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Shalabh Bhatnagar

Publications and source records attributed to Shalabh Bhatnagar.

107 records · Page 6Linked to original sources

A bi-convex optimization problem to compute Nash equilibrium in n-player games and an algorithm

In this paper we present optimization problems with biconvex objective function and linear constraints such that the set of global minima of the optimization problems is the same as the set of Nash equilibria of a n-player general-sum normal form game. We further show that the objective function is an invex function and consider a projected gradient descent algorithm. We prove that the projected gradient descent scheme converges to a partial optimum of the objective function. We also present simulation results on certain test cases showing convergence to a Nash equilibrium strategy.

cs.GT↗

Energy Sharing for Multiple Sensor Nodes with Finite Buffers

We consider the problem of finding optimal energy sharing policies that maximize the network performance of a system comprising of multiple sensor nodes and a single energy harvesting (EH) source. Sensor nodes periodically sense the random field and generate data, which is stored in the corresponding data queues. The EH source harnesses energy from ambient energy sources and the generated energy is stored in an energy buffer. Sensor nodes receive energy for data transmission from the EH source. The EH source has to efficiently share the stored energy among the nodes in order to minimize the long-run average delay in data transmission. We formulate the problem of energy sharing between the nodes in the framework of average cost infinite-horizon Markov decision processes (MDPs). We develop efficient energy sharing algorithms, namely Q-learning algorithm with exploration mechanisms based on the $ε$-greedy method as well as upper confidence bound (UCB). We extend these algorithms by incorporating state and action space aggregation to tackle state-action space explosion in the MDP. We also develop a cross entropy based method that incorporates policy parameterization in order to find near optimal energy sharing policies. Through simulations, we show that our algorithms yield energy sharing policies that outperform the heuristic greedy method.

cs.NI↗

A Generalized Reduced Linear Program for Markov Decision Processes

Markov decision processes (MDPs) with large number of states are of high practical interest. However, conventional algorithms to solve MDP are computationally infeasible in this scenario. Approximate dynamic programming (ADP) methods tackle this issue by computing approximate solutions. A widely applied ADP method is approximate linear program (ALP) which makes use of linear function approximation and offers theoretical performance guarantees. Nevertheless, the ALP is difficult to solve due to the presence of a large number of constraints and in practice, a reduced linear program (RLP) is solved instead. The RLP has a tractable number of constraints sampled from the original constraints of the ALP. Though the RLP is known to perform well in experiments the theoretical guarantees are available only for a specific RLP obtained under idealized assumptions. In this paper, we generalize the RLP to define a generalized reduced linear program (GRLP) which has a tractable number of constraints that are obtained as positive linear combinations of the original constraints of the ALP. The main contribution of this paper is the novel theoretical framework developed to obtain error bounds for any given GRLP. Central to our framework are two $\max$-norm contraction operators. Our result solves theoretically justifies linear approximation of constraints. We discuss the implication of our results in the contexts of ADP and reinforcement learning. We also demonstrate via an example in the domain of controlled queues that the experiments conform to the theory.

eess.SY↗

Smoothed Functional Algorithms for Stochastic Optimization using q-Gaussian Distributions

Smoothed functional (SF) schemes for gradient estimation are known to be efficient in stochastic optimization algorithms, specially when the objective is to improve the performance of a stochastic system. However, the performance of these methods depends on several parameters, such as the choice of a suitable smoothing kernel. Different kernels have been studied in literature, which include Gaussian, Cauchy and uniform distributions among others. This paper studies a new class of kernels based on the q-Gaussian distribution, that has gained popularity in statistical physics over the last decade. Though the importance of this family of distributions is attributed to its ability to generalize the Gaussian distribution, we observe that this class encompasses almost all existing smoothing kernels. This motivates us to study SF schemes for gradient estimation using the q-Gaussian distribution. Using the derived gradient estimates, we propose two-timescale algorithms for optimization of a stochastic objective function in a constrained setting with projected gradient search approach. We prove the convergence of our algorithms to the set of stationary points of an associated ODE. We also demonstrate their performance numerically through simulations on a queuing model.

cs.IT↗

Newton based Stochastic Optimization using q-Gaussian Smoothed Functional Algorithms

