Robust Singular Smoothers For Tracking Using Low-Fidelity Data

Tracking underwater autonomous platforms is often difficult because of noisy, biased, and discretized input data. Classic filters and smoothers based on standard assumptions of Gaussian white noise break down when presented with any of these challenges. Robust models (such as the Huber loss) and constraints (e.g. maximum velocity) are used to attenuate these issues. Here, we consider robust smoothing with singular covariance, which covers bias and correlated noise, as well as many specific model types, such as those used in navigation. In particular, we show how to combine singular covariance models with robust losses and state-space constraints in a unified framework that can handle very low-fidelity data. A noisy, biased, and discretized navigation dataset from a submerged, low-cost inertial measurement unit (IMU) package, with ultra short baseline (USBL) data for ground truth, provides an opportunity to stress-test the proposed framework with promising results. We show how robust modeling elements improve our ability to analyze the data, and present batch processing results for 10 minutes of data with three different frequencies of available USBL position fixes (gaps of 30 seconds, 1 minute, and 2 minutes). The results suggest that the framework can be extended to real-time tracking using robust windowed estimation.Comment: 9 pages, 9 figures, to be included in Robotics: Science and Systems 201

Space-Varying Coefficient Models for Brain Imaging

The methodological development and the application in this paper originate from diffusion tensor imaging (DTI), a powerful nuclear magnetic resonance technique enabling diagnosis and monitoring of several diseases as well as reconstruction of neural pathways. We reformulate the current analysis framework of separate voxelwise regressions as a 3d space-varying coefficient model (VCM) for the entire set of DTI images recorded on a 3d grid of voxels. Hence by allowing to borrow strength from spatially adjacent voxels, to smooth noisy observations, and to estimate diffusion tensors at any location within the brain, the three-step cascade of standard data processing is overcome simultaneously. We conceptualize two VCM variants based on B-spline basis functions: a full tensor product approach and a sequential approximation, rendering the VCM numerically and computationally feasible even for the huge dimension of the joint model in a realistic setup. A simulation study shows that both approaches outperform the standard method of voxelwise regressions with subsequent regularization. Due to major efficacy, we apply the sequential method to a clinical DTI data set and demonstrate the inherent ability of increasing the rigid grid resolution by evaluating the incorporated basis functions at intermediate points. In conclusion, the suggested fitting methods clearly improve the current state-of-the-art, but ameloriation of local adaptivity remains desirable

Varying Coefficient Tensor Models for Brain Imaging

We revisit a multidimensional varying-coefficient model (VCM), by allowing regressor coefficients to vary smoothly in more than one dimension, thereby extending the VCM of Hastie and Tibshirani. The motivating example is 3-dimensional, involving a special type of nuclear magnetic resonance measurement technique that is being used to estimate the diffusion tensor at each point in the human brain. We aim to improve the current state of the art, which is to apply a multiple regression model for each voxel separately using information from six or more volume images. We present a model, based on P-spline tensor products, to introduce spatial smoothness of the estimated diffusion tensor. Since the regression design matrix is space-invariant, a 4-dimensional tensor product model results, allowing more efficient computation with penalized array regression

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

Sparse and stable Markowitz portfolios

We consider the problem of portfolio selection within the classical Markowitz meanvariance optimizing framework, which has served as the basis for modern portfolio theory for more than 50 years. Efforts to translate this theoretical foundation into a viable portfolio construction algorithm have been plagued by technical difficulties stemming from the instability of the original optimization problem with respect to the available data. Often, instabilities of this type disappear when a regularizing constraint or penalty term is incorporated in the optimization procedure. This approach seems not to have been used in portfolio design until very recently. To provide such a stabilization, we propose to add to the Markowitz objective function a penalty which is proportional to the sum of the absolute values of the portfolio weights. This penalty stabilizes the optimization problem, automatically encourages sparse portfolios, and facilitates an effective treatment of transaction costs. We implement our methodology using as our securities two sets of portfolios constructed by Fama and French: the 48 industry portfolios and 100 portfolios formed on size and book-to-market. Using only a modest amount of training data, we construct portfolios whose out-of-sample performance, as measured by Sharpe ratio, is consistently and significantly better than that of the naïve portfolio comprising equal investments in each available asset. In addition to their excellent performance, these portfolios have only a small number of active positions, a desirable feature for small investors, for whom the fixed overhead portion of the transaction cost is not negligible. JEL Classification: G11, C00Penalized Regression, Portfolio Choice, Sparse Portfolio

Optimizing Energy Storage Participation in Emerging Power Markets

The growing amount of intermittent renewables in power generation creates challenges for real-time matching of supply and demand in the power grid. Emerging ancillary power markets provide new incentives to consumers (e.g., electrical vehicles, data centers, and others) to perform demand response to help stabilize the electricity grid. A promising class of potential demand response providers includes energy storage systems (ESSs). This paper evaluates the benefits of using various types of novel ESS technologies for a variety of emerging smart grid demand response programs, such as regulation services reserves (RSRs), contingency reserves, and peak shaving. We model, formulate and solve optimization problems to maximize the net profit of ESSs in providing each demand response. Our solution selects the optimal power and energy capacities of the ESS, determines the optimal reserve value to provide as well as the ESS real-time operational policy for program participation. Our results highlight that applying ultra-capacitors and flywheels in RSR has the potential to be up to 30 times more profitable than using common battery technologies such as LI and LA batteries for peak shaving.Comment: The full (longer and extended) version of the paper accepted in IGSC 201