arXiv subjects

Anders Lindquist

Publications and source records attributed to Anders Lindquist.

At least 19 recordsLinked to original sources

arXiv2026

Truncated Multidimensional Trigonometric Moment Problem: A Choice of Bases and the Unique Solution

In this paper, we resolve the Truncated Multidimensional Trigonometric Moment Problem (TMTMP) from a system and signal processing perspective, which serves as the foundation for the Multidimensional Rational Covariance Extension Problem (RCEP). While standard mathematical TMTMPs focus on the existence of atomic measure solutions, system identification requires analytic rational solutions with positive polynomial coefficients. To overcome the long-standing challenge of characterizing the positive feasible domain under general bases, we propose a novel choice of basis functions and a corresponding estimation scheme via convex optimization. We establish an explicit condition to guarantee the positiveness of the spectral estimate. Crucially, the map from the estimate parameters to the trigonometric moments is proved to be a diffeomorphism, ensuring the existence and uniqueness of the solution. Furthermore, we comprehensively prove the statistical properties of the estimator, including its consistency, (asymptotic) unbiasedness, convergence rate, and efficiency. The proposed framework is applied to a system identification task, where simulations validate its effectiveness.

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arXiv2024

A general solution to the simultaneous stabilization problem by analytic interpolation

In this paper, we tackle the significant challenge of simultaneous stabilization in control systems engineering, where the aim is to employ a single controller to ensure stability across multiple systems. We delve into both scalar and multivariable scenarios. For the scalar case, we present the necessary and sufficient conditions for a single controller to stabilize multiple plants and reformulate these conditions to interpolation constraints, which expand Ghosh's results by allowing derivative constraints. Furthermore, we implement a methodology based on a Riccati-type matrix equation, called the Covariance Extension Equation. This approach enables us to parameterize all potential solutions using a monic Schur polynomial. Consequently, we extend our result to the multivariable scenario and derive the necessary and sufficient conditions for a group of $m\times m$ plants to be simultaneously stabilizable, which can also be solved by our analytic interpolation method. Finally, we construct four numerical examples, showcasing the application of our method across various scenarios encountered in control systems engineering and highlighting its ability to stabilize diverse systems efficiently and reliably.

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arXiv2024

Distribution Steering for Discrete-Time Uncertain Ensemble Systems

Ensemble systems appear frequently in many engineering applications and, as a result, they have become an important research topic in control theory. These systems are best characterized by the evolution of their underlying state distribution. Despite the work to date, few results exist dealing with the problem of directly modifying (i.e., ``steering'') the distribution of an ensemble system. In addition, in most existing results, the distribution of the states of an ensemble of discrete-time systems is assumed to be Gaussian. However, in case the system parameters are uncertain, it is not always realistic to assume that the distribution of the system follows a Gaussian distribution, thus complicating the solution of the overall problem. In this paper, we address the general distribution steering problem for first-order discrete-time ensemble systems, where the distributions of the system parameters and the states are arbitrary with finite first few moments. Linear system dynamics are considered using the method of power moments to transform the original infinite-dimensional problem into a finite-dimensional one. We also propose a control law for the ensuing moment system, which allows us to obtain the power moments of the desired control inputs. Finally, we solve the inverse problem to obtain the feasible control inputs from their corresponding power moments. We provide a numerical example to validate our theoretical developments.

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arXiv2024

Multivariable simultaneous stabilization: A modified Riccati approach

Simultaneous stabilization problem arises in various systems and control applications. This paper introduces a new approach to addressing this problem in the multivariable scenario, building upon our previous findings in the scalar case. The method utilizes a Riccati-type matrix equation known as the Covariance Extension Equation, which yields all solutions parameterized in terms of a matrix polynomial. The procedure is demonstrated through specific examples.

