Zero-sum risk-sensitive stochastic games on a countable state space

Infinite horizon discounted-cost and ergodic-cost risk-sensitive zero-sum stochastic games for controlled Markov chains with countably many states are analyzed. Upper and lower values for these games are established. The existence of value and saddle-point equilibria in the class of Markov strategies is proved for the discounted-cost game. The existence of value and saddle-point equilibria in the class of stationary strategies is proved under the uniform ergodicity condition for the ergodic-cost game. The value of the ergodic-cost game happens to be the product of the inverse of the risk-sensitivity factor and the logarithm of the common Perron-Frobenius eigenvalue of the associated controlled nonlinear kernels. (C) 2013 Elsevier B.V. All rights reserved.

Spatially Adaptive Kernel Regression Using Risk Estimation

An important question in kernel regression is one of estimating the order and bandwidth parameters from available noisy data. We propose to solve the problem within a risk estimation framework. Considering an independent and identically distributed (i.i.d.) Gaussian observations model, we use Stein's unbiased risk estimator (SURE) to estimate a weighted mean-square error (MSE) risk, and optimize it with respect to the order and bandwidth parameters. The two parameters are thus spatially adapted in such a manner that noise smoothing and fine structure preservation are simultaneously achieved. On the application side, we consider the problem of image restoration from uniform/non-uniform data, and show that the SURE approach to spatially adaptive kernel regression results in better quality estimation compared with its spatially non-adaptive counterparts. The denoising results obtained are comparable to those obtained using other state-of-the-art techniques, and in some scenarios, superior.

Performance evaluation of typical approximation algorithms for nonconvex l(p)-minimization in diffuse optical tomography

The sparse estimation methods that utilize the l(p)-norm, with p being between 0 and 1, have shown better utility in providing optimal solutions to the inverse problem in diffuse optical tomography. These l(p)-norm-based regularizations make the optimization function nonconvex, and algorithms that implement l(p)-norm minimization utilize approximations to the original l(p)-norm function. In this work, three such typical methods for implementing the l(p)-norm were considered, namely, iteratively reweighted l(1)-minimization (IRL1), iteratively reweighted least squares (IRLS), and the iteratively thresholding method (ITM). These methods were deployed for performing diffuse optical tomographic image reconstruction, and a systematic comparison with the help of three numerical and gelatin phantom cases was executed. The results indicate that these three methods in the implementation of l(p)-minimization yields similar results, with IRL1 fairing marginally in cases considered here in terms of shape recovery and quantitative accuracy of the reconstructed diffuse optical tomographic images. (C) 2014 Optical Society of America

Risk-sensitive control of continuous time Markov chains

We study risk-sensitive control of continuous time Markov chains taking values in discrete state space. We study both finite and infinite horizon problems. In the finite horizon problem we characterize the value function via Hamilton Jacobi Bellman equation and obtain an optimal Markov control. We do the same for infinite horizon discounted cost case. In the infinite horizon average cost case we establish the existence of an optimal stationary control under certain Lyapunov condition. We also develop a policy iteration algorithm for finding an optimal control.

Cancer gene signatures in risk stratification: use in personalized medicine

Cancer is a complex disease which arises due to a series of genetic changes related to cell division and growth control. Cancer remains the second leading cause of death in humans next to heart diseases. As a testimony to our progress in understanding the biology of cancer and developments in cancer diagnosis and treatment methods, the overall median survival time of all cancers has increased six fold one year to six years during the last four decades. However, while the median survival time has increased dramatically for some cancers like breast and colon, there has been only little change for other cancers like pancreas and brain. Further, not all patients having a single type of tumour respond to the standard treatment. The differential response is due to genetic heterogeneity which exists not only between tumours, which is called intertumour heterogeneity, but also within individual tumours, which is called intratumoural heterogeneity. Thus it becomes essential to personalize the cancer treatment based on a specific genetic change in a given tumour. It is also possible to stratify cancer patients into low- and high-risk groups based on expression changes or alterations in a group of genes gene signatures and choose a more suitable mode of therapy. It is now possible that each tumour can be analysed using various high-throughput methods like gene expression profiling and next-generation sequencing to identify its unique fingerprint based on which a personalized or tailor-made therapy can be developed. Here, we review the important progress made in the recent years towards personalizing cancer treatment with the use of gene signatures.

Silent katydid females are at higher risk of bat predation than acoustically signalling katydid males

Males that produce conspicuous mate attraction signals are often at high risk of predation from eavesdropping predators. Females of such species typically search for signalling males and their higher motility may also place them at risk. The relative predation risk faced by males and females in the context of mate-finding using long-distance signals has rarely been investigated. In this study, we show, using a combination of diet analysis and behavioural experiments, that katydid females, who do not produce acoustic signals, are at higher risk of predation from a major bat predator, Megaderma spasma, than calling males. Female katydids were represented in much higher numbers than males in the culled remains beneath roosts of M. spasma. Playback experiments using katydid calls revealed that male calls were approached in only about one-third of the trials overall, whereas tethered, flying katydids were always approached and attacked. Our results question the idea that necessary costs of mate-finding, including risk of predation, are higher in signalling males than in searching females.

Risk-Sensitive Ergodic Control of Continuous Time Markov Processes With Denumerable State Space

In this article, we study risk-sensitive control problem with controlled continuous time Markov chain state dynamics. Using multiplicative dynamic programming principle along with the atomic structure of the state dynamics, we prove the existence and a characterization of optimal risk-sensitive control under geometric ergodicity of the state dynamics along with a smallness condition on the running cost.

