This paper considers a stochastic control framework, in which the residual model uncertainty of the dynamical system is learned using a Gaussian Process (GP). In the proposed formulation, the residual model uncertainty consists of a nonlinear function and state-dependent noise. The proposed formulation uses a posterior-GP to approximate the residual model uncertainty and a prior-GP to account for state-dependent noise. The two GPs are interdependent and are thus learned jointly using an iterative algorithm. Theoretical properties of the iterative algorithm are established. Advantages of the proposed state-dependent formulation include (i) faster convergence of the GP estimate to the unknown function as the GP learns which data samples are more trustworthy and (ii) an accurate estimate of state-dependent noise, which can, e.g., be useful for a controller or decision-maker to determine the uncertainty of an action. Simulation studies highlight these two advantages.
相關內容
In uncertainty quantification, variance-based global sensitivity analysis quantitatively determines the effect of each input random variable on the output by partitioning the total output variance into contributions from each input. However, computing conditional expectations can be prohibitively costly when working with expensive-to-evaluate models. Surrogate models can accelerate this, yet their accuracy depends on the quality and quantity of training data, which is expensive to generate (experimentally or computationally) for complex engineering systems. Thus, methods that work with limited data are desirable. We propose a diffeomorphic modulation under observable response preserving homotopy (D-MORPH) regression to train a polynomial dimensional decomposition surrogate of the output that minimizes the number of training data. The new method first computes a sparse Lasso solution and uses it to define the cost function. A subsequent D-MORPH regression minimizes the difference between the D-MORPH and Lasso solution. The resulting D-MORPH surrogate is more robust to input variations and more accurate with limited training data. We illustrate the accuracy and computational efficiency of the new surrogate for global sensitivity analysis using mathematical functions and an expensive-to-simulate model of char combustion. The new method is highly efficient, requiring only 15% of the training data compared to conventional regression.
Gaussian process (GP) regression is a Bayesian nonparametric method for regression and interpolation, offering a principled way of quantifying the uncertainties of predicted function values. For the quantified uncertainties to be well-calibrated, however, the covariance kernel of the GP prior has to be carefully selected. In this paper, we theoretically compare two methods for choosing the kernel in GP regression: cross-validation and maximum likelihood estimation. Focusing on the scale-parameter estimation of a Brownian motion kernel in the noiseless setting, we prove that cross-validation can yield asymptotically well-calibrated credible intervals for a broader class of ground-truth functions than maximum likelihood estimation, suggesting an advantage of the former over the latter.
Forecasting water content dynamics in heterogeneous porous media has significant interest in hydrological applications; in particular, the treatment of infiltration when in presence of cracks and fractures can be accomplished resorting to peridynamic theory, which allows a proper modeling of non localities in space. In this framework, we make use of Chebyshev transform on the diffusive component of the equation and then we integrate forward in time using an explicit method. We prove that the proposed spectral numerical scheme provides a solution converging to the unique solution in some appropriate Sobolev space. We finally exemplify on several different soils, also considering a sink term representing the root water uptake.
Mixtures of factor analysers (MFA) models represent a popular tool for finding structure in data, particularly high-dimensional data. While in most applications the number of clusters, and especially the number of latent factors within clusters, is mostly fixed in advance, in the recent literature models with automatic inference on both the number of clusters and latent factors have been introduced. The automatic inference is usually done by assigning a nonparametric prior and allowing the number of clusters and factors to potentially go to infinity. The MCMC estimation is performed via an adaptive algorithm, in which the parameters associated with the redundant factors are discarded as the chain moves. While this approach has clear advantages, it also bears some significant drawbacks. Running a separate factor-analytical model for each cluster involves matrices of changing dimensions, which can make the model and programming somewhat cumbersome. In addition, discarding the parameters associated with the redundant factors could lead to a bias in estimating cluster covariance matrices. At last, identification remains problematic for infinite factor models. The current work contributes to the MFA literature by providing for the automatic inference on the number of clusters and the number of cluster-specific factors while keeping both cluster and factor dimensions finite. This allows us to avoid many of the aforementioned drawbacks of the infinite models. For the automatic inference on the cluster structure, we employ the dynamic mixture of finite mixtures (MFM) model. Automatic inference on cluster-specific factors is performed by assigning an exchangeable shrinkage process (ESP) prior to the columns of the factor loading matrices. The performance of the model is demonstrated on several benchmark data sets as well as real data applications.
We consider a class of stochastic smooth convex optimization problems under rather general assumptions on the noise in the stochastic gradient observation. As opposed to the classical problem setting in which the variance of noise is assumed to be uniformly bounded, herein we assume that the variance of stochastic gradients is related to the "sub-optimality" of the approximate solutions delivered by the algorithm. Such problems naturally arise in a variety of applications, in particular, in the well-known generalized linear regression problem in statistics. However, to the best of our knowledge, none of the existing stochastic approximation algorithms for solving this class of problems attain optimality in terms of the dependence on accuracy, problem parameters, and mini-batch size. We discuss two non-Euclidean accelerated stochastic approximation routines--stochastic accelerated gradient descent (SAGD) and stochastic gradient extrapolation (SGE)--which carry a particular duality relationship. We show that both SAGD and SGE, under appropriate conditions, achieve the optimal convergence rate, attaining the optimal iteration and sample complexities simultaneously. However, corresponding assumptions for the SGE algorithm are more general; they allow, for instance, for efficient application of the SGE to statistical estimation problems under heavy tail noises and discontinuous score functions. We also discuss the application of the SGE to problems satisfying quadratic growth conditions, and show how it can be used to recover sparse solutions. Finally, we report on some simulation experiments to illustrate numerical performance of our proposed algorithms in high-dimensional settings.
