A sequential sampling strategy for extreme event statistics in nonlinear dynamical systems

We develop a method for the evaluation of extreme event statistics associated with nonlinear dynamical systems, using a small number of samples. From an initial dataset of design points, we formulate a sequential strategy that provides the 'next-best' data point (set of parameters) that when evaluated results in improved estimates of the probability density function (pdf) for a scalar quantity of interest. The approach utilizes Gaussian process regression to perform Bayesian inference on the parameter-to-observation map describing the quantity of interest. We then approximate the desired pdf along with uncertainty bounds utilizing the posterior distribution of the inferred map. The 'next-best' design point is sequentially determined through an optimization procedure that selects the point in parameter space that maximally reduces uncertainty between the estimated bounds of the pdf prediction. Since the optimization process utilizes only information from the inferred map it has minimal computational cost. Moreover, the special form of the metric emphasizes the tails of the pdf. The method is practical for systems where the dimensionality of the parameter space is of moderate size, i.e. order O(10). We apply the method to estimate the extreme event statistics for a very high-dimensional system with millions of degrees of freedom: an offshore platform subjected to three-dimensional irregular waves. It is demonstrated that the developed approach can accurately determine the extreme event statistics using limited number of samples

Synthesis of Minimal Error Control Software

Software implementations of controllers for physical systems are at the core of many embedded systems. The design of controllers uses the theory of dynamical systems to construct a mathematical control law that ensures that the controlled system has certain properties, such as asymptotic convergence to an equilibrium point, while optimizing some performance criteria. However, owing to quantization errors arising from the use of fixed-point arithmetic, the implementation of this control law can only guarantee practical stability: under the actions of the implementation, the trajectories of the controlled system converge to a bounded set around the equilibrium point, and the size of the bounded set is proportional to the error in the implementation. The problem of verifying whether a controller implementation achieves practical stability for a given bounded set has been studied before. In this paper, we change the emphasis from verification to automatic synthesis. Using synthesis, the need for formal verification can be considerably reduced thereby reducing the design time as well as design cost of embedded control software. We give a methodology and a tool to synthesize embedded control software that is Pareto optimal w.r.t. both performance criteria and practical stability regions. Our technique is a combination of static analysis to estimate quantization errors for specific controller implementations and stochastic local search over the space of possible controllers using particle swarm optimization. The effectiveness of our technique is illustrated using examples of various standard control systems: in most examples, we achieve controllers with close LQR-LQG performance but with implementation errors, hence regions of practical stability, several times as small.Comment: 18 pages, 2 figure

Statistical and Computational Tradeoff in Genetic Algorithm-Based Estimation

When a Genetic Algorithm (GA), or a stochastic algorithm in general, is employed in a statistical problem, the obtained result is affected by both variability due to sampling, that refers to the fact that only a sample is observed, and variability due to the stochastic elements of the algorithm. This topic can be easily set in a framework of statistical and computational tradeoff question, crucial in recent problems, for which statisticians must carefully set statistical and computational part of the analysis, taking account of some resource or time constraints. In the present work we analyze estimation problems tackled by GAs, for which variability of estimates can be decomposed in the two sources of variability, considering some constraints in the form of cost functions, related to both data acquisition and runtime of the algorithm. Simulation studies will be presented to discuss the statistical and computational tradeoff question.Comment: 17 pages, 5 figure