21,693 research outputs found
Learning Linear Dynamical Systems via Spectral Filtering
We present an efficient and practical algorithm for the online prediction of
discrete-time linear dynamical systems with a symmetric transition matrix. We
circumvent the non-convex optimization problem using improper learning:
carefully overparameterize the class of LDSs by a polylogarithmic factor, in
exchange for convexity of the loss functions. From this arises a
polynomial-time algorithm with a near-optimal regret guarantee, with an
analogous sample complexity bound for agnostic learning. Our algorithm is based
on a novel filtering technique, which may be of independent interest: we
convolve the time series with the eigenvectors of a certain Hankel matrix.Comment: Published as a conference paper at NIPS 201
Distributing the Kalman Filter for Large-Scale Systems
This paper derives a \emph{distributed} Kalman filter to estimate a sparsely
connected, large-scale, dimensional, dynamical system monitored by a
network of sensors. Local Kalman filters are implemented on the
(dimensional, where ) sub-systems that are obtained after
spatially decomposing the large-scale system. The resulting sub-systems
overlap, which along with an assimilation procedure on the local Kalman
filters, preserve an th order Gauss-Markovian structure of the centralized
error processes. The information loss due to the th order Gauss-Markovian
approximation is controllable as it can be characterized by a divergence that
decreases as . The order of the approximation, , leads to a lower
bound on the dimension of the sub-systems, hence, providing a criterion for
sub-system selection. The assimilation procedure is carried out on the local
error covariances with a distributed iterate collapse inversion (DICI)
algorithm that we introduce. The DICI algorithm computes the (approximated)
centralized Riccati and Lyapunov equations iteratively with only local
communication and low-order computation. We fuse the observations that are
common among the local Kalman filters using bipartite fusion graphs and
consensus averaging algorithms. The proposed algorithm achieves full
distribution of the Kalman filter that is coherent with the centralized Kalman
filter with an th order Gaussian-Markovian structure on the centralized
error processes. Nowhere storage, communication, or computation of
dimensional vectors and matrices is needed; only dimensional
vectors and matrices are communicated or used in the computation at the
sensors
Theoretically Efficient Parallel Graph Algorithms Can Be Fast and Scalable
There has been significant recent interest in parallel graph processing due
to the need to quickly analyze the large graphs available today. Many graph
codes have been designed for distributed memory or external memory. However,
today even the largest publicly-available real-world graph (the Hyperlink Web
graph with over 3.5 billion vertices and 128 billion edges) can fit in the
memory of a single commodity multicore server. Nevertheless, most experimental
work in the literature report results on much smaller graphs, and the ones for
the Hyperlink graph use distributed or external memory. Therefore, it is
natural to ask whether we can efficiently solve a broad class of graph problems
on this graph in memory.
This paper shows that theoretically-efficient parallel graph algorithms can
scale to the largest publicly-available graphs using a single machine with a
terabyte of RAM, processing them in minutes. We give implementations of
theoretically-efficient parallel algorithms for 20 important graph problems. We
also present the optimizations and techniques that we used in our
implementations, which were crucial in enabling us to process these large
graphs quickly. We show that the running times of our implementations
outperform existing state-of-the-art implementations on the largest real-world
graphs. For many of the problems that we consider, this is the first time they
have been solved on graphs at this scale. We have made the implementations
developed in this work publicly-available as the Graph-Based Benchmark Suite
(GBBS).Comment: This is the full version of the paper appearing in the ACM Symposium
on Parallelism in Algorithms and Architectures (SPAA), 201
Stochastic Sensor Scheduling via Distributed Convex Optimization
In this paper, we propose a stochastic scheduling strategy for estimating the
states of N discrete-time linear time invariant (DTLTI) dynamic systems, where
only one system can be observed by the sensor at each time instant due to
practical resource constraints. The idea of our stochastic strategy is that a
system is randomly selected for observation at each time instant according to a
pre-assigned probability distribution. We aim to find the optimal pre-assigned
probability in order to minimize the maximal estimate error covariance among
dynamic systems. We first show that under mild conditions, the stochastic
scheduling problem gives an upper bound on the performance of the optimal
sensor selection problem, notoriously difficult to solve. We next relax the
stochastic scheduling problem into a tractable suboptimal quasi-convex form. We
then show that the new problem can be decomposed into coupled small convex
optimization problems, and it can be solved in a distributed fashion. Finally,
for scheduling implementation, we propose centralized and distributed
deterministic scheduling strategies based on the optimal stochastic solution
and provide simulation examples.Comment: Proof errors and typos are fixed. One section is removed from last
versio
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