Safety is one of the fundamental challenges in control theory. Recently, multi-step optimal control problems for discrete-time dynamical systems were formulated to enforce stability, while subject to input constraints as well as safety-critical requirements using discrete-time control barrier functions within a model predictive control (MPC) framework. Existing work usually focus on the feasibility or the safety for the optimization problem, and the majority of the existing work restrict the discussions to relative-degree one control barrier functions. Additionally, the real-time computation is challenging when a large horizon is considered in the MPC problem for relative-degree one or high-order control barrier functions. In this paper, we propose a framework that solves the safety-critical MPC problem in an iterative optimization, which is applicable for any relative-degree control barrier functions. In the proposed formulation, the nonlinear system dynamics as well as the safety constraints modeled as discrete-time high-order control barrier functions (DHOCBF) are linearized at each time step. Our formulation is generally valid for any control barrier function with an arbitrary relative-degree. The advantages of fast computational performance with safety guarantee are analyzed and validated with numerical results.
Recently Chen and Poor initiated the study of learning mixtures of linear dynamical systems. While linear dynamical systems already have wide-ranging applications in modeling time-series data, using mixture models can lead to a better fit or even a richer understanding of underlying subpopulations represented in the data. In this work we give a new approach to learning mixtures of linear dynamical systems that is based on tensor decompositions. As a result, our algorithm succeeds without strong separation conditions on the components, and can be used to compete with the Bayes optimal clustering of the trajectories. Moreover our algorithm works in the challenging partially-observed setting. Our starting point is the simple but powerful observation that the classic Ho-Kalman algorithm is a close relative of modern tensor decomposition methods for learning latent variable models. This gives us a playbook for how to extend it to work with more complicated generative models.
For predictive modeling relying on Bayesian inversion, fully independent, or ``mean-field'', Gaussian distributions are often used as approximate probability density functions in variational inference since the number of variational parameters is twice the number of unknown model parameters. The resulting diagonal covariance structure coupled with unimodal behavior can be too restrictive when dealing with highly non-Gaussian behavior, including multimodality. High-fidelity surrogate posteriors in the form of Gaussian mixtures can capture any distribution to an arbitrary degree of accuracy while maintaining some analytical tractability. Variational inference with Gaussian mixtures with full-covariance structures suffers from a quadratic growth in variational parameters with the number of model parameters. Coupled with the existence of multiple local minima due to nonconvex trends in the loss functions often associated with variational inference, these challenges motivate the need for robust initialization procedures to improve the performance and scalability of variational inference with mixture models. In this work, we propose a method for constructing an initial Gaussian mixture model approximation that can be used to warm-start the iterative solvers for variational inference. The procedure begins with an optimization stage in model parameter space in which local gradient-based optimization, globalized through multistart, is used to determine a set of local maxima, which we take to approximate the mixture component centers. Around each mode, a local Gaussian approximation is constructed via the Laplace method. Finally, the mixture weights are determined through constrained least squares regression. Robustness and scalability are demonstrated using synthetic tests. The methodology is applied to an inversion problem in structural dynamics involving unknown viscous damping coefficients.
Despite the progress in medical data collection the actual burden of SARS-CoV-2 remains unknown due to under-ascertainment of cases. This was apparent in the acute phase of the pandemic and the use of reported deaths has been pointed out as a more reliable source of information, likely less prone to under-reporting. Since daily deaths occur from past infections weighted by their probability of death, one may infer the total number of infections accounting for their age distribution, using the data on reported deaths. We adopt this framework and assume that the dynamics generating the total number of infections can be described by a continuous time transmission model expressed through a system of non-linear ordinary differential equations where the transmission rate is modelled as a diffusion process allowing to reveal both the effect of control strategies and the changes in individuals behavior. We develop this flexible Bayesian tool in Stan and study 3 pairs of European countries, estimating the time-varying reproduction number($R_t$) as well as the true cumulative number of infected individuals. As we estimate the true number of infections we offer a more accurate estimate of $R_t$. We also provide an estimate of the daily reporting ratio and discuss the effects of changes in mobility and testing on the inferred quantities.
Data-driven control in unknown environments requires a clear understanding of the involved uncertainties for ensuring safety and efficient exploration. While aleatoric uncertainty that arises from measurement noise can often be explicitly modeled given a parametric description, it can be harder to model epistemic uncertainty, which describes the presence or absence of training data. The latter can be particularly useful for implementing exploratory control strategies when system dynamics are unknown. We propose a novel method for detecting the absence of training data using deep learning, which gives a continuous valued scalar output between $0$ (indicating low uncertainty) and $1$ (indicating high uncertainty). We utilize this detector as a proxy for epistemic uncertainty and show its advantages over existing approaches on synthetic and real-world datasets. Our approach can be directly combined with aleatoric uncertainty estimates and allows for uncertainty estimation in real-time as the inference is sample-free unlike existing approaches for uncertainty modeling. We further demonstrate the practicality of this uncertainty estimate in deploying online data-efficient control on a simulated quadcopter acted upon by an unknown disturbance model.
小貼士
登錄享
相關主題
注冊地址： 北京市海淀區羊坊店路18號2幢3層301-191