We present the first q-Gaussian smoothed functional (SF) estimator of the Hessian and the first Newton-based stochastic optimization algorithm that estimates both the Hessian and the gradient of the objective function using q-Gaussian perturbations. Our algorithm requires only two system simulations (regardless of the parameter dimension) and estimates both the gradient and the Hessian at each update epoch using these. We also present a proof of convergence of the proposed algorithm. In a related recent work (Ghoshdastidar et al., 2013), we presented gradient SF algorithms based on the q-Gaussian perturbations. Our work extends prior work on smoothed functional algorithms by generalizing the class of perturbation distributions as most distributions reported in the literature for which SF algorithms are known to work and turn out to be special cases of the q-Gaussian distribution. Besides studying the convergence properties of our algorithm analytically, we also show the results of several numerical simulations on a model of a queuing network, that illustrate the significance of the proposed method. In particular, we observe that our algorithm performs better in most cases, over a wide range of q-values, in comparison to Newton SF algorithms with the Gaussian (Bhatnagar, 2007) and Cauchy perturbations, as well as the gradient q-Gaussian SF algorithms (Ghoshdastidar et al., 2013).

math.OC↗

Two Timescale Convergent Q-learning for Sleep--Scheduling in Wireless Sensor Networks

In this paper, we consider an intrusion detection application for Wireless Sensor Networks (WSNs). We study the problem of scheduling the sleep times of the individual sensors to maximize the network lifetime while keeping the tracking error to a minimum. We formulate this problem as a partially-observable Markov decision process (POMDP) with continuous state-action spaces, in a manner similar to (Fuemmeler and Veeravalli [2008]). However, unlike their formulation, we consider infinite horizon discounted and average cost objectives as performance criteria. For each criterion, we propose a convergent on-policy Q-learning algorithm that operates on two timescales, while employing function approximation to handle the curse of dimensionality associated with the underlying POMDP. Our proposed algorithm incorporates a policy gradient update using a one-simulation simultaneous perturbation stochastic approximation (SPSA) estimate on the faster timescale, while the Q-value parameter (arising from a linear function approximation for the Q-values) is updated in an on-policy temporal difference (TD) algorithm-like fashion on the slower timescale. The feature selection scheme employed in each of our algorithms manages the energy and tracking components in a manner that assists the search for the optimal sleep-scheduling policy. For the sake of comparison, in both discounted and average settings, we also develop a function approximation analogue of the Q-learning algorithm. This algorithm, unlike the two-timescale variant, does not possess theoretical convergence guarantees. Finally, we also adapt our algorithms to include a stochastic iterative estimation scheme for the intruder's mobility model. Our simulation results on a 2-dimensional network setting suggest that our algorithms result in better tracking accuracy at the cost of only a few additional sensors, in comparison to a recent prior work.

eess.SY↗

Approximate Dynamic Programming based on Projection onto the (min,+) subsemimodule

We develop a new Approximate Dynamic Programming (ADP) method for infinite horizon discounted reward Markov Decision Processes (MDP) based on projection onto a subsemimodule. We approximate the value function in terms of a $(\min,+)$ linear combination of a set of basis functions whose $(\min,+)$ linear span constitutes a subsemimodule. The projection operator is closely related to the Fenchel transform. Our approximate solution obeys the $(\min,+)$ Projected Bellman Equation (MPPBE) which is different from the conventional Projected Bellman Equation (PBE). We show that the approximation error is bounded in its $L_\infty$-norm. We develop a Min-Plus Approximate Dynamic Programming (MPADP) algorithm to compute the solution to the MPPBE. We also present the proof of convergence of the MPADP algorithm and apply it to two problems, a grid-world problem in the discrete domain and mountain car in the continuous domain.

eess.SY↗

Approximate dynamic programming with $(\min,+)$ linear function approximation for Markov decision processes

