Sequential decision making in general state space models

Many problems in control and signal processing can be formulated as sequential decision problems for general state space models. However, except for some simple models one cannot obtain analytical solutions and has to resort to approximation. In this thesis, we have investigated problems where Sequential Monte Carlo (SMC) methods can be combined with a gradient based search to provide solutions to online optimisation problems. We summarise the main contributions of the thesis as follows. Chapter 4 focuses on solving the sensor scheduling problem when cast as a controlled Hidden Markov Model. We consider the case in which the state, observation and action spaces are continuous. This general case is important as it is the natural framework for many applications. In sensor scheduling, our aim is to minimise the variance of the estimation error of the hidden state with respect to the action sequence. We present a novel SMC method that uses a stochastic gradient algorithm to find optimal actions. This is in contrast to existing works in the literature that only solve approximations to the original problem. In Chapter 5 we presented how an SMC can be used to solve a risk sensitive control problem. We adopt the use of the Feynman-Kac representation of a controlled Markov chain flow and exploit the properties of the logarithmic Lyapunov exponent, which lead to a policy gradient solution for the parameterised problem. The resulting SMC algorithm follows a similar structure with the Recursive Maximum Likelihood(RML) algorithm for online parameter estimation. In Chapters 6, 7 and 8, dynamic Graphical models were combined with with state space models for the purpose of online decentralised inference. We have concentrated more on the distributed parameter estimation problem using two Maximum Likelihood techniques, namely Recursive Maximum Likelihood (RML) and Expectation Maximization (EM). The resulting algorithms can be interpreted as an extension of the Belief Propagation (BP) algorithm to compute likelihood gradients. In order to design an SMC algorithm, in Chapter 8 uses a nonparametric approximations for Belief Propagation. The algorithms were successfully applied to solve the sensor localisation problem for sensor networks of small and medium size.

Changes of mind in decision-making.

A decision is a commitment to a proposition or plan of action based on evidence and the expected costs and benefits associated with the outcome. Progress in a variety of fields has led to a quantitative understanding of the mechanisms that evaluate evidence and reach a decision. Several formalisms propose that a representation of noisy evidence is evaluated against a criterion to produce a decision. Without additional evidence, however, these formalisms fail to explain why a decision-maker would change their mind. Here we extend a model, developed to account for both the timing and the accuracy of the initial decision, to explain subsequent changes of mind. Subjects made decisions about a noisy visual stimulus, which they indicated by moving a handle. Although they received no additional information after initiating their movement, their hand trajectories betrayed a change of mind in some trials. We propose that noisy evidence is accumulated over time until it reaches a criterion level, or bound, which determines the initial decision, and that the brain exploits information that is in the processing pipeline when the initial decision is made to subsequently either reverse or reaffirm the initial decision. The model explains both the frequency of changes of mind as well as their dependence on both task difficulty and whether the initial decision was accurate or erroneous. The theoretical and experimental findings advance the understanding of decision-making to the highly flexible and cognitive acts of vacillation and self-correction.

Risk-sensitivity and the mean-variance trade-off: decision making in sensorimotor control.

Numerous psychophysical studies suggest that the sensorimotor system chooses actions that optimize the average cost associated with a movement. Recently, however, violations of this hypothesis have been reported in line with economic theories of decision-making that not only consider the mean payoff, but are also sensitive to risk, that is the variability of the payoff. Here, we examine the hypothesis that risk-sensitivity in sensorimotor control arises as a mean-variance trade-off in movement costs. We designed a motor task in which participants could choose between a sure motor action that resulted in a fixed amount of effort and a risky motor action that resulted in a variable amount of effort that could be either lower or higher than the fixed effort. By changing the mean effort of the risky action while experimentally fixing its variance, we determined indifference points at which participants chose equiprobably between the sure, fixed amount of effort option and the risky, variable effort option. Depending on whether participants accepted a variable effort with a mean that was higher, lower or equal to the fixed effort, they could be classified as risk-seeking, risk-averse or risk-neutral. Most subjects were risk-sensitive in our task consistent with a mean-variance trade-off in effort, thereby, underlining the importance of risk-sensitivity in computational models of sensorimotor control.

Supporting excavations in clay - From analysis to decision-making

Finite Element Analysis (FEA) is used to calibrate a decision-making tool based on an extension of the Mobilized Strength Design (MSD) method which permits the designer an extremely simple method of predicting ground displacements during construction. This newly extended MSD approach accommodates a number of issues which are important in underground construction between in-situ walls, including: alternative base heave mechanisms suitable either for wide excavations in relatively shallow soft clay strata, or narrow excavations in relatively deep soft strata; the influence of support system stiffness in relation to the sequence of propping of the wall; and the capability of dealing with stratified ground. These developments should make it possible for a design engineer to take informed decisions on the relationship between prop spacing and ground movements, or the influence of wall stiffness, or on the need for and influence of a jet-grouted base slab, for example, without having to conduct project-specific FEA. © 2009 Taylor & Francis Group.