Space-Time Sampling for Network Observability

Designing sparse sampling strategies is one of the important components in having resilient estimation and control in networked systems as they make network design problems more cost-effective due to their reduced sampling requirements and less fragile to where and when samples are collected. It is shown that under what conditions taking coarse samples from a network will contain the same amount of information as a more finer set of samples. Our goal is to estimate initial condition of linear time-invariant networks using a set of noisy measurements. The observability condition is reformulated as the frame condition, where one can easily trace location and time stamps of each sample. We compare estimation quality of various sampling strategies using estimation measures, which depend on spectrum of the corresponding frame operators. Using properties of the minimal polynomial of the state matrix, deterministic and randomized methods are suggested to construct observability frames. Intrinsic tradeoffs assert that collecting samples from fewer subsystems dictates taking more samples (in average) per subsystem. Three scalable algorithms are developed to generate sparse space-time sampling strategies with explicit error bounds.Comment: Submitted to IEEE TAC (Revised Version

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

Consistent Regression using Data-Dependent Coverings

In this paper, we introduce a novel method to generate interpretable regression function estimators. The idea is based on called data-dependent coverings. The aim is to extract from the data a covering of the feature space instead of a partition. The estimator predicts the empirical conditional expectation over the cells of the partitions generated from the coverings. Thus, such estimator has the same form as those issued from data-dependent partitioning algorithms. We give sufficient conditions to ensure the consistency, avoiding the sufficient condition of shrinkage of the cells that appears in the former literature. Doing so, we reduce the number of covering elements. We show that such coverings are interpretable and each element of the covering is tagged as significant or insignificant. The proof of the consistency is based on a control of the error of the empirical estimation of conditional expectations which is interesting on its own

Inference techniques for stochastic nonlinear system identification with application to the Wiener-Hammerstein models

Stochastic nonlinear systems are a specific class of nonlinear systems where unknown disturbances affect the system\u27s output through a nonlinear transformation. In general, the identification of parametric models for this kind of systems can be very challenging. A main statistical inference technique for parameter estimation is the Maximum Likelihood estimator. The central object of this technique is the likelihood function, i.e. a mathematical expression describing the probability of obtaining certain observations for given values of the parameter. For many stochastic nonlinear systems, however, the likelihood function is not available in closed-form. Several methods have been developed to obtain approximate solutions to the Maximum Likelihood problem, mainly based on the Monte Carlo method. However, one of the main difficulties of these methods is that they can be computationally expensive, especially when they are combined with numerical optimization techniques for likelihood maximisation.This thesis can be divided in three parts. In the first part, a background on the main statistical techniques for parameter estimation is presented. In particular, two iterative methods for finding the Maximum Likelihood estimator are introduced. They are the gradient-based and the Expectation-Maximisation algorithms.In the second part, the main Monte Carlo methods for approximating the Maximum Likelihood problem are analysed. Their combinations with gradient-based and Expectation-Maximisation algorithms is considered. For ensuring convergence, these algorithms require the use of enormous Monte Carlo effort, i.e. the number of random samples used to build the Monte Carlo estimates. In order to reduce this effort and make the algorithms usable in practice, iterative solutions solutions alternating \emph{local} Monte Carlo approximations and maximisation steps are derived. In particular, a procedure implementing an efficient samples simulation across the steps of a Newton\u27s method is developed. The procedure is based on the sensitivity of the parameter search with respect to the Monte Carlo samples and it results into an accurate and fast algorithm for solving the MLE problem.The considered Maximum Likelihood estimation methods proceed through local explorations of the parameter space. Hence, they have guaranteed convergence only to a local optimizer of the likelihood function. In the third part of the thesis, this issue is addressed by deriving initialization algorithms. The purpose is to generate initial guesses that increase the chances of converging to the global maximum. In particular, initialization algorithms are derived for the Wiener-Hammerstein model, i.e. a nonlinear model where a static nonlinearity is sandwiched between two linear parts. For this type of model, it can be proved that the best linear approximation of the system provides a consistent estimates of the two linear parts. This estimate is then used to initialize a Maximum Likelihood Estimation problem in all model parameters