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arXiv2023

General Discrete-Time Fokker-Planck Control by Power Moments

In this paper, we address the so-called general Fokker-Planck control problem for discrete-time first-order linear systems. Unlike conventional treatments, we don't assume the distributions of the system states to be Gaussian. Instead, we only assume the existence and finiteness of the first several order power moments of the distributions. It is proved in the literature that there doesn't exist a solution, which has a form of conventional feedback control, to this problem. We propose a moment representation of the system to turn the original problem into a finite-dimensional one. Then a novel feedback control term, which is a mixture of a feedback term and a Markovian transition kernel term is proposed to serve as the control input of the moment system. The states of the moment system are obtained by maximizing the smoothness of the state transition. The power moments of the transition kernels are obtained by a convex optimization problem, of which the solution is proved to exist and be unique. Then they are mapped back to the probability distributions. The control inputs to the original system are then obtained by sampling from the realized distributions. Simulation results are provided to validate our algorithm in treating the general discrete-time Fokker-Planck control problem.

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arXiv2023

Quantitative Error Analyses of Spectral Density Estimators Using Covariance Lags

Spectral density estimation is a core problem of system identification, which is an important research area of system control and signal processing. There have been numerous results on the design of spectral density estimators. However to our best knowledge, quantitative error analyses of the spectral density estimation have not been proposed yet. In real practice, there are two main factors which induce errors in the spectral density estimation, including the external additive noise and the limited number of samples. In this paper, which is a very preliminary version, we first consider a univariate spectral density estimator using covariance lags. The estimation task is performed by a convex optimization scheme, and the covariance lags of the estimated spectral density are exactly as desired, which makes it possible for quantitative error analyses such as to derive tight error upper bounds. We analyze the errors induced by the two factors and propose upper and lower bounds for the errors. Then the results of the univariate spectral estimator are generalized to the multivariate one.

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arXiv2023

A parameterized solution to the simultaneous stabilization problem

In a series of fundamental papers BK Ghosh reduced the simultaneous stabilization problem to a NevanlinnaPick interpolation problem. In this paper we generalize some of these results allowing for derivative constraints. Moreover, we apply a method based on a Riccati-type matrix equation, called the Covariance Extension Equation, which provides a parameterization of all solutions in terms of a monic Schur polynomial. The procedure is illustrated by examples.

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arXiv2023

General Distribution Steering: A Sub-Optimal Solution by Convex Optimization

General distribution steering is intrinsically an infinite-dimensional problem, when the continuous distributions to steer are arbitrary. We put forward a moment representation of the primal system for control in [42]. However, the system trajectory was a predetermined one without optimization towards a design criterion, which doesn't always ensure a most satisfactory solution. In this paper, we propose an optimization approach to the general distribution steering problem of the first-order discrete-time linear system, i.e., an optimal control law for the corresponding moment system. The domain of all feasible control inputs is non-convex and has a complex topology. We obtain a subset of it by minimizing a weighted sum of squared integral distances alongside the system trajectory. The feasible domain is then proved convex, and the optimal control problem can be treated as a convex optimization or by exhaustive search, based on the type of the cost function. Algorithms of steering for continuous and discrete distributions are then put forward respectively, by adopting a realization scheme of control inputs. We also provide an explicit advantage of our proposed algorithm by truncated power moments to the prevailing Gaussian Mixture Models. Experiments on different types of cost functions are given to validate the performance of our proposed algorithm. Since the moment system is a dimension-reduced counterpart of the primal system, we call this solution a sub-optimal one to the primal general distribution steering problem.

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arXiv2022

Spectral Factorization of Rank-Deficient Rational Densities

Though there have been hundreds of methods on solving rational spectral factorization, most of them are based on a positive definite density matrix assumption. In this work, we propose a novel approach on the spectral factorization of a low-rank spectral density, to a minimum-phase full-rank factor. Compared with other several approaches on low-rank spectral factorizations, our approach uses the deterministic relation inside a factor, leading to a high computation efficiency. In addition, we shall show that this method is easily used in identification of low-rank processes and Wiener Filter.

