arXiv subjects

Prashant G. Mehta

Publications and source records attributed to Prashant G. Mehta.

72 records · Page 4Linked to original sources

arXiv2017

Kalman Filter and its Modern Extensions for the Continuous-time Nonlinear Filtering Problem

This paper is concerned with the filtering problem in continuous-time. Three algorithmic solution approaches for this problem are reviewed: (i) the classical Kalman-Bucy filter which provides an exact solution for the linear Gaussian problem, (ii) the ensemble Kalman-Bucy filter (EnKBF) which is an approximate filter and represents an extension of the Kalman-Bucy filter to nonlinear problems, and (iii) the feedback particle filter (FPF) which represents an extension of the EnKBF and furthermore provides for an consistent solution in the general nonlinear, non-Gaussian case. The common feature of the three algorithms is the gain times error formula to implement the update step (to account for conditioning due to the observations) in the filter. In contrast to the commonly used sequential Monte Carlo methods, the EnKBF and FPF avoid the resampling of the particles in the importance sampling update step. Moreover, the feedback control structure provides for error correction potentially leading to smaller simulation variance and improved stability properties. The paper also discusses the issue of non-uniqueness of the filter update formula and formulates a novel approximation algorithm based on ideas from optimal transport and coupling of measures. Performance of this and other algorithms is illustrated for a numerical example.

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arXiv2017

Error Analysis for the Linear Feedback Particle Filter

This paper is concerned with the convergence and the error analysis for the feedback particle filter (FPF) algorithm. The FPF is a controlled interacting particle system where the control law is designed to solve the nonlinear filtering problem. For the linear Gaussian case, certain simplifications arise whereby the linear FPF reduces to one form of the ensemble Kalman filter. For this and for the more general nonlinear non-Gaussian case, it has been an open problem to relate the convergence and error properties of the finite-N algorithm to the mean-field limit (where the exactness results have been obtained). In this paper, the equations for empirical mean and covariance are derived for the finite-N linear FPF. Remarkably, for a certain deterministic form of FPF, the equations for mean and variance are identical to the Kalman filter. This allows strong conclusions on convergence and error properties based on the classical filter stability theory for the Kalman filter. It is shown that the error converges to zero even with finite number of particles. The paper also presents propagation of chaos estimates for the finite-N linear filter. The error estimates are illustrated with numerical experiments.

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arXiv2017

How regularization affects the critical points in linear networks

This paper is concerned with the problem of representing and learning a linear transformation using a linear neural network. In recent years, there has been a growing interest in the study of such networks in part due to the successes of deep learning. The main question of this body of research and also of this paper pertains to the existence and optimality properties of the critical points of the mean-squared loss function. The primary concern here is the robustness of the critical points with regularization of the loss function. An optimal control model is introduced for this purpose and a learning algorithm (regularized form of backprop) derived for the same using the Hamilton's formulation of optimal control. The formulation is used to provide a complete characterization of the critical points in terms of the solutions of a nonlinear matrix-valued equation, referred to as the characteristic equation. Analytical and numerical tools from bifurcation theory are used to compute the critical points via the solutions of the characteristic equation. The main conclusion is that the critical point diagram can be fundamentally different even with arbitrary small amounts of regularization.

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arXiv2017

A Controlled Particle Filter for Global Optimization

A particle filter is introduced to numerically approximate a solution of the global optimization problem. The theoretical significance of this work comes from its variational aspects: (i) the proposed particle filter is a controlled interacting particle system where the control input represents the solution of a mean-field type optimal control problem; and (ii) the associated density transport is shown to be a gradient flow (steepest descent) for the optimal value function, with respect to the Kullback--Leibler divergence. The optimal control construction of the particle filter is a significant departure from the classical importance sampling-resampling based approaches. There are several practical advantages: (i) resampling, reproduction, death or birth of particles is avoided; (ii) simulation variance can potentially be reduced by applying feedback control principles; and (iii) the parametric approximation naturally arises as a special case. The latter also suggests systematic approaches for numerical approximation of the optimal control law. The theoretical results are illustrated with numerical examples.

