Bayesian Online Changepoint Detection

Changepoints are abrupt variations in the generative parameters of a data sequence. Online detection of changepoints is useful in modelling and prediction of time series in application areas such as finance, biometrics, and robotics. While frequentist methods have yielded online filtering and prediction techniques, most Bayesian papers have focused on the retrospective segmentation problem. Here we examine the case where the model parameters before and after the changepoint are independent and we derive an online algorithm for exact inference of the most recent changepoint. We compute the probability distribution of the length of the current ``run,'' or time since the last changepoint, using a simple message-passing algorithm. Our implementation is highly modular so that the algorithm may be applied to a variety of types of data. We illustrate this modularity by demonstrating the algorithm on three different real-world data sets.

Robust multiplexed model predictive control

This paper extends the recently developed multiplexed model predictive control (MMPC) concept to ensure satisfaction of hard constraints despite the action of persistent, unknown but bounded disturbances. MMPC uses asynchronous control moves on each input channel instead of synchronised moves on all channels. It offers reduced computation, by dividing the online optimisation into a smaller problem for each channel, and potential performance improvements, as the response to a disturbance is quicker, albeit via only one channel. Robustness to disturbances is introduced using the constraint tightening approach, tailored to suit the asynchronous updates of MMPC and the resulting time-varying optimisations. Numerical results are presented, involving a simple mechanical example and an aircraft control example, showing the potential computational and performance benefits of the new robust MMPC.