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arXiv2022

Group Steering: Approaches Based on Power Moments

This paper considers the problem of steering a vast group of agents of which the dynamics are governed by a discrete-time asymptotically stable first-order linear system. The group of agents are characterized as a probability density function and an occupation measure respectively in the paper and two corresponding treatments are given. We propose to use the power moments to characterize the density function/occupation measure of the agents. A moment system representation of the original system is put forward for control and an empirical control scheme corresponding to it is proposed. By the designed control law, the moment sequence of the control at each time step is positive, which ensures the existence of the control for the moment system. We then realize the control as an analytic form of function by a convex optimization scheme of which the existence and uniqueness of the solution have been proved in our previous paper. The terminal density is proved to converge to the desired terminal one, which distinguishes the proposed distribution steering scheme from other existing ones. An error analysis of the terminal density from the specified one is also provided. For the problem where the group of agents is characterized as an occupation measure, the control for each agent is determined by drawing independent and identically-distributed(i.i.d) samples from the realized analytic function. Finally, simulation results validate our proposed algorithms.

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arXiv2022

A Multivariate Non-Gaussian Bayesian Filter Using Power Moments

In this paper, we extend our results on the univariate non-Gaussian Bayesian filter using power moments to the multivariate systems, which can be either linear or nonlinear. Doing this introduces several challenging problems, for example a positive parametrization of the density surrogate, which is not only a problem of filter design, but also one of the multiple dimensional Hamburger moment problem. We propose a parametrization of the density surrogate with the proofs to its existence, Positivstellensatz and uniqueness. Based on it, we analyze the errors of moments of the density estimates by the proposed density surrogate. A discussion on continuous and discrete treatments to the non-Gaussian Bayesian filtering problem is proposed to motivate the research on continuous parametrization of the system state. Simulation results on estimating different types of multivariate density functions are given to validate our proposed filter. To the best of our knowledge, the proposed filter is the first one implementing the multivariate Bayesian filter with the system state parameterized as a continuous function, which only requires the true states being Lebesgue integrable.

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arXiv2022

A Non-Gaussian Bayesian Filter Using Power and Generalized Logarithmic Moments

In this paper, we aim to propose a consistent non-Gaussian Bayesian filter of which the system state is a continuous function. The distributions of the true system states, and those of the system and observation noises, are only assumed Lebesgue integrable with no prior constraints on what function classes they fall within. This type of filter has significant merits in both theory and practice, which is able to ameliorate the curse of dimensionality for the particle filter, a popular non-Gaussian Bayesian filter of which the system state is parameterized by discrete particles and the corresponding weights. We first propose a new type of statistics, called the generalized logarithmic moments. Together with the power moments, they are used to form a density surrogate, parameterized as an analytic function, to approximate the true system state. The map from the parameters of the proposed density surrogate to both the power moments and the generalized logarithmic moments is proved to be a diffeomorphism, establishing the fact that there exists a unique density surrogate which satisfies both moment conditions. This diffeomorphism also allows us to use gradient methods to treat the convex optimization problem in determining the parameters. Last but not least, simulation results reveal the advantage of using both sets of moments for estimating mixtures of complicated types of functions. A robot localization simulation is also given, as an engineering application to validate the proposed filtering scheme.

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arXiv2022

Density Steering by Power Moments

This paper considers the problem of steering an arbitrary initial probability density function to an arbitrary terminal one, where the system dynamics is governed by a first-order linear stochastic difference equation. It is a generalization of the conventional stochastic control problem where the uncertainty of the system state is usually characterized by a Gaussian distribution. We propose to use the power moments to turn the infinite-dimensional problem into a finite-dimensional one and to present an empirical control scheme. By the designed control law, the moment sequence of the controls at each time step is positive, which ensures the existence of the control for the moment system. We then realize the control at each time step as a function in analytic form by a convex optimization scheme, for which the existence and uniqueness of the solution have been proved in our previous paper. Two numerical examples are given to validate our proposed algorithm.

