相关论文: Universal MMSE Filtering With Logarithmic Adaptive…

This paper introduces two new algorithms to accurately estimate the process noise covariance of a discrete-time Kalman filter online for robust orbit determination in the presence of dynamics model uncertainties. Common orbit determination…

In this paper, we study the problem of regret minimization for episodic Reinforcement Learning (RL) both in the model-free and the model-based setting. We focus on learning with general function classes and general model classes, and we…

We design and analyze algorithms for online linear optimization that have optimal regret and at the same time do not need to know any upper or lower bounds on the norm of the loss vectors. Our algorithms are instances of the Follow the…

We study online linear regression problems in a distributed setting, where the data is spread over a network. In each round, each network node proposes a linear predictor, with the objective of fitting the \emph{network-wide} data. It then…

Minimum mean squared error (MMSE) estimators of signals from samples corrupted by jitter (timing noise) and additive noise are nonlinear, even when the signal prior and additive noise have normal distributions. This paper develops a…

Compressed sensing typically deals with the estimation of a system input from its noise-corrupted linear measurements, where the number of measurements is smaller than the number of input components. The performance of the estimation…

A new algorithm for regret minimization in online convex optimization is described. The regret of the algorithm after $T$ time periods is $O(\sqrt{T \log T})$ - which is the minimum possible up to a logarithmic term. In addition, the new…

We consider the classical problem of prediction with expert advice. In the fixed-time setting, where the time horizon is known in advance, algorithms that achieve the optimal regret are known when there are two, three, or four experts or…

Predicting the output of a dynamical system from streaming data is fundamental to real-time feedback control and decision-making. We first derive an autoregressive representation that relates future local outputs to asynchronous past…

We propose a novel approach for analyzing dynamic regret of first-order constrained online convex optimization algorithms for strongly convex and Lipschitz-smooth objectives. Crucially, we provide a general analysis that is applicable to a…

The optimal predictor for a linear dynamical system (with hidden state and Gaussian noise) takes the form of an autoregressive linear filter, namely the Kalman filter. However, a fundamental problem in reinforcement learning and control…

The regret bound of an optimization algorithms is one of the basic criteria for evaluating the performance of the given algorithm. By inspecting the differences between the regret bounds of traditional algorithms and adaptive one, we…

We study the problem of regret minimization in partially observable linear quadratic control systems when the model dynamics are unknown a priori. We propose ExpCommit, an explore-then-commit algorithm that learns the model Markov…

When signals are measured through physical sensors, they are perturbed by noise. To reduce noise, low-pass filters are commonly employed in order to attenuate high frequency components in the incoming signal, regardless if they come from…

The focus of this paper is the estimation of a delay between two signals. Such a problem is common in signal processing and particularly challenging when the delay is non-stationary in nature. Our proposed solution is based on an all-pass…

When recovering an unknown signal from noisy measurements, the computational difficulty of performing optimal Bayesian MMSE (minimum mean squared error) inference often necessitates the use of maximum a posteriori (MAP) inference, a special…

In this work, we present a new perspective on the origin and interpretation of adaptive filters. By applying Bayesian principles of recursive inference from the state-space model and using a series of simplifications regarding the structure…

We consider the problem of \textit{online sparse linear approximation}, where one predicts the best sparse approximation of a sequence of measurements in terms of linear combination of columns of a given measurement matrix. Such online…

We study continuous-time online learning where data are generated by a diffusion process with unknown coefficients. The learner employs a two-layer neural network, continuously updating its parameters in a non-anticipative manner. The…

We consider the problem of controlling an unknown linear dynamical system under adversarially changing convex costs and full feedback of both the state and cost function. We present the first computationally-efficient algorithm that attains…