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arXiv2017

Feedback Particle Filter on Matrix Lie Groups

This paper is concerned with the problem of continuous-time nonlinear filtering for stochastic processes on a connected matrix Lie group. The main contribution of this paper is to derive the feedback particle filter (FPF) algorithm for this problem. In its general form, the FPF is shown to provide a coordinate-free description of the filter that automatically satisfies the geometric constraints of the manifold. The particle dynamics are encapsulated in a Stratonovich stochastic differential equation that retains the feedback structure of the original (Euclidean) FPF. The implementation of the filter requires a solution of a Poisson equation on the Lie group, and two numerical algorithms are described for this purpose. As an example, the FPF is applied to the problem of attitude estimation - a nonlinear filtering problem on the Lie group SO(3). The formulae of the filter are described using both the rotation matrix and the quaternion coordinates. Comparisons are also provided between the FPF and some popular algorithms for attitude estimation, namely the multiplicative EKF, the unscented quaternion estimator, the left invariant EKF, and the invariant ensemble Kalman filter. Numerical simulations are presented to illustrate the comparisons.

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arXiv2016

Error Estimates for the Kernel Gain Function Approximation in the Feedback Particle Filter

This paper is concerned with the analysis of the kernel-based algorithm for gain function approximation in the feedback particle filter. The exact gain function is the solution of a Poisson equation involving a probability-weighted Laplacian. The kernel-based method -- introduced in our prior work -- allows one to approximate this solution using {\em only} particles sampled from the probability distribution. This paper describes new representations and algorithms based on the kernel-based method. Theory surrounding the approximation is improved and a novel formula for the gain function approximation is derived. A procedure for carrying out error analysis of the approximation is introduced. Certain asymptotic estimates for bias and variance are derived for the general nonlinear non-Gaussian case. Comparison with the constant gain function approximation is provided. The results are illustrated with the aid of some numerical experiments.

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arXiv2016

Attitude Estimation with Feedback Particle Filter

This paper presents theory, application, and comparisons of the feedback particle filter (FPF) algorithm for the problem of attitude estimation. The paper builds upon our recent work on the exact FPF solution of the continuous-time nonlinear filtering problem on compact Lie groups. In this paper, the details of the FPF algorithm are presented for the problem of attitude estimation - a nonlinear filtering problem on SO(3). The quaternions are employed for computational purposes. The algorithm requires a numerical solution of the filter gain function, and two methods are applied for this purpose. Comparisons are also provided between the FPF and some popular algorithms for attitude estimation on SO(3), including the invariant EKF, the multiplicative EKF, and the unscented Kalman filter. Simulation results are presented that help illustrate the comparisons.

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arXiv2016

Gain Function Approximation in the Feedback Particle Filter

This paper is concerned with numerical algorithms for gain function approximation in the feedback particle filter. The exact gain function is the solution of a Poisson equation involving a probability-weighted Laplacian. The problem is to approximate this solution using only particles sampled from the probability distribution. Two algorithms are presented: a Galerkin algorithm and a kernel-based algorithm. Both the algorithms are adapted to the samples and do not require approximation of the probability distribution as an intermediate step. The paper contains error analysis for the algorithms as well as some comparative numerical results for a non-Gaussian distribution. These algorithms are also applied and illustrated for a simple nonlinear filtering example.

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arXiv2015

An Optimal Transport Formulation of the Linear Feedback Particle Filter

Feedback particle filter (FPF) is an algorithm to numerically approximate the solution of the nonlinear filtering problem in continuous time. The algorithm implements a feedback control law for a system of particles such that the empirical distribution of particles approximates the posterior distribution. However, it has been noted in the literature that the feedback control law is not unique. To find a unique control law, the filtering task is formulated here as an optimal transportation problem between the prior and the posterior distributions. Based on this formulation, a time stepping optimization procedure is proposed for the optimal control design. A key difference between the optimal control law and the one in the original FPF, is the replacement of noise term with a deterministic term. This difference serves to decreases the simulation variance, as illustrated with a simple numerical example.

math.PR↗

arXiv2015

Feedback Particle Filter on Matrix Lie Groups

This paper is concerned with the problem of continuous-time nonlinear filtering for stochastic processes on a compact and connected matrix Lie group without boundary, e.g. SO(n) and SE(n), in the presence of real-valued observations. This problem is important to numerous applications in attitude estimation, visual tracking and robotic localization. The main contribution of this paper is to derive the feedback particle filter (FPF) algorithm for this problem. In its general form, the FPF provides a coordinate-free description of the filter that furthermore satisfies the geometric constraints of the manifold. The particle dynamics are encapsulated in a Stratonovich stochastic differential equation that preserves the feedback structure of the original Euclidean FPF. Specific examples for SO(2) and SO(3) are provided to help illustrate the filter using the phase and the quaternion coordinates, respectively.