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arXiv2022

Non-Gaussian Bayesian Filtering by Density Parametrization Using Power Moments

Non-Gaussian Bayesian filtering is a core problem in stochastic filtering. The difficulty of the problem lies in parameterizing the state estimates. However the existing methods are not able to treat it well. We propose to use power moments to obtain a parameterization. Unlike the existing parametric estimation methods, our proposed algorithm does not require prior knowledge about the state to be estimated, e.g. the number of modes and the feasible classes of function. Moreover, the proposed algorithm is not required to store massive parameters during filtering as the existing nonparametric Bayesian filters, e.g. the particle filter. The parameters of the proposed parametrization can also be determined by a convex optimization scheme with moments constraints, to which the solution is proved to exist and be unique. A necessary and sufficient condition for all the power moments of the density estimate to exist and be finite is provided. The errors of power moments are analyzed for the density estimate being either light-tailed or heavy-tailed. Error upper bounds of the density estimate for the one-step prediction are proposed. Simulation results on different types of density functions of the state are given, including the heavy-tailed densities, to validate the proposed algorithm.

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arXiv2022

A Non-Classical Parameterization for Density Estimation Using Sample Moments

Probability density estimation is a core problem of statistics and signal processing. Moment methods are an important means of density estimation, but they are generally strongly dependent on the choice of feasible functions, which severely affects the performance. In this paper, we propose a non-classical parametrization for density estimation using sample moments, which does not require the choice of such functions. The parametrization is induced by the squared Hellinger distance, and the solution of it, which is proved to exist and be unique subject to a simple prior that does not depend on data, and can be obtained by convex optimization. Statistical properties of the density estimator, together with an asymptotic error upper bound are proposed for the estimator by power moments. Applications of the proposed density estimator in signal processing tasks are given. Simulation results validate the performance of the estimator by a comparison to several prevailing methods. To the best of our knowledge, the proposed estimator is the first one in the literature for which the power moments up to an arbitrary even order exactly match the sample moments, while the true density is not assumed to fall within specific function classes.

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arXiv2021

Identification of Low Rank Vector Processes

We study modeling and identification of stationary processes with a spectral density matrix of low rank. Equivalently, we consider processes having an innovation of reduced dimension for which Prediction Error Methods (PEM) algorithms are not directly applicable. We show that these processes admit a special feedback structure with a deterministic feedback channel which can be used to split the identification in two steps, one of which can be based on standard algorithms while the other is based on a deterministic least squares fit. Identifiability of the feedback system is analyzed and a unique identifiable structure is characterized. Simulations show that the proposed procedure works well in some simple examples.

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arXiv2021

Modeling of Low Rank Time Series

Rank-deficient stationary stochastic vector processes are present in many problems in network theory and dynamic factor analysis. In this paper we study hidden dynamical relations between the components of a discrete-time stochastic vector process and investigate their properties with respect to stability and causality. More specifically, we construct transfer functions with a full-rank input process formed from selected components of the given vector process and having a vector process of the remaining components as output. An important question, which we answer in the negative, is whether it is always possible to find such a deterministic relation that is stable. If it is unstable, there must be feedback from output to input ensuring that stationarity is maintained. This leads to connections to robust control. We also show how our results could be used to investigate the structure of dynamic network models and the latent low-rank stochastic process in a dynamic factor model.

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arXiv2021

The Covariance Extension Equation: A Riccati-type Approach to Analytic Interpolation

Analytic interpolation problems with rationality and derivative constraints are ubiquitous in systems and control. This paper provides a new method for such problems, both in the scalar and matrix case, based on a non-standard Riccati-type equation. The rank of the solution matrix is the same as the degree of the interpolant, thus providing a natural approach to model reduction. A homotopy continuation method is presented and applied to some problems in modeling and robust control. We also address a question on the positive degree of a covariance sequence originally posed by Kalman.

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