Minimization Problems Based on Relative alpha-Entropy I: Forward Projection

Minimization problems with respect to a one-parameter family of generalized relative entropies are studied. These relative entropies, which we term relative alpha-entropies (denoted I-alpha), arise as redundancies under mismatched compression when cumulants of compressed lengths are considered instead of expected compressed lengths. These parametric relative entropies are a generalization of the usual relative entropy (Kullback-Leibler divergence). Just like relative entropy, these relative alpha-entropies behave like squared Euclidean distance and satisfy the Pythagorean property. Minimizers of these relative alpha-entropies on closed and convex sets are shown to exist. Such minimizations generalize the maximum Renyi or Tsallis entropy principle. The minimizing probability distribution (termed forward I-alpha-projection) for a linear family is shown to obey a power-law. Other results in connection with statistical inference, namely subspace transitivity and iterated projections, are also established. In a companion paper, a related minimization problem of interest in robust statistics that leads to a reverse I-alpha-projection is studied.

Minimization Problems Based on Relative alpha-Entropy II: Reverse Projection

In part I of this two-part work, certain minimization problems based on a parametric family of relative entropies (denoted I-alpha) were studied. Such minimizers were called forward I-alpha-projections. Here, a complementary class of minimization problems leading to the so-called reverse I-alpha-projections are studied. Reverse I-alpha-projections, particularly on log-convex or power-law families, are of interest in robust estimation problems (alpha > 1) and in constrained compression settings (alpha < 1). Orthogonality of the power-law family with an associated linear family is first established and is then exploited to turn a reverse I-alpha-projection into a forward I-alpha-projection. The transformed problem is a simpler quasi-convex minimization subject to linear constraints.

Training-Based Antenna Selection for PER Minimization: A POMDP Approach

This paper considers the problem of receive antenna selection (AS) in a multiple-antenna communication system having a single radio-frequency (RF) chain. The AS decisions are based on noisy channel estimates obtained using known pilot symbols embedded in the data packets. The goal here is to minimize the average packet error rate (PER) by exploiting the known temporal correlation of the channel. As the underlying channels are only partially observed using the pilot symbols, the problem of AS for PER minimization is cast into a partially observable Markov decision process (POMDP) framework. Under mild assumptions, the optimality of a myopic policy is established for the two-state channel case. Moreover, two heuristic AS schemes are proposed based on a weighted combination of the estimated channel states on the different antennas. These schemes utilize the continuous valued received pilot symbols to make the AS decisions, and are shown to offer performance comparable to the POMDP approach, which requires one to quantize the channel and observations to a finite set of states. The performance improvement offered by the POMDP solution and the proposed heuristic solutions relative to existing AS training-based approaches is illustrated using Monte Carlo simulations.

Lack of Critical Slowing Down Suggests that Financial Meltdowns Are Not Critical Transitions, yet Rising Variability Could Signal Systemic Risk

Complex systems inspired analysis suggests a hypothesis that financial meltdowns are abrupt critical transitions that occur when the system reaches a tipping point. Theoretical and empirical studies on climatic and ecological dynamical systems have shown that approach to tipping points is preceded by a generic phenomenon called critical slowing down, i.e. an increasingly slow response of the system to perturbations. Therefore, it has been suggested that critical slowing down may be used as an early warning signal of imminent critical transitions. Whether financial markets exhibit critical slowing down prior to meltdowns remains unclear. Here, our analysis reveals that three major US (Dow Jones Index, S&P 500 and NASDAQ) and two European markets (DAX and FTSE) did not exhibit critical slowing down prior to major financial crashes over the last century. However, all markets showed strong trends of rising variability, quantified by time series variance and spectral function at low frequencies, prior to crashes. These results suggest that financial crashes are not critical transitions that occur in the vicinity of a tipping point. Using a simple model, we argue that financial crashes are likely to be stochastic transitions which can occur even when the system is far away from the tipping point. Specifically, we show that a gradually increasing strength of stochastic perturbations may have caused to abrupt transitions in the financial markets. Broadly, our results highlight the importance of stochastically driven abrupt transitions in real world scenarios. Our study offers rising variability as a precursor of financial meltdowns albeit with a limitation that they may signal false alarms.

Evaluation and Minimization of Low-Order Harmonic Torque in Low-Switching-Frequency Inverter-Fed Induction Motor Drives

A low-order harmonic pulsating torque is a major concern in high-power drives, high-speed drives, and motor drives operating in an overmodulation region. This paper attempts to minimize the low-order harmonic torques in induction motor drives, operated at a low pulse number (i.e., a low ratio of switching frequency to fundamental frequency), through a frequency domain (FD) approach as well as a synchronous reference frame (SRF) based approach. This paper first investigates FD-based approximate elimination of harmonic torque as suggested by classical works. This is then extended into a procedure for minimization of low-order pulsating torque components in the FD, which is independent of machine parameters and mechanical load. Furthermore, an SRF-based optimal pulse width modulation (PWM) method is proposed to minimize the low-order harmonic torques, considering the motor parameters and load torque. The two optimal methods are evaluated and compared with sine-triangle (ST) PWM and selective harmonic elimination (SHE) PWM through simulations and experimental studies on a 3.7-kW induction motor drive. The SRF-based optimal PWM results in marginally better performance than the FD-based one. However, the selection of optimal switching angle for any modulation index (M) takes much longer in case of SRF than in case of the FD-based approach. The FD-based optimal solutions can be used as good starting solutions and/or to reasonably restrict the search space for optimal solutions in the SRF-based approach. Both of the FD-based and SRF-based optimal PWM methods reduce the low-order pulsating torque significantly, compared to ST PWM and SHE PWM, as shown by the simulation and experimental results.