Markov Decision Processes (MDP) is an useful framework to cast optimal sequential decision making problems. Given any MDP the aim is to find the optimal action selection mechanism i.e., the optimal policy. Typically, the optimal policy ($u^*$) is obtained by substituting the optimal value-function ($J^*$) in the Bellman equation. Alternately $u^*$ is also obtained by learning the optimal state-action value function $Q^*$ known as the $Q$ value-function. However, it is difficult to compute the exact values of $J^*$ or $Q^*$ for MDPs with large number of states. Approximate Dynamic Programming (ADP) methods address this difficulty by computing lower dimensional approximations of $J^*$/$Q^*$. Most ADP methods employ linear function approximation (LFA), i.e., the approximate solution lies in a subspace spanned by a family of pre-selected basis functions. The approximation is obtain via a linear least squares projection of higher dimensional quantities and the $L_2$ norm plays an important role in convergence and error analysis. In this paper, we discuss ADP methods for MDPs based on LFAs in $(\min,+)$ algebra. Here the approximate solution is a $(\min,+)$ linear combination of a set of basis functions whose span constitutes a subsemimodule. Approximation is obtained via a projection operator onto the subsemimodule which is different from linear least squares projection used in ADP methods based on conventional LFAs. MDPs are not $(\min,+)$ linear systems, nevertheless, we show that the monotonicity property of the projection operator helps us to establish the convergence of our ADP schemes. We also discuss future directions in ADP methods for MDPs based on the $(\min,+)$ LFAs.

eess.SY↗

Simultaneous Perturbation Methods for Adaptive Labor Staffing in Service Systems

Service systems are labor intensive due to the large variation in the tasks required to address service requests from multiple customers. Aligning the staffing levels to the forecasted workloads adaptively in such systems is nontrivial because of a large number of parameters and operational variations leading to a huge search space. A challenging problem here is to optimize the staffing while maintaining the system in steady-state and compliant to aggregate service level agreement (SLA) constraints. Further, because these parameters change on a weekly basis, the optimization should not take longer than a few hours. We formulate this problem as a constrained Markov cost process parameterized by the (discrete) staffing levels. We propose novel simultaneous perturbation stochastic approximation (SPSA) based SASOC (Staff Allocation using Stochastic Optimization with Constraints) algorithms for solving the above problem. The algorithms include both first order as well as second order methods and incorporate SPSA based gradient estimates in the primal, with dual ascent for the Lagrange multipliers. Both the algorithms that we propose are online, incremental and easy to implement. Further, they involve a certain generalized smooth projection operator, which is essential to project the continuous-valued worker parameter tuned by SASOC algorithms onto the discrete set. We validated our algorithms on five real-life service systems and compared them with a state-of-the-art optimization tool-kit OptQuest. Being 25 times faster than OptQuest, our algorithms are particularly suitable for adaptive labor staffing. Also, we observe that our algorithms guarantee convergence and find better solutions than OptQuest in many cases.

eess.SY↗

q-Gaussian based Smoothed Functional Algorithm for Stochastic Optimization

The q-Gaussian distribution results from maximizing certain generalizations of Shannon entropy under some constraints. The importance of q-Gaussian distributions stems from the fact that they exhibit power-law behavior, and also generalize Gaussian distributions. In this paper, we propose a Smoothed Functional (SF) scheme for gradient estimation using q-Gaussian distribution, and also propose an algorithm for optimization based on the above scheme. Convergence results of the algorithm are presented. Performance of the proposed algorithm is shown by simulation results on a queuing model.

eess.SY↗

On Measure Theoretic definitions of Generalized Information Measures and Maximum Entropy Prescriptions

Though Shannon entropy of a probability measure $P$, defined as $- \int_{X} \frac{\ud P}{\ud μ} \ln \frac{\ud P}{\udμ} \ud μ$ on a measure space $(X, \mathfrak{M},μ)$, does not qualify itself as an information measure (it is not a natural extension of the discrete case), maximum entropy (ME) prescriptions in the measure-theoretic case are consistent with that of discrete case. In this paper, we study the measure-theoretic definitions of generalized information measures and discuss the ME prescriptions. We present two results in this regard: (i) we prove that, as in the case of classical relative-entropy, the measure-theoretic definitions of generalized relative-entropies, Rényi and Tsallis, are natural extensions of their respective discrete cases, (ii) we show that, ME prescriptions of measure-theoretic Tsallis entropy are consistent with the discrete case.

