Iterative optimization algorithms for discrete-continuous processes

We propose a series of approximate and iterative optimizational methods for discrete-continuous processes based on Krotov’s sufficient optimality conditions. Iterations are constructed by localizing the global optimality conditions and Krotov’s minimax scheme with various approximations. The very concept of a discrete-continuous system and the corresponding optimality conditions and algorithms represent a convenient formalism to study a wide class of complex systems and processes, in particular, magistral solutions of singular problems that are significantly non-uniform in structure.     

Iterative algorithms for the linear complementarity problem

Direct complementary pivot algorithms for the linear complementarity problem with P-matrices are known to have exponential computational complexity. The analog of Gauss-Seidel and SOR iteration for linear complementarity problems with P-matrices has not been extensively developed. This paper extends some work of van Bokhoven to a class of nonsymmetric P-matrices, and develops and compares several new iterative algorithms for the linear complementarity problem. Numerical results for several hundred test problems are presented. Such indirect iterative algorithms may prove useful for large sparse complementarity problems.     

Iterative algorithms for discrete periodic Riccati matrix equations

In this paper, two iterative algorithms are constructed to obtain the positive definite solutions of the discrete periodic algebraic Riccati matrix equations. In these two algorithms, the estimation of the unknown matrices are updated by using the available estimation information at the current iteration step. The convergence properties of the proposed algorithms are also given. Finally, numerical examples are employed to illustrate the effectiveness of the proposed algorithms.     

Iterative ADP learning algorithms for discrete-time multi-player games

Adaptive dynamic programming (ADP) is an important branch of reinforcement learning to solve various optimal control issues. Most practical nonlinear systems are controlled by more than one controller. Each controller is a player, and to make a tradeoff between cooperation and conflict of these players can be viewed as a game. Multi-player games are divided into two main categories: zero-sum game and non-zero-sum game. To obtain the optimal control policy for each player, one needs to solve Hamilton–Jacobi–Isaacs equations for zero-sum games and a set of coupled Hamilton–Jacobi equations for non-zero-sum games. Unfortunately, these equations are generally difficult or even impossible to be solved analytically. To overcome this bottleneck, two ADP methods, including a modified gradient-descent-based online algorithm and a novel iterative offline learning approach, are proposed in this paper. Furthermore, to implement the proposed methods, we employ single-network structure, which obviously reduces computation burden compared with traditional multiple-network architecture. Simulation results demonstrate the effectiveness of our schemes.     

Iterative feature construction for improving inductive learning algorithms

Inductive learning algorithms, in general, perform well on data that have been pre-processed to reduce complexity. By themselves they are not particularly effective in reducing data complexity while learning difficult concepts. Feature construction has been shown to reduce complexity of space spanned by input data. In this paper, we present an iterative algorithm for enhancing the performance of any inductive learning process through the use of feature construction as a pre-processing step. We apply the procedure on three learning methods, namely genetic algorithms, C4.5 and lazy learner, and show improvement in performance.     

求解非线性方程组的迭代神经网络算法

求解非线性方程组是工程研究中的基本问题,普通的求解算法均具有一定的缺点,通用性不强。神经网络能以任意精度逼近非线性函数,利用它逼近非线性方程组的函数的反函数,提出了通用性较强的数值求解方法。首先,给出了不需迭代的简单神经网络算法;然后,针对给定求解区域偏大和不准确的问题,提出了缩小与改变求解区域的迭代神经网络算法。这两种算法均进行了实例求解,结果表明,两种算法格式简单,求解时间短,精度高,具有较高的应用价值,在理论研究和工程实践中具有较大应用前景。最后分析了算法的优点和改进方向。     

Iterative weighted least squares algorithms for neural networks classifiers

This paper discusses learning algorithms of layered neural networks from the standpoint of maximum likelihood estimation. At first we discuss learning algorithms for the most simple network with only one neuron. It is shown that Fisher information of the network, namely minus expected values of Hessian matrix, is given by a weighted covariance matrix of input vectors. A learning algorithm is presented on the basis of Fisher's scoring method which makes use of Fisher information instead of Hessian matrix in Newton's method. The algorithm can be interpreted as iterations of weighted least squares method. Then these results are extended to the layered network with one hidden layer. Fisher information for the layered network is given by a weighted covariance matrix of inputs of the network and outputs of hidden units. Since Newton's method for maximization problems has the difficulty when minus Hessian matrix is not positive definite, we propose a learning algorithm which makes use of Fisher information matrix, which is non-negative, instead of Hessian matrix. Moreover, to reduce the computation of full Fisher information matrix, we propose another algorithm which uses only block diagonal elements of Fisher information. The algorithm is reduced to an iterative weighted least squares algorithm in which each unit estimates its own weights by a weighted least squares method. It is experimentally shown that the proposed algorithms converge with fewer iterations than error back-propagation (BP) algorithm.     

Iterative identification algorithms for input nonlinear output error autoregressive systems

This paper focuses on the parameter estimation problems of input nonlinear output error autoregressive systems. Based on the key variables separation technique and the auxiliary model identification idea, the output of the system is expressed as a linear combination of all the system parameters, the unknown inner variables in the information vector are replaced with the outputs of the auxiliary model and a gradient based and a least squares based iterative identification algorithms are derived. Simulation example is provided to illustrate the effectiveness of the proposed algorithms.     

Iterative learning algorithms for boundary tracing of fractional diffusion equations

We study P-type and PI ${}^{\theta }$-type iterative learning control (ILC) schemes for boundary tracing problem of nonhomogeneous fractional diffusion equations. Based on Sobolev imbedding theorem, we derive sufficient conditions for the convergence of four ILC schemes in the sense of $\lambda$-norm. Numerical examples are presented to illustrate effectiveness of the proposed control methods. The results show that closed-loop ILC scheme converges faster than open-loop ILC scheme; moreover, PI ${}^{\theta }$-type $(0.5<\theta <1)$ ILC scheme outperforms P-type and PI-type $(\theta =1)$ ILC schemes in terms of the convergence speed.     

Iterative algorithms for computing the feedback Nash equilibrium point for positive systems

The paper studies N-player linear quadratic differential games on an infinite time horizon with deterministic feedback information structure. It introduces two iterative methods (the Newton method as well as its accelerated modification) in order to compute the stabilising solution of a set of generalised algebraic Riccati equations. The latter is related to the Nash equilibrium point of the considered game model. Moreover, we derive the sufficient conditions for convergence of the proposed methods. Finally, we discuss two numerical examples so as to illustrate the performance of both of the algorithms.     

Iterative and recursive least squares estimation algorithms for moving average systems

An iterative least squares algorithm and a recursive least squares algorithms are developed for estimating the parameters of moving average systems. The key is use the least squares principle and to replace the unmeasurable noise terms in the information vector. The steps and flowcharts of computing the parameter estimates are given. The simulation results validate that the proposed algorithms can work well.     

一类基于几何分析的迭代学习控制算法

基于几何分析，对迭代学习控制方法的几何框架进行探索．首先通过对Arimoto算法所构成的向量图进行几何分析，导出了一类新的迭代学习算法结构；然后从理论上对所导出的算法进行完整的收敛性分析．该算法结构与已有算法完全不同，但其收敛速度和精度明显提高．仿真结果表明了新算法的有效性和优越性．     

Grid orthogonalization for curvilinear alternating-direction techniques

A method is developed for an a posteriori iterative improvement to an arbitrary computational grid. Local corrections to the coordinates of the grid points are used to form a global cost function which is minimized with respect to a single parameter. The local corrections and cost function can be constructed to maximize the local smoothness and/or the local orthogonality of the grid. The advantage of this method is that it allows the user to generate an initial grid using any inexpensive method, and then the grid can be improved with respect to both orthogonality and smoothness.This technique was used to generate grids for a finite element alternating-direction method which uses curved elements. A sample transient diffusion problem was solved on a series of grids to investigate the sensitivity of the curvilinear alternating-direction method to grid orthogonalization. The initial grid was highly nonorthogonal and each grid produced by the automatic grid generation program was smoother and more orthogonal.This work shows that the adaptive grid program can be easily used to generate nearly orthogonal grids and it shows that the curvilinear alternating-direction technique is not highly sensitive to nonorthogonality of the grid. It is shown that as long as a grid is somewhat reasonable, the alternating-direction method will perform quite well.     

Iterative RELIEF for feature weighting: algorithms, theories, and applications

RELIEF is considered one of the most successful algorithms for assessing the quality of features. In this paper, we propose a set of new feature weighting algorithms that perform significantly better than RELIEF, without introducing a large increase in computational complexity. Our work starts from a mathematical interpretation of the seemingly heuristic RELIEF algorithm as an online method solving a convex optimization problem with a margin-based objective function. This interpretation explains the success of RELIEF in real application and enables us to identify and address its following weaknesses. RELIEF makes an implicit assumption that the nearest neighbors found in the original feature space are the ones in the weighted space and RELIEF lacks a mechanism to deal with outlier data. We propose an iterative RELIEF (I-RELIEF) algorithm to alleviate the deficiencies of RELIEF by exploring the framework of the expectation-maximization algorithm. We extend I-RELIEF to multiclass settings by using a new multiclass margin definition. To reduce computational costs, an online learning algorithm is also developed. Convergence analysis of the proposed algorithms is presented. The results of large-scale experiments on the UCI and microarray data sets are reported, which demonstrate the effectiveness of the proposed algorithms, and verify the presented theoretical results     

基于向量图分析的迭代学习控制非线性算法

打破多年来人们一直囿于Arimoto的思路 ,另辟途径寻找新的迭代学习控制的研究方法 ,以期构架迭代学习控制的几何理论 .基于数学的几何方法 ,通过对通常算法所构成的向量图进行分析 ,获得了一类快速的迭代学习控制新算法 ,然后对这种新结构的算法在理论上进行了完整的收敛性分析 .这类新算法与目前所有迭代学习控制算法不同 ,具有非线性结构 .仿真结果表明了该类算法的有效性与优越性     

Data mining for state space orthogonalization in adaptive dynamic programming

Dynamic programming (DP) is a mathematical programming approach for optimizing a system that changes over time and is a common approach for developing intelligent systems. Expert systems that are intelligent must be able to adapt dynamically over time. An optimal DP policy identifies the optimal decision dependent on the current state of the system. Hence, the decisions controlling the system can intelligently adapt to changing system states. Although DP has existed since Bellman introduced it in 1957, exact DP policies are only possible for problems with low dimension or under very limiting restrictions. Fortunately, advances in computational power have given rise to approximate DP (ADP). However, most ADP algorithms are still computationally-intractable for high-dimensional problems. This paper specifically considers continuous-state DP problems in which the state variables are multicollinear. The issue of multicollinearity is currently ignored in the ADP literature, but in the statistics community it is well known that high multicollinearity leads to unstable (high variance) parameter estimates in statistical modeling. While not all real world DP applications involve high multicollinearity, it is not uncommon for real cases to involve observed state variables that are correlated, such as the air quality ozone pollution application studied in this research. Correlation is a common occurrence in observed data, including sources in meteorology, energy, finance, manufacturing, health care, etc.ADP algorithms for continuous-state DP achieve an approximate solution through discretization of the state space and model approximations. Typical state space discretizations involve full-dimensional grids or random sampling. The former option requires exponential growth in the number of state points as the state space dimension grows, while the latter option is typically inefficient and requires an intractable number of state points. The exception is computationally-tractable ADP methods based on a design and analysis of computer experiments (DACE) approach. However, the DACE approach utilizes ideal experimental designs that are (nearly) orthogonal, and a multicollinear state space will not be appropriately represented by such ideal experimental designs. While one could directly build approximations over the multicollinear state space, the issue of unstable model approximations remains unaddressed. Our approach for handling multicollinearity employs data mining methods for two purposes: (1) to reduce the dimensionality of a DP problem and (2) to orthogonalize a multicollinear DP state space and enable the use of a computationally-efficient DACE-based ADP approach. Our results demonstrate the risk of ignoring high multicollinearity, quantified by high variance inflation factors representing model instability. Our comparisons using an air quality ozone pollution case study provide guidance on combining feature selection and feature extraction to guarantee orthogonality while achieving over 95% dimension reduction and good model accuracy.     

Subspace identification by data orthogonalization and model decoupling

It has been observed that identification of state-space models with inputs may lead to unreliable results in certain experimental conditions even when the input signal excites well within the bandwidth of the system. This may be due to ill-conditioning of the identification problem, which occurs when the state space and the future input space are nearly parallel.We have in particular shown in the companion papers (Automatica 40(4) (2004) 575; Automatica 40(4) (2004) 677) that, under these circumstances, subspace methods operating on input-output data may be ill-conditioned, quite independently of the particular algorithm which is used. In this paper, we indicate that the cause of ill-conditioning can sometimes be cured by using orthogonalized data and by recasting the model into a certain natural block-decoupled form consisting of a “deterministic” and a “stochastic” subsystem. The natural subspace algorithm for the identification of the deterministic subsystem is then a weighted version of the PI-MOESP method of Verhaegen and Dewilde (Int. J. Control 56 (1993) 1187-1211). The analysis shows that, under certain conditions, methods based on the block-decoupled parametrization and orthogonal decomposition of the input-output data, perform better than traditional joint-model-based methods in the circumstance of nearly parallel regressors.