Rigorous finite-time guarantees for optimization on continuous domains by simulated annealing

Simulated annealing is a popular method for approaching the solution of a global optimization problem. Existing results on its performance apply to discrete combinatorial optimization where the optimization variables can assume only a finite set of possible values. We introduce a new general formulation of simulated annealing which allows one to guarantee finite-time performance in the optimization of functions of continuous variables. The results hold universally for any optimization problem on a bounded domain and establish a connection between simulated annealing and up-to-date theory of convergence of Markov chain Monte Carlo methods on continuous domains. This work is inspired by the concept of finite-time learning with known accuracy and confidence developed in statistical learning theory.

Simulated Annealing: Rigorous finite-time guarantees for optimization on continuous domains

Simulated annealing is a popular method for approaching the solution of a global optimization problem. Existing results on its performance apply to discrete combinatorial optimization where the optimization variables can assume only a finite set of possible values. We introduce a new general formulation of simulated annealing which allows one to guarantee finite-time performance in the optimization of functions of continuous variables. The results hold universally for any optimization problem on a bounded domain and establish a connection between simulated annealing and up-to-date theory of convergence of Markov chain Monte Carlo methods on continuous domains. This work is inspired by the concept of finite-time learning with known accuracy and confidence developed in statistical learning theory.

Decentralised minimal-time consensus

This study considers the discrete-time dynamics of a network of agents that exchange information according to the nearest-neighbour protocol under which all agents are guaranteed to reach consensus asymptotically. We present a fully decentralised algorithm that allows any agent to compute the consensus value of the whole network in finite time using only the minimal number of successive values of its own history. We show that this minimal number of steps is related to a Jordan block decomposition of the network dynamics and present an algorithm to obtain the minimal number of steps in question by checking a rank condition on a Hankel matrix of the local observations. Furthermore, we prove that the minimal number of steps is related to other algebraic and graph theoretical notions that can be directly computed from the Laplacian matrix of the graph and from the underlying graph topology. © 2011 IEEE.

Decentralised minimum-time consensus

We consider the discrete-time dynamics of a network of agents that exchange information according to a nearest-neighbour protocol under which all agents are guaranteed to reach consensus asymptotically. We present a fully decentralised algorithm that allows any agent to compute the final consensus value of the whole network in finite time using the minimum number of successive values of its own state history. We show that the minimum number of steps is related to a Jordan block decomposition of the network dynamics, and present an algorithm to compute the final consensus value in the minimum number of steps by checking a rank condition of a Hankel matrix of local observations. Furthermore, we prove that the minimum number of steps is related to graph theoretical notions that can be directly computed from the Laplacian matrix of the graph and from the minimum external equitable partition. © 2013 Elsevier Ltd. All rights reserved.

Continuous-time subspace flows related to the symmetric eigenproblem

The classes of continuous-time flows on Rn×p that induce the same flow on the set of p- dimensional subspaces of Rn×p are described. The power flow is briefly reviewed in this framework, and a subspace generalization of the Rayleigh quotient flow [Linear Algebra Appl. 368C, 2003, pp. 343-357] is proposed and analyzed. This new flow displays a property akin to deflation in finite time. © 2008 Yokohama Publishers.

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.

Surface excavation with model predictive control

This paper describes the application of variable-horizon model predictive control to trajectory generation in surface excavation. A nonlinear dynamic model of a surface mining machine digging in oil sand is developed as a test platform. This model is then stabilised with an inner-loop controller before being linearised to generate a prediction model. The linear model is used to design a predictive controller for trajectory generation. A variable horizon formulation is augmented with extra terms in the cost function to allow more control over digging, whilst still preserving the guarantee of finite-time completion. Simulations show the generation of realistic trajectories, motivating new applications of variable horizon MPC for autonomy that go beyond the realm of vehicle path planning. ©2010 IEEE.

Robust variable horizon MPC with move blocking

This paper introduces a new formulation of variable horizon model predictive control (VH-MPC) that utilises move blocking for reducing computational complexity. Various results pertaining to move blocking are derived, following which, a generalised blocked VH-MPC controller is formulated for linear discrete-time systems. Robustness to bounded disturbances is ensured through the use of tightened constraints. The resulting time-varying control scheme is shown to guarantee robust recursive feasibility and finite-time completion. An example is then presented for a particular choice of blocking regime, as would be applicable to vehicle manœuvring problems. Simulations demonstrate the efficacy of the formulation. © 2012 Elsevier B.V. All rights reserved.