cs.IT↗

Gelfand-Yaglom-Perez Theorem for Generalized Relative Entropies

The measure-theoretic definition of Kullback-Leibler relative-entropy (KL-entropy) plays a basic role in the definitions of classical information measures. Entropy, mutual information and conditional forms of entropy can be expressed in terms of KL-entropy and hence properties of their measure-theoretic analogs will follow from those of measure-theoretic KL-entropy. These measure-theoretic definitions are key to extending the ergodic theorems of information theory to non-discrete cases. A fundamental theorem in this respect is the Gelfand-Yaglom-Perez (GYP) Theorem (Pinsker, 1960, Theorem. 2.4.2) which states that measure-theoretic relative-entropy equals the supremum of relative-entropies over all measurable partitions. This paper states and proves the GYP-theorem for Renyi relative-entropy of order greater than one. Consequently, the result can be easily extended to Tsallis relative-entropy.

math-ph↗

Uniqueness of Nonextensive entropy under Renyi's Recipe

By replacing linear averaging in Shannon entropy with Kolmogorov-Nagumo average (KN-averages) or quasilinear mean and further imposing the additivity constraint, Rényi proposed the first formal generalization of Shannon entropy. Using this recipe of Rényi, one can prepare only two information measures: Shannon and Rényi entropy. Indeed, using this formalism Rényi characterized these additive entropies in terms of axioms of quasilinear mean. As additivity is a characteristic property of Shannon entropy, pseudo-additivity of the form $x \oplus_{q} y = x + y + (1-q)x y$ is a characteristic property of nonextensive (or Tsallis) entropy. One can apply Rényi's recipe in the nonextensive case by replacing the linear averaging in Tsallis entropy with KN-averages and thereby imposing the constraint of pseudo-additivity. In this paper we show that nonextensive entropy is unique under the Rényi's recipe, and there by give a characterization.

cs.IT↗

Nongeneralizability of Tsallis Entropy by means of Kolmogorov-Nagumo averages under pseudo-additivity

As additivity is a characteristic property of the classical information measure, Shannon entropy, pseudo-additivity is a characteristic property of Tsallis entropy. Renyi generalized Shannon entropy by means of Kolmogorov-Nagumo averages, by imposing additivity as a constraint.In this paper we show that there exists no generalization for Tsallis entropy, by means of Kolmogorov-Nagumo averages, which preserves the pseudo-additivity.

math-ph↗

Nonextensive triangle equality and other properties of Tsallis relative-entropy minimization

Kullback-Leibler relative-entropy has unique properties in cases involving distributions resulting from relative-entropy minimization. Tsallis relative-entropy is a one parameter generalization of Kullback-Leibler relative-entropy in the nonextensive thermostatistics. In this paper, we present the properties of Tsallis relative-entropy minimization and present some differences with the classical case. In the representation of such a minimum relative-entropy distribution, we highlight the use of the q-product, an operator that has been recently introduced to derive the mathematical structure behind the Tsallis statistics. One of our main results is generalization of triangle equality of relative-entropy minimization to the nonextensive case.

math-ph↗

Cauchy Annealing Schedule: An Annealing Schedule for Boltzmann Selection Scheme in Evolutionary Algorithms

Boltzmann selection is an important selection mechanism in evolutionary algorithms as it has theoretical properties which help in theoretical analysis. However, Boltzmann selection is not used in practice because a good annealing schedule for the `inverse temperature' parameter is lacking. In this paper we propose a Cauchy annealing schedule for Boltzmann selection scheme based on a hypothesis that selection-strength should increase as evolutionary process goes on and distance between two selection strengths should decrease for the process to converge. To formalize these aspects, we develop formalism for selection mechanisms using fitness distributions and give an appropriate measure for selection-strength. In this paper, we prove an important result, by which we derive an annealing schedule called Cauchy annealing schedule. We demonstrate the novelty of proposed annealing schedule using simulations in the framework of genetic algorithms.

cs.AI↗

Generalized Evolutionary Algorithm based on Tsallis Statistics

Generalized evolutionary algorithm based on Tsallis canonical distribution is proposed. The algorithm uses Tsallis generalized canonical distribution to weigh the configurations for `selection' instead of Gibbs-Boltzmann distribution. Our simulation results show that for an appropriate choice of non-extensive index that is offered by Tsallis statistics, evolutionary algorithms based on this generalization outperform algorithms based on Gibbs-Boltzmann distribution.

cs.AI↗