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arXiv2014

Poisson's equation in nonlinear filtering

The aim of this paper is to provide a variational interpretation of the nonlinear filter in continuous time. A time-stepping procedure is introduced, consisting of successive minimization problems in the space of probability densities. The weak form of the nonlinear filter is derived via analysis of the first-order optimality conditions for these problems. The derivation shows the nonlinear filter dynamics may be regarded as a gradient flow, or a steepest descent, for a certain energy functional with respect to the Kullback-Leibler divergence. The second part of the paper is concerned with derivation of the feedback particle filter algorithm, based again on the analysis of the first variation. The algorithm is shown to be exact. That is, the posterior distribution of the particle matches exactly the true posterior, provided the filter is initialized with the true prior.

math.OC↗

arXiv2014

Probabilistic Data Association-Feedback Particle Filter for Multiple Target Tracking Applications

This paper is concerned with the problem of tracking single or multiple targets with multiple non-target specific observations (measurements). For such filtering problems with data association uncertainty, a novel feedback control-based particle filter algorithm is introduced. The algorithm is referred to as the probabilistic data association-feedback particle filter (PDA-FPF). The proposed filter is shown to represent a generalization to the nonlinear non-Gaussian case of the classical Kalman filter-based probabilistic data association filter (PDAF). One remarkable conclusion is that the proposed PDA-FPF algorithm retains the innovation error-based feedback structure of the classical PDAF algorithm, even in the nonlinear non-Gaussian case. The theoretical results are illustrated with the aid of numerical examples motivated by multiple target tracking applications.

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arXiv2013

Interacting Multiple Model-Feedback Particle Filter for Stochastic Hybrid Systems

In this paper, a novel feedback control-based particle filter algorithm for the continuous-time stochastic hybrid system estimation problem is presented. This particle filter is referred to as the interacting multiple model-feedback particle filter (IMM-FPF), and is based on the recently developed feedback particle filter. The IMM-FPF is comprised of a series of parallel FPFs, one for each discrete mode, and an exact filter recursion for the mode association probability. The proposed IMM-FPF represents a generalization of the Kalmanfilter based IMM algorithm to the general nonlinear filtering problem. The remarkable conclusion of this paper is that the IMM-FPF algorithm retains the innovation error-based feedback structure even for the nonlinear problem. The interaction/merging process is also handled via a control-based approach. The theoretical results are illustrated with the aid of a numerical example problem for a maneuvering target tracking application.

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arXiv2013

Joint Probabilistic Data Association-Feedback Particle Filter for Multiple Target Tracking Applications

This paper introduces a novel feedback-control based particle filter for the solution of the filtering problem with data association uncertainty. The particle filter is referred to as the joint probabilistic data association-feedback particle filter (JPDA-FPF). The JPDA-FPF is based on the feedback particle filter introduced in our earlier papers. The remarkable conclusion of our paper is that the JPDA-FPF algorithm retains the innovation error-based feedback structure of the feedback particle filter, even with data association uncertainty in the general nonlinear case. The theoretical results are illustrated with the aid of two numerical example problems drawn from multiple target tracking applications.

