Related papers: Learning to steer with Brownian noise
We construct a Bayesian sequential test of two simple hypotheses about the value of the unobservable drift coefficient of a Brownian motion, with a possibility to change the initial decision at subsequent moments of time for some penalty.…
We consider the problem of Bayesian optimization of a one-dimensional Brownian motion in which the $T$ adaptively chosen observations are corrupted by Gaussian noise. We show that as the smallest possible expected cumulative regret and the…
We consider the problem of learning error covariance matrices for robotic state estimation. The convergence of a state estimator to the correct belief over the robot state is dependent on the proper tuning of noise models. During inference,…
This work addresses the problem of vehicle path planning in the presence of obstacles and uncertainties, which is a fundamental problem in robotics. While many path planning algorithms have been proposed for decades, many of them have dealt…
We consider the problem of controlling an unknown linear dynamical system in the presence of (nonstochastic) adversarial perturbations and adversarial convex loss functions. In contrast to classical control, the a priori determination of an…
We research adaptive maximum likelihood-type estimation for an ergodic diffusion process where the observation is contaminated by noise. This methodology leads to the asymptotic independence of the estimators for the variance of observation…
The framework of feedback graphs is a generalization of sequential decision-making with bandit or full information feedback. In this work, we study an extension where the directed feedback graph is stochastic, following a distribution…
Motivated by applications in queueing theory, we consider a stochastic control problem whose state space is the $d$-dimensional positive orthant. The controlled process $Z$ evolves as a reflected Brownian motion whose covariance matrix is…
We study the problem of system identification for stochastic continuous-time dynamics, based on a single finite-length state trajectory. We present a method for estimating the possibly unstable open-loop matrix by employing properly…
We study online prediction of bounded stationary ergodic processes. To do so, we consider the setting of prediction of individual sequences and build a deterministic regression tree that performs asymptotically as well as the best…
This article studies typical dynamics and fluctuations for a slow-fast dynamical system perturbed by a small fractional Brownian noise. Based on an ergodic theorem with explicit rates of convergence, which may be of independent interest, we…
In this paper, we introduce a novel approach to solve the (mean-covariance) steering problem for a fairly general class of linear continuous-time stochastic systems subject to input delays. Specifically, we aim at steering delayed linear…
We study the adaptive control of an unknown linear system with a quadratic cost function subject to safety constraints on both the states and actions. The challenges of this problem arise from the tension among safety, exploration,…
This paper introduces a car following model where the driving scheme takes into account the deficiencies of human decision making in a general way. Aditionally, it improves certain shortcomings of most of the models currently in use: it is…
The stochastic linear bandit problem proceeds in rounds where at each round the algorithm selects a vector from a decision set after which it receives a noisy linear loss parameterized by an unknown vector. The goal in such a problem is to…
Both for the theoretical and practical treatment of Inverse Problems, the modeling of the noise is a crucial part. One either models the measurement via a deterministic worst-case error assumption or assumes a certain stochastic behavior of…
Bandit and reinforcement learning (RL) problems can often be framed as optimization problems where the goal is to maximize average performance while having access only to stochastic estimates of the true gradient. Traditionally, stochastic…
We consider the problem of finding confidence intervals for the risk of forecasting the future of a stationary, ergodic stochastic process, using a model estimated from the past of the process. We show that a bootstrap procedure provides…
This article proposes an improved trajectory optimization approach for stochastic optimal control of dynamical systems affected by measurement noise by combining optimal control with maximum likelihood techniques to improve the reduction of…
This paper is motivated by recent research in the $d$-dimensional stochastic linear bandit literature, which has revealed an unsettling discrepancy: algorithms like Thompson sampling and Greedy demonstrate promising empirical performance,…