A Nondeterministic Minimization Algorithm

The problem of minimizing a multivariate function is recurrent in many disciplines as Physics, Mathematics, Engeneering and, of course, Computer Science. In this paper we describe a simple nondeterministic algorithm which is based on the idea of adaptive noise, and that proved to be particularly effective in the minimization of a class of multivariate, continuous valued, smooth functions, associated with some recent extension of regularization theory by Poggio and Girosi (1990). Results obtained by using this method and a more traditional gradient descent technique are also compared.

An Analog VLSI Chip for Estimating the Focus of Expansion

For applications involving the control of moving vehicles, the recovery of relative motion between a camera and its environment is of high utility. This thesis describes the design and testing of a real-time analog VLSI chip which estimates the focus of expansion (FOE) from measured time-varying images. Our approach assumes a camera moving through a fixed world with translational velocity; the FOE is the projection of the translation vector onto the image plane. This location is the point towards which the camera is moving, and other points appear to be expanding outward from. By way of the camera imaging parameters, the location of the FOE gives the direction of 3-D translation. The algorithm we use for estimating the FOE minimizes the sum of squares of the differences at every pixel between the observed time variation of brightness and the predicted variation given the assumed position of the FOE. This minimization is not straightforward, because the relationship between the brightness derivatives depends on the unknown distance to the surface being imaged. However, image points where brightness is instantaneously constant play a critical role. Ideally, the FOE would be at the intersection of the tangents to the iso-brightness contours at these "stationary" points. In practice, brightness derivatives are hard to estimate accurately given that the image is quite noisy. Reliable results can nevertheless be obtained if the image contains many stationary points and the point is found that minimizes the sum of squares of the perpendicular distances from the tangents at the stationary points. The FOE chip calculates the gradient of this least-squares minimization sum, and the estimation is performed by closing a feedback loop around it. The chip has been implemented using an embedded CCD imager for image acquisition and a row-parallel processing scheme. A 64 x 64 version was fabricated in a 2um CCD/ BiCMOS process through MOSIS with a design goal of 200 mW of on-chip power, a top frame rate of 1000 frames/second, and a basic accuracy of 5%. A complete experimental system which estimates the FOE in real time using real motion and image scenes is demonstrated.

From Genetic Algorithms to Efficient Organization

The work described in this thesis began as an inquiry into the nature and use of optimization programs based on "genetic algorithms." That inquiry led, eventually, to three powerful heuristics that are broadly applicable in gradient-ascent programs: First, remember the locations of local maxima and restart the optimization program at a place distant from previously located local maxima. Second, adjust the size of probing steps to suit the local nature of the terrain, shrinking when probes do poorly and growing when probes do well. And third, keep track of the directions of recent successes, so as to probe preferentially in the direction of most rapid ascent. These algorithms lie at the core of a novel optimization program that illustrates the power to be had from deploying them together. The efficacy of this program is demonstrated on several test problems selected from a variety of fields, including De Jong's famous test-problem suite, the traveling salesman problem, the problem of coordinate registration for image guided surgery, the energy minimization problem for determining the shape of organic molecules, and the problem of assessing the structure of sedimentary deposits using seismic data.

An Electronic Market-Maker

This paper presents an adaptive learning model for market-making under the reinforcement learning framework. Reinforcement learning is a learning technique in which agents aim to maximize the long-term accumulated rewards. No knowledge of the market environment, such as the order arrival or price process, is assumed. Instead, the agent learns from real-time market experience and develops explicit market-making strategies, achieving multiple objectives including the maximizing of profits and minimization of the bid-ask spread. The simulation results show initial success in bringing learning techniques to building market-making algorithms.

An Equivalence Between Sparse Approximation and Support Vector Machines

In the first part of this paper we show a similarity between the principle of Structural Risk Minimization Principle (SRM) (Vapnik, 1982) and the idea of Sparse Approximation, as defined in (Chen, Donoho and Saunders, 1995) and Olshausen and Field (1996). Then we focus on two specific (approximate) implementations of SRM and Sparse Approximation, which have been used to solve the problem of function approximation. For SRM we consider the Support Vector Machine technique proposed by V. Vapnik and his team at AT&T Bell Labs, and for Sparse Approximation we consider a modification of the Basis Pursuit De-Noising algorithm proposed by Chen, Donoho and Saunders (1995). We show that, under certain conditions, these two techniques are equivalent: they give the same solution and they require the solution of the same quadratic programming problem.

Support Vector Machines: Training and Applications

The Support Vector Machine (SVM) is a new and very promising classification technique developed by Vapnik and his group at AT&T Bell Labs. This new learning algorithm can be seen as an alternative training technique for Polynomial, Radial Basis Function and Multi-Layer Perceptron classifiers. An interesting property of this approach is that it is an approximate implementation of the Structural Risk Minimization (SRM) induction principle. The derivation of Support Vector Machines, its relationship with SRM, and its geometrical insight, are discussed in this paper. Training a SVM is equivalent to solve a quadratic programming problem with linear and box constraints in a number of variables equal to the number of data points. When the number of data points exceeds few thousands the problem is very challenging, because the quadratic form is completely dense, so the memory needed to store the problem grows with the square of the number of data points. Therefore, training problems arising in some real applications with large data sets are impossible to load into memory, and cannot be solved using standard non-linear constrained optimization algorithms. We present a decomposition algorithm that can be used to train SVM's over large data sets. The main idea behind the decomposition is the iterative solution of sub-problems and the evaluation of, and also establish the stopping criteria for the algorithm. We present previous approaches, as well as results and important details of our implementation of the algorithm using a second-order variant of the Reduced Gradient Method as the solver of the sub-problems. As an application of SVM's, we present preliminary results we obtained applying SVM to the problem of detecting frontal human faces in real images.