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arXiv2013

Multivariable Feedback Particle Filter

In recent work it is shown that importance sampling can be avoided in the particle filter through an innovation structure inspired by traditional nonlinear filtering combined with Mean-Field Game formalisms. The resulting feedback particle filter (FPF) offers significant variance improvements; in particular, the algorithm can be applied to systems that are not stable. The filter comes with an up-front computational cost to obtain the filter gain. This paper describes new representations and algorithms to compute the gain in the general multivariable setting. The main contributions are, (i) Theory surrounding the FPF is improved: Consistency is established in the multivariate setting, as well as well-posedness of the associated PDE to obtain the filter gain. (ii) The gain can be expressed as the gradient of a function, which is precisely the solution to Poisson's equation for a related MCMC diffusion (the Smoluchowski equation). This provides a bridge to MCMC as well as to approximate optimal filtering approaches such as TD-learning, which can in turn be used to approximate the gain. (iii) Motivated by a weak formulation of Poisson's equation, a Galerkin finite-element algorithm is proposed for approximation of the gain. Its performance is illustrated in numerical experiments.

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arXiv2013

Feedback Particle Filter

A new formulation of the particle filter for nonlinear filtering is presented, based on concepts from optimal control, and from the mean-field game theory. The optimal control is chosen so that the posterior distribution of a particle matches as closely as possible the posterior distribution of the true state given the observations. This is achieved by introducing a cost function, defined by the Kullback-Leibler (K-L) divergence between the actual posterior, and the posterior of any particle. The optimal control input is characterized by a certain Euler-Lagrange (E-L) equation, and is shown to admit an innovation error-based feedback structure. For diffusions with continuous observations, the value of the optimal control solution is ideal. The two posteriors match exactly, provided they are initialized with identical priors. The feedback particle filter is defined by a family of stochastic systems, each evolving under this optimal control law. A numerical algorithm is introduced and implemented in two general examples, and a neuroscience application involving coupled oscillators. Some preliminary numerical comparisons between the feed- back particle filter and the bootstrap particle filter are described.

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arXiv2010

Stability Margin Scaling Laws for Distributed Formation Control as a Function of Network Structure

We consider the problem of distributed formation control of a large number of vehicles. An individual vehicle in the formation is assumed to be a fully actuated point mass. A distributed control law is examined: the control action on an individual vehicle depends on (i) its own velocity and (ii) the relative position measurements with a small subset of vehicles (neighbors) in the formation. The neighbors are defined according to an information graph. In this paper we describe a methodology for modeling, analysis, and distributed control design of such vehicular formations whose information graph is a D-dimensional lattice. The modeling relies on an approximation based on a partial differential equation (PDE) that describes the spatio-temporal evolution of position errors in the formation. The analysis and control design is based on the PDE model. We deduce asymptotic formulae for the closed-loop stability margin (absolute value of the real part of the least stable eigenvalue) of the controlled formation. The stability margin is shown to approach 0 as the number of vehicles N goes to infinity. The exponent on the scaling law for the stability margin is influenced by the dimension and the structure of the information graph. We show that the scaling law can be improved by employing a higher dimensional information graph. Apart from analysis, the PDE model is used for a mistuning-based design of control gains to maximize the stability margin. Mistuning here refers to small perturbation of control gains from their nominal symmetric values. We show that the mistuned design can have a significantly better stability margin even with a small amount of perturbation. The results of the analysis with the PDE model are corroborated with numerical computation of eigenvalues with the state-space model of the formation.

nlin.AO↗

arXiv2008

Mistuning-based Control Design to Improve Closed-Loop Stability of Vehicular Platoons

We consider a decentralized bidirectional control of a platoon of N identical vehicles moving in a straight line. The control objective is for each vehicle to maintain a constant velocity and inter-vehicular separation using only the local information from itself and its two nearest neighbors. Each vehicle is modeled as a double integrator. To aid the analysis, we use continuous approximation to derive a partial differential equation (PDE) approximation of the discrete platoon dynamics. The PDE model is used to explain the progressive loss of closed-loop stability with increasing number of vehicles, and to devise ways to combat this loss of stability. If every vehicle uses the same controller, we show that the least stable closed-loop eigenvalue approaches zero as O(1/N^2) in the limit of a large number (N) of vehicles. We then show how to ameliorate this loss of stability by small amounts of "mistuning", i.e., changing the controller gains from their nominal values. We prove that with arbitrary small amounts of mistuning, the asymptotic behavior of the least stable closed loop eigenvalue can be improved to O(1/N) All the conclusions drawn from analysis of the PDE model are corroborated via numerical calculations of the state-space platoon model.

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