Ergodicity, Decisions, and Partial Information

In the simplest sequential decision problem for an ergodic stochastic process X, at each time n a decision u_n is made as a function of past observations X_0,...,X_{n-1}, and a loss l(u_n,X_n) is incurred. In this setting, it is known that one may choose (under a mild integrability assumption) a decision strategy whose pathwise time-average loss is asymptotically smaller than that of any other strategy. The corresponding problem in the case of partial information proves to be much more delicate, however: if the process X is not observable, but decisions must be based on the observation of a different process Y, the existence of pathwise optimal strategies is not guaranteed. The aim of this paper is to exhibit connections between pathwise optimal strategies and notions from ergodic theory. The sequential decision problem is developed in the general setting of an ergodic dynamical system (\Omega,B,P,T) with partial information Y\subseteq B. The existence of pathwise optimal strategies grounded in two basic properties: the conditional ergodic theory of the dynamical system, and the complexity of the loss function. When the loss function is not too complex, a general sufficient condition for the existence of pathwise optimal strategies is that the dynamical system is a conditional K-automorphism relative to the past observations \bigvee_n T^n Y. If the conditional ergodicity assumption is strengthened, the complexity assumption can be weakened. Several examples demonstrate the interplay between complexity and ergodicity, which does not arise in the case of full information. Our results also yield a decision-theoretic characterization of weak mixing in ergodic theory, and establish pathwise optimality of ergodic nonlinear filters.Comment: 45 page

Spatiotemporal complexity of the universe at subhorizon scales

This is a short note on the spatiotemporal complexity of the dynamical state(s) of the universe at subhorizon scales (up to 300 Mpc). There are reasons, based mainly on infrared radiative divergences, to believe that one can encounter a flicker noise in the time domain, while in the space domain, the scaling laws are reflected in the (multi)fractal distribution of galaxies and their clusters. There exist recent suggestions on a unifying treatment of these two aspects within the concept of spatiotemporal complexity of dynamical systems driven out of equilibrium. Spatiotemporal complexity of the subhorizon dynamical state(s) of the universe is a conceptually nice idea and may lead to progress in our understanding of the material structures at large scalesComment: references update

Quantum Fluctuations of Coulomb Potential as a Source of Flicker Noise. The Influence of External Electric Field

Fluctuations of the electromagnetic field produced by quantized matter in external electric field are investigated. A general expression for the power spectrum of fluctuations is derived within the long-range expansion. It is found that in the whole measured frequency band, the power spectrum of fluctuations exhibits an inverse frequency dependence. A general argument is given showing that for all practically relevant values of the electric field, the power spectrum of induced fluctuations is proportional to the field strength squared. As an illustration, the power spectrum is calculated explicitly using the kinetic model with the relaxation-type collision term. Finally, it is shown that the magnitude of fluctuations produced by a sample generally has a Gaussian distribution around its mean value, and its dependence on the sample geometry is determined. In particular, it is demonstrated that for geometrically similar samples, the power spectrum is inversely proportional to the sample volume. Application of the obtained results to the problem of flicker noise is discussed.Comment: 14 pages, 3 figure

Smartphone-based vehicle telematics: a ten-year anniversary

This is the author accepted manuscript. The final version is available from the publisher via the DOI in this recordJust as it has irrevocably reshaped social life, the fast growth of smartphone ownership is now beginning to revolutionize the driving experience and change how we think about automotive insurance, vehicle safety systems, and traffic research. This paper summarizes the first ten years of research in smartphone-based vehicle telematics, with a focus on user-friendly implementations and the challenges that arise due to the mobility of the smartphone. Notable academic and industrial projects are reviewed, and system aspects related to sensors, energy consumption, and human-machine interfaces are examined. Moreover, we highlight the differences between traditional and smartphone-based automotive navigation, and survey the state of the art in smartphone-based transportation mode classification, vehicular ad hoc networks, cloud computing, driver classification, and road condition monitoring. Future advances are expected to be driven by improvements in sensor technology, evidence of the societal benefits of current implementations, and the establishment of industry standards for sensor fusion and driver assessment

