The Separation Principle in Stochastic Control, Redux

Over the last 50 years a steady stream of accounts have been written on the separation principle of stochastic control. Even in the context of the linear-quadratic regulator in continuous time with Gaussian white noise, subtle difficulties arise, unexpected by many, that are often overlooked. In this paper we propose a new framework for establishing the separation principle. This approach takes the viewpoint that stochastic systems are well-defined maps between sample paths rather than stochastic processes per se and allows us to extend the separation principle to systems driven by martingales with possible jumps. While the approach is more in line with "real-life" engineering thinking where signals travel around the feedback loop, it is unconventional from a probabilistic point of view in that control laws for which the feedback equations are satisfied almost surely, and not deterministically for every sample path, are excluded.Comment: 23 pages, 6 figures, 2nd revision: added references, correction

Likelihood Analysis of Power Spectra and Generalized Moment Problems

We develop an approach to spectral estimation that has been advocated by Ferrante, Masiero and Pavon and, in the context of the scalar-valued covariance extension problem, by Enqvist and Karlsson. The aim is to determine the power spectrum that is consistent with given moments and minimizes the relative entropy between the probability law of the underlying Gaussian stochastic process to that of a prior. The approach is analogous to the framework of earlier work by Byrnes, Georgiou and Lindquist and can also be viewed as a generalization of the classical work by Burg and Jaynes on the maximum entropy method. In the present paper we present a new fast algorithm in the general case (i.e., for general Gaussian priors) and show that for priors with a specific structure the solution can be given in closed form.Comment: 17 pages, 4 figure

On time-reversibility of linear stochastic models

Reversal of the time direction in stochastic systems driven by white noise has been central throughout the development of stochastic realization theory, filtering and smoothing. Similar ideas were developed in connection with certain problems in the theory of moments, where a duality induced by time reversal was introduced to parametrize solutions. In this latter work it was shown that stochastic systems driven by arbitrary second-order stationary processes can be similarly time-reversed. By combining these two sets of ideas we present herein a generalization of time-reversal in stochastic realization theory.Comment: 10 pages, 4 figure

Debugging tasked Ada programs

The applications for which Ada was developed require distributed implementations of the language and extensive use of tasking facilities. Debugging and testing technology as it applies to parallel features of languages currently falls short of needs. Thus, the development of embedded systems using Ada pose special challenges to the software engineer. Techniques for distributing Ada programs, support for simulating distributed target machines, testing facilities for tasked programs, and debugging support applicable to simulated and to real targets all need to be addressed. A technique is presented for debugging Ada programs that use tasking and it describes a debugger, called AdaTAD, to support the technique. The debugging technique is presented together with the use interface to AdaTAD. The component of AdaTAD that monitors and controls communication among tasks was designed in Ada and is presented through an example with a simple tasked program

Unsupervised machine learning for detection of phase transitions in off-lattice systems I. Foundations

We demonstrate the utility of an unsupervised machine learning tool for the detection of phase transitions in off-lattice systems. We focus on the application of principal component analysis (PCA) to detect the freezing transitions of two-dimensional hard-disk and three-dimensional hard-sphere systems as well as liquid-gas phase separation in a patchy colloid model. As we demonstrate, PCA autonomously discovers order-parameter-like quantities that report on phase transitions, mitigating the need for a priori construction or identification of a suitable order parameter--thus streamlining the routine analysis of phase behavior. In a companion paper, we further develop the method established here to explore the detection of phase transitions in various model systems controlled by compositional demixing, liquid crystalline ordering, and non-equilibrium active forces

A focusing X-ray telescope for high altitude observations of cosmic X-rays in the energy range 20-140 keV

Focusing X ray telescope for high altitude observations of cosmic rays in 20-140 keV energy rang

Unsupervised machine learning for detection of phase transitions in off-lattice systems II. Applications

We outline how principal component analysis (PCA) can be applied to particle configuration data to detect a variety of phase transitions in off-lattice systems, both in and out of equilibrium. Specifically, we discuss its application to study 1) the nonequilibrium random organization (RandOrg) model that exhibits a phase transition from quiescent to steady-state behavior as a function of density, 2) orientationally and positionally driven equilibrium phase transitions for hard ellipses, and 3) compositionally driven demixing transitions in the non-additive binary Widom-Rowlinson mixture

Dynamic relations in sampled processes

Linear dynamical relations that may exist in continuous-time, or at some natural sampling rate, are not directly discernable at reduced observational sampling rates. Indeed, at reduced rates, matricial spectral densities of vectorial time series have maximal rank and thereby cannot be used to ascertain potential dynamic relations between their entries. This hitherto undeclared source of inaccuracies appears to plague off-the-shelf identification techniques seeking remedy in hypothetical observational noise. In this paper we explain the exact relation between stochastic models at different sampling rates and show how to construct stochastic models at the finest time scale that data allows. We then point out that the correct number of dynamical dependences can only be ascertained by considering stochastic models at this finest time scale, which in general is faster than the observational sampling rate.Comment: 13 pages, 4 figure

On a Fejer-Riesz factorization of generalized trigonometric polynomials

Function theory on the unit disc proved key to a range of problems in statistics, probability theory, signal processing literature, and applications, and in this, a special place is occupied by trigonometric functions and the Fejer-Riesz theorem that non-negative trigonometric polynomials can be expressed as the modulus of a polynomial of the same degree evaluated on the unit circle. In the present note we consider a natural generalization of non-negative trigonometric polynomials that are matrix-valued with specified non-trivial poles (i.e., other than at the origin or at infinity). We are interested in the corresponding spectral factors and, specifically, we show that the factorization of trigonometric polynomials can be carried out in complete analogy with the Fejer-Riesz theorem. The affinity of the factorization with the Fejer-Riesz theorem and the contrast to classical spectral factorization lies in the fact that the spectral factors have degree smaller than what standard construction in factorization theory would suggest. We provide two juxtaposed proofs of this fundamental theorem, albeit for the case of strict positivity, one that relies on analytic interpolation theory and another that utilizes classical factorization theory based on the Yacubovich-Popov-Kalman (YPK) positive-real lemma.Comment: 11 page