Analysis of extremum value theorems for function spaces in optimal control under numerical uncertainty

The extremum value theorem for function spaces plays the central role in optimal control. It is known that computation of optimal control actions and policies is often prone to numerical errors which may be related to computability issues. The current work addresses a version of the extremum value theorem for function spaces under explicit consideration of numerical uncertainties. It is shown that certain function spaces are bounded in a suitable sense i.e. they admit finite approximations up to an arbitrary precision. The proof of this fact is constructive in the sense that it explicitly builds the approximating functions. Consequently, existence of approximate extremal functions is shown. Applicability of the theorem is investigated for finite--horizon optimal control, dynamic programming and adaptive dynamic programming. Some possible computability issues of the extremum value theorem in optimal control are shown on counterexamplesComment: 28 page

An algorithm for the rapid location of an extreme of a function subject only to geometric restrictions

The requirements of symmetry and convexity in the application of algorithms for the minimization or maximization of a function are discussed. It is argued that if a function of a single variable is convex and symmetric in a neighborhood of an extremum, the extremum may be approximated to the precision that increases by at least a power of two per functional evaluation. The procedure may be used to drive a complex optimization procedure in the multivariate area estimation problem encountered in remote sensing

On the computational complexity of MCMC-based estimators in large samples

In this paper we examine the implications of the statistical large sample theory for the computational complexity of Bayesian and quasi-Bayesian estimation carried out using Metropolis random walks. Our analysis is motivated by the Laplace-Bernstein-Von Mises central limit theorem, which states that in large samples the posterior or quasi-posterior approaches a normal density. Using this observation, we establish polynomial bounds on the computational complexity of general Metropolis random walks methods in large samples. Our analysis covers cases, where the underlying log-likelihood or extremum criterion function is possibly nonconcave, discontinuous, and of increasing dimension. However, the central limit theorem restricts the deviations from continuity and log-concavity of the log-likelihood or extremum criterion function in a very specific manner.

Planar Cooperative Extremum Seeking with Guaranteed Convergence Using A Three-Robot Formation

In this paper, a combined formation acquisition and cooperative extremum seeking control scheme is proposed for a team of three robots moving on a plane. The extremum seeking task is to find the maximizer of an unknown two-dimensional function on the plane. The function represents the signal strength field due to a source located at maximizer, and is assumed to be locally concave around maximizer and monotonically decreasing in distance to the source location. Taylor expansions of the field function at the location of a particular lead robot and the maximizer are used together with a gradient estimator based on signal strength measurements of the robots to design and analyze the proposed control scheme. The proposed scheme is proven to exponentially and simultaneously (i) acquire the specified geometric formation and (ii) drive the lead robot to a specified neighborhood disk around maximizer, whose radius depends on the specified desired formation size as well as the norm bounds of the Hessian of the field function. The performance of the proposed control scheme is evaluated using a set of simulation experiments.Comment: Presented at the 2018 IEEE Conference on Decision and Control (CDC), Miami Beach, FL, US

Confidence bounds for the extremum determined by a quadratic regression

A quadratic function is frequently used in regression to infer the existence of an extremum in a relationship. Examples abound in fields such as economics, epidemiology and environmental science. However, most applications provide no formal test of the extremum. Here we compare the Delta method and the Fieller method in typical applications and perform a Monte Carlo study of the coverage of these confidence bounds. We find that unless the parameter on the squared term is estimated with great precision, the Fieller confidence interval may posses dramatically better coverage than the Delta methodTurning Point, Fieller interval, U-shaped