Analytic Moment-based Gaussian Process Filtering

We propose an analytic moment-based filter for nonlinear stochastic dynamic systems modeled by Gaussian processes. Exact expressions for the expected value and the covariance matrix are provided for both the prediction step and the filter step, where an additional Gaussian assumption is exploited in the latter case. Our filter does not require further approximations. In particular, it avoids finite-sample approximations. We compare the filter to a variety of Gaussian filters, that is, the EKF, the UKF, and the recent GP-UKF proposed by Ko et al. (2007). copyright 2009

Online-Computation Approach to Optimal Control of Noise-Affected Nonlinear Systems with Continuous State and Control Spaces

© 2007 EUCA.A novel online-computation approach to optimal control of nonlinear, noise-affected systems with continuous state and control spaces is presented. In the proposed algorithm, system noise is explicitly incorporated into the control decision. This leads to superior results compared to state-of-the-art nonlinear controllers that neglect this influence. The solution of an optimal nonlinear controller for a corresponding deterministic system is employed to find a meaningful state space restriction. This restriction is obtained by means of approximate state prediction using the noisy system equation. Within this constrained state space, an optimal closed-loop solution for a finite decision-making horizon (prediction horizon) is determined within an adaptively restricted optimization space. Interleaving stochastic dynamic programming and value function approximation yields a solution to the considered optimal control problem. The enhanced performance of the proposed discrete-time controller is illustrated by means of a scalar example system. Nonlinear model predictive control is applied to address approximate treatment of infinite-horizon problems by the finite-horizon controller

Robust Filtering and Smoothing with Gaussian Processes

We propose a principled algorithm for robust Bayesian filtering and smoothing in nonlinear stochastic dynamic systems when both the transition function and the measurement function are described by non-parametric Gaussian process (GP) models. GPs are gaining increasing importance in signal processing, machine learning, robotics, and control for representing unknown system functions by posterior probability distributions. This modern way of "system identification" is more robust than finding point estimates of a parametric function representation. In this article, we present a principled algorithm for robust analytic smoothing in GP dynamic systems, which are increasingly used in robotics and control. Our numerical evaluations demonstrate the robustness of the proposed approach in situations where other state-of-the-art Gaussian filters and smoothers can fail.Comment: 7 pages, 1 figure, draft version of paper accepted at IEEE Transactions on Automatic Contro

Analytic moment-based Gaussian process filtering.

We propose an analytic moment-based filter for nonlinear stochastic dynamic systems modeled by Gaussian processes. Exact expressions for the expected value and the covariance matrix are provided for both the prediction step and the filter step, where an additional Gaussian assumption is exploited in the latter case. Our filter does not require further approximations. In particular, it avoids finite-sample approximations. We compare the filter to a variety of Gaussian filters, that is, the EKF, the UKF, and the recent GP-UKF proposed by Ko et al. (2007). 1

Finite-Horizon Optimal State Feedback Control of Nonlinear Stochastic Systems Based on a Minimum Principle

In this paper, an approach to the finite-horizon optimal state-feedback control problem of nonlinear, stochastic, discrete-time systems is presented. Starting from the dynamic programming equation, the value function will be approximated by means of Taylor series expansion up to second-order derivatives. Moreover, the problem will be reformulated, such that a minimum principle can be applied to the stochastic problem. Employing this minimum principle, the optimal control problem can be rewritten as a two-point boundary-value problem to be solved at each time step of a shrinking horizon. To avoid numerical problems, the two-point boundary-value problem will be solved by means of a continuation method. Thus, the curse of dimensionality of dynamic programming is avoided, and good candidates for the optimal state-feedback controls are obtained. The proposed approach will be evaluated by means of a scalar example system. © 2006 IEEE

Chance constrained model predictive control for multi-agent systems with coupling constraints

We consider stochastic model predictive control of a multi-agent systems with constraints on the probabilities of inter-agent collisions. First, we discuss a method based on sample average approximation of the collision probabilities to make the stochastic control problem computationally tractable. Empirical results indicate that the complexity of the resulting optimization problem can be too high to be solved under realtime requirements. To reduce the computational burden we propose a second approach. It employs probabilistic bounds to determine regions of increased probability of presence for each agent and introduce constraints for the control problem prohibiting overlap of these regions. We prove that the resulting problem is conservative for the original problem, i.e., every control strategy that is feasible under our new constraints will automatically be feasible for the true original problem. Furthermore, we present simulations demonstrating improved run-time performance of our second approach and compare our stochastic method to robust control. © 2012 AACC American Automatic Control Council)

Lazy auctions for multi-robot collision avoidance and motion control under uncertainty

We present an auction-flavored multi-robot planning mechanism where coordination is to be achieved on the occupation of atomic resources modeled as binary inter-robot constraints. Introducing virtual obstacles, we show how this approach can be combined with particle-based obstacle avoidance methods, offering a decentralized, auction-based alternative to previously established centralized approaches for multi-robot open-loop control. We illustrate the effectiveness of our new approach by presenting simulations of typical spatially-continuous multi-robot path-planning problems and derive bounds on the collision probability in the presence of uncertainty. © 2012 Springer-Verlag Berlin Heidelberg

A weighted likelihood criteria for learning importance densities in particle filtering

Abstract Selecting an optimal importance density and ensuring optimal particle weights are central challenges in particle-based filtering. In this paper, we provide a two-step procedure to learn importance densities for particle-based filtering. The first stage importance density is constructed based on ensemble Kalman filter kernels. This is followed by learning a second stage importance density via weighted likelihood criteria. The importance density is learned by fitting Gaussian mixture models to a set of particles and weights. The weighted likelihood learning criteria ensure that the second stage importance density is closer to the true filtered density, thereby improving the particle filtering procedure. Particle weights recalculated based on the latter density are shown to mitigate particle weight degeneracy as the filtering procedure propagates in time. We illustrate the proposed methodology on 2D and 3D nonlinear dynamical systems

Fuzzy Matrix Contractor Based Approach for Localization of Robots

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