Causal Sampling, Compressing, and Channel Coding of Streaming Data

With the emergence of the Internet of Things, communication systems, such as those employed in distributed control and tracking scenarios, are becoming increasingly dynamic, interactive, and delay-sensitive. The data in such real-time systems arrive at the encoder progressively in a streaming fashion. An intriguing question is: what codes can transmit streaming data with both high reliability and low latency? Classical non-causal (block) encoding schemes can transmit data reliably but under the assumption that the encoder knows the entire data block before the transmission. While this is a realistic assumption in delay-tolerant systems, it is ill-suited to real-time systems due to the delay introduced by collecting data into a block. This thesis studies causal encoding: the encoder transmits information based on the causally received data while the data is still streaming in and immediately incorporates the newly received data into a continuing transmission on the fly. This thesis investigates causal encoding of streaming data in three scenarios: causal sampling, causal lossy compressing, and causal joint source-channel coding (JSCC). In the causal sampling scenario, a sampler observes a continuous-time source process and causally decides when to transmit real-valued samples of it under a constraint on the average number of samples per second; an estimator uses the causally received samples to approximate the source process in real time. We propose a causal sampling policy that achieves the best tradeoff between the sampling frequency and the end-to-end real-time estimation distortion for a class of continuous Markov processes. In the causal lossy compressing scenario, the sampling frequency constraint in the causal sampling scenario is replaced by a rate constraint on the average number of bits per second. We propose a causal code that achieves the best causal distortion-rate tradeoff for the same class of processes. In the causal JSCC scenario, the noiseless channel and the continuous-time process in the previous scenarios are replaced by a discrete memoryless channel with feedback and a sequence of streaming symbols, respectively. We propose a causal joint sourcechannel code that achieves the maximum exponentially decaying rate of the error probability compatible with a given rate. Remarkably, the fundamental limits in the causal lossy compressing and the causal JSCC scenarios achieved by our causal codes are no worse than those achieved by the best non-causal codes. In addition to deriving the fundamental limits and presenting the causal codes that achieve the limits, we also show that our codes apply to control systems, are resilient to system deficiencies such as channel delay and noise, and have low complexities.</p

Understanding Random Forests: From Theory to Practice

Data analysis and machine learning have become an integrative part of the modern scientific methodology, offering automated procedures for the prediction of a phenomenon based on past observations, unraveling underlying patterns in data and providing insights about the problem. Yet, caution should avoid using machine learning as a black-box tool, but rather consider it as a methodology, with a rational thought process that is entirely dependent on the problem under study. In particular, the use of algorithms should ideally require a reasonable understanding of their mechanisms, properties and limitations, in order to better apprehend and interpret their results. Accordingly, the goal of this thesis is to provide an in-depth analysis of random forests, consistently calling into question each and every part of the algorithm, in order to shed new light on its learning capabilities, inner workings and interpretability. The first part of this work studies the induction of decision trees and the construction of ensembles of randomized trees, motivating their design and purpose whenever possible. Our contributions follow with an original complexity analysis of random forests, showing their good computational performance and scalability, along with an in-depth discussion of their implementation details, as contributed within Scikit-Learn. In the second part of this work, we analyse and discuss the interpretability of random forests in the eyes of variable importance measures. The core of our contributions rests in the theoretical characterization of the Mean Decrease of Impurity variable importance measure, from which we prove and derive some of its properties in the case of multiway totally randomized trees and in asymptotic conditions. In consequence of this work, our analysis demonstrates that variable importances [...].Comment: PhD thesis. Source code available at https://github.com/glouppe/phd-thesi

Particle Swarm Optimization

Particle swarm optimization (PSO) is a population based stochastic optimization technique influenced by the social behavior of bird flocking or fish schooling.PSO shares many similarities with evolutionary computation techniques such as Genetic Algorithms (GA). The system is initialized with a population of random solutions and searches for optima by updating generations. However, unlike GA, PSO has no evolution operators such as crossover and mutation. In PSO, the potential solutions, called particles, fly through the problem space by following the current optimum particles. This book represents the contributions of the top researchers in this field and will serve as a valuable tool for professionals in this interdisciplinary field