of warm start based on a refined criterion for the
identification of the initial trial contact domain that can be used in
conjunction with all the previous optimization algorithms. This method, called
Cascade Multi-Resolution (CMR), takes advantage of physical considerations
regarding the scaling of the contact predictions by changing the surface
resolution. The method is very efficient and accurate when applied to real or
numerically generated rough surfaces, provided that their power spectral
density function is of power-law type, as in case of self-similar fractal
surfaces.Comment: 38 pages, 11 figure
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