Inertial sensor array processing with motion models

This is the author accepted manuscript. The final version is available from the publisher via the DOI in this recordBy arranging a large number of inertial sensors in an array and fusing their measurements, it is possible to create inertial sensor assemblies with a high performance-to-price ratio. Recently, a maximum likelihood estimator for fusing inertial array measurements collected at a given sampling instance was developed. In this paper, the maximum likelihood estimator is extended by introducing a motion model and deriving a maximum a posteriori estimator that jointly estimates the array dynamics at multiple sampling instances. Simulation examples are used to demonstrate that the proposed sensor fusion method have the potential to yield significant improvements in estimation accuracy. Further, by including the motion model, we resolve the sign ambiguity of gyro-free implementations, and thereby open up for implementations based on accelerometer-only arrays

On the exchange of intersection and supremum of sigma-fields in filtering theory

We construct a stationary Markov process with trivial tail sigma-field and a nondegenerate observation process such that the corresponding nonlinear filtering process is not uniquely ergodic. This settles in the negative a conjecture of the author in the ergodic theory of nonlinear filters arising from an erroneous proof in the classic paper of H. Kunita (1971), wherein an exchange of intersection and supremum of sigma-fields is taken for granted.Comment: 20 page

A discrete invitation to quantum filtering and feedback control

The engineering and control of devices at the quantum-mechanical level--such as those consisting of small numbers of atoms and photons--is a delicate business. The fundamental uncertainty that is inherently present at this scale manifests itself in the unavoidable presence of noise, making this a novel field of application for stochastic estimation and control theory. In this expository paper we demonstrate estimation and feedback control of quantum mechanical systems in what is essentially a noncommutative version of the binomial model that is popular in mathematical finance. The model is extremely rich and allows a full development of the theory, while remaining completely within the setting of finite-dimensional Hilbert spaces (thus avoiding the technical complications of the continuous theory). We introduce discretized models of an atom in interaction with the electromagnetic field, obtain filtering equations for photon counting and homodyne detection, and solve a stochastic control problem using dynamic programming and Lyapunov function methods.Comment: 76 pages, 12 figures. A PDF file with high resolution figures can be found at http://minty.caltech.edu/papers.ph

Fusion of OBD and GNSS Measurements of Speed

This is the author accepted manuscript. The final version is available from Institute of Electrical and Electronics Engineers (IEEE) via the DOI in this record.There are two primary sources of sensor measurements for driver behavior profiling within insurance telematics and fleet management. The first is the on-board diagnostics system, typically found within most modern cars. The second is the global navigation satellite system, whose associated receivers commonly are embedded into smartphones or off-the-shelf telematics devices. In this paper, we present maximum likelihood and maximum a posteriori estimators for the problem of fusing speed measurements from these two sources to jointly estimate a vehicle's speed and the scale factor of the wheel speed sensors. In addition, we analyze the performance of the estimators by use of the Cramér-Rao bound, and discuss the estimation of model parameters describing measurement errors and vehicle dynamics. Last, simulations and real-world data are used to show that the proposed estimators yield a substantial performance gain compared to when employing only one of the two measurement sources

IMU-based smartphone-to-vehicle positioning

This is the author accepted manuscript. The final version is available from the publisher via the DOI in this recordIn this paper, we address the problem of using inertial measurements to position a smartphone with respect to a vehicle-fixed accelerometer. Using rigid body kinematics, this is cast as a nonlinear filtering problem. Unlike previous publications, we consider the complete three-dimensional kinematics, and do not approximate the angular acceleration to be zero. The accuracy of an estimator based on the unscented Kalman filter is compared with the Cramer-Rao bound. As is illustrated, the estimates can be expected to be better in the horizontal plane than in the vertical direction of the vehicle frame. Moreover, implementation issues are discussed and the system model is motivated by observability arguments. The efficiency of the method is demonstrated in a field study which shows that the horizontal RMSE is in the order of 0.5 [m]. Last, the proposed estimator is benchmarked against the state-of-the-art in left/right classification. The framework can be expected to find use in both insurance telematics and distracted driving solutions