Structure-preserving Runge-Kutta methods for stochastic Hamiltonian equations with additive noise

There has been considerable recent work on the development of energy conserving one-step methods that are not symplectic. Here we extend these ideas to stochastic Hamiltonian problems with additive noise and show that there are classes of Runge-Kutta methods that are very effective in preserving the expectation of the Hamiltonian, but care has to be taken in how the Wiener increments are sampled at each timestep. Some numerical simulations illustrate the performance of these methods.

A stochastic thermostat algorithm for coarse-grained thermomechanical modeling of large-scale soft matters : theory and application to microfilaments

As all-atom molecular dynamics method is limited by its enormous computational cost, various coarse-grained strategies have been developed to extend the length scale of soft matters in the modeling of mechanical behaviors. However, the classical thermostat algorithm in highly coarse-grained molecular dynamics method would underestimate the thermodynamic behaviors of soft matters (e.g. microfilaments in cells), which can weaken the ability of materials to overcome local energy traps in granular modeling. Based on all-atom molecular dynamics modeling of microfilament fragments (G-actin clusters), a new stochastic thermostat algorithm is developed to retain the representation of thermodynamic properties of microfilaments at extra coarse-grained level. The accuracy of this stochastic thermostat algorithm is validated by all-atom MD simulation. This new stochastic thermostat algorithm provides an efficient way to investigate the thermomechanical properties of large-scale soft matters.

Motion planning and stochastic control with experimental validation on a planetary rover

Motion planning for planetary rovers must consider control uncertainty in order to maintain the safety of the platform during navigation. Modelling such control uncertainty is difficult due to the complex interaction between the platform and its environment. In this paper, we propose a motion planning approach whereby the outcