Related papers: Control Variates for MCMC
Constructing unbiased estimators from Markov chain Monte Carlo (MCMC) outputs is a difficult problem that has recently received a lot of attention in the statistics and machine learning communities. However, the current unbiased MCMC…
Model Predictive Control is an extremely effective control method for systems with input and state constraints. Model Predictive Control performance heavily depends on the accuracy of the open-loop prediction. For systems with uncertainty…
The novel idea presented in this paper is to interweave distributed model predictive control with a reliable scheduling of the information that is interchanged between local controllers of the plant subsystems. To this end, a dynamic model…
This manuscript presents a framework for using multilevel quadrature formulae to compute the solution of optimal control problems constrained by random partial differential equations. Our approach consists in solving a sequence of optimal…
Model predictive control (MPC) is one of the most successful modern control methods. It relies on repeatedly solving a finite-horizon optimal control problem and applying the beginning piece of the optimal input. In this paper, we develop a…
Statistical inference methods are fundamentally important in machine learning. Most state-of-the-art inference algorithms are variants of Markov chain Monte Carlo (MCMC) or variational inference (VI). However, both methods struggle with…
This paper presents a tutorial and survey on Probabilistic Inference-based Model Predictive Control (PI-MPC). PI-MPC reformulates finite-horizon optimal control as inference over an optimal control distribution expressed as a Boltzmann…
A conventional way to handle model predictive control (MPC) problems distributedly is to solve them via dual decomposition and gradient ascent. However, at each time-step, it might not be feasible to wait for the dual algorithm to converge.…
Model predictive control (MPC) is a popular strategy for urban traffic management that is able to incorporate physical and user defined constraints. However, the current MPC methods rely on finite horizon predictions that are unable to…
The need for control strategies that can address dynamic system uncertainty is becoming increasingly important. In this work, we propose a Model Predictive Control by quantifying the risk of failure in our system model. The proposed control…
The batch means estimator of the MCMC variance is a simple and effective measure of accuracy for MCMC based ergodic averages. Under various regularity conditions, the estimator has been shown to be consistent for the true variance. However,…
This paper presents a time-optimal Model Predictive Control (MPC) scheme for linear discrete-time systems subject to multiplicative uncertainties represented by interval matrices. To render the uncertainty propagation computationally…
To use control charts in practice, the in-control state usually has to be estimated. This estimation has a detrimental effect on the performance of control charts, which is often measured for example by the false alarm probability or the…
In this work, we develop a reduced-basis approach for the efficient computation of parametrized expected values, for a large number of parameter values, using the control variate method to reduce the variance. Two algorithms are proposed to…
Black-box variational inference performance is sometimes hindered by the use of gradient estimators with high variance. This variance comes from two sources of randomness: Data subsampling and Monte Carlo sampling. While existing control…
We propose neural control variates (NCV) for unbiased variance reduction in parametric Monte Carlo integration. So far, the core challenge of applying the method of control variates has been finding a good approximation of the integrand…
Two popular classes of methods for approximate inference are Markov chain Monte Carlo (MCMC) and variational inference. MCMC tends to be accurate if run for a long enough time, while variational inference tends to give better approximations…
This letter presents a new predictive control architecture for high-dimensional robotic systems. As opposed to a conventional Model Predictive Control (MPC) approach to locomotion that formulates a hierarchical sequence of optimization…
This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our…
We explore whether splitting and killing methods can improve the accuracy of Markov chain Monte Carlo (MCMC) estimates of rare event probabilities, and we make three contributions. First, we prove that "weighted ensemble" is the only…