Robust predictive control with feasible contingencies for fault tolerance

This paper introduces the notion of M-step robust fault tolerance for discrete-time systems where finite-time completion of a control manoeuvre is desired. It considers a scenario with two distinct objectives; a primary and secondary target are specified as sets to be reached in finite-time, whilst satisfying operating constraints on the states and inputs. The primary target is switched to the secondary target when a fault affects the system. As it is unknown when or if the fault will occur, the trajectory to the primary target is constrained to ensure reachability of the secondary target within M steps. A variable-horizon linear MPC formulation is developed to illustrate the concept. The formulation is then extended to provide robustness to bounded disturbances by use of tightened constraints. Simulations demonstrate the efficacy of the controller formulation on a double-integrator model. © 2011 IFAC.

Transient flows in enclosures: A generalised approach for modelling the effects of geometry, heat gains and wind

Transient flows in a confined ventilated space induced by a buoyancy source of time-varying strength and an external wind are examined. The space considered has varying cross-sectional area with height. A generalised theoretical model is proposed to investigate the flow dynamics following the activation of an external wind and an internal source of buoyancy. To investigate the effect of geometry, we vary the angle of the wall inclination of a particular geometry in which a point source of constant buoyancy is activated in the absence of wind. Counter-intuitively the ventilation is worse and lower airflow rates are established for geometries of increasing cross-sectional areas with height. We investigate the effect of the source buoyancy strength by comparing two cases: (1) when the buoyancy input is constant and (2) when the buoyancy input gradually increases over time so that after a finite time the total buoyancy inputs for (1) and (2) are identical. The rate at which the source heat gains are introduced has a significant role on the flow behaviour as we find that, in case (2), a warmer layer and a more pronounced overshoot are obtained than in case (1). The effect of assisting and opposing wind on the transient ventilation of an enclosure of constant cross-sectional area with height and constant heat gains is examined. A Froude number Fr is used to define the relative strengths of the buoyancy-induced and wind-induced velocities and five different transient states and their associated critical Fr are identified. © 2010 Elsevier Ltd.

Contraction of monotone phase-coupled oscillators

This paper establishes a global contraction property for networks of phase-coupled oscillators characterized by a monotone coupling function. The contraction measure is a total variation distance. The contraction property determines the asymptotic behavior of the network, which is either finite-time synchronization or asymptotic convergence to a splay state. © 2012 Elsevier B.V. All rights reserved.

Predictive control for spacecraft rendezvous in an elliptical orbit using an FPGA

A field programmable gate array (FPGA)-based predictive controller for a spacecraft rendezvous manoeuvre is presented. A linear time varying prediction model is used to accommodate elliptical orbits, and a variable prediction horizon is used to facilitate finite time completion of manoeuvres. The resulting constrained optimisation problems are solved using a primal dual interior point algorithm. The majority of the computational demand is in solving a set of linear equations at each iteration of this algorithm. To accelerate this operation, a custom circuit is implemented, using a combination of Mathworks HDL Coder and Xilinx System Generator for DSP, and used as a peripheral to a MicroBlaze soft core processor. The system is demonstrated in closed loop by linking the FPGA with a simulation of the plant dynamics running in Simulink on a PC, using Ethernet. © 2013 EUCA.

Field programmable gate array based predictive control system for spacecraft rendezvous in elliptical orbits

Copyright © 2014 John Wiley & Sons, Ltd. Copyright © 2014 John Wiley & Sons, Ltd. Summary A field programmable gate array (FPGA) based model predictive controller for two phases of spacecraft rendezvous is presented. Linear time-varying prediction models are used to accommodate elliptical orbits, and a variable prediction horizon is used to facilitate finite time completion of the longer range manoeuvres, whilst a fixed and receding prediction horizon is used for fine-grained tracking at close range. The resulting constrained optimisation problems are solved using a primal-dual interior point algorithm. The majority of the computational demand is in solving a system of simultaneous linear equations at each iteration of this algorithm. To accelerate these operations, a custom circuit is implemented, using a combination of Mathworks HDL Coder and Xilinx System Generator for DSP, and used as a peripheral to a MicroBlaze soft-core processor on the FPGA, on which the remainder of the system is implemented. Certain logic that can be hard-coded for fixed sized problems is implemented to be configurable online, in order to accommodate the varying problem sizes associated with the variable prediction horizon. The system is demonstrated in closed-loop by linking the FPGA with a simulation of the spacecraft dynamics running in Simulink on a PC, using Ethernet. Timing comparisons indicate that the custom implementation is substantially faster than pure embedded software-based interior point methods running on the same MicroBlaze and could be competitive with a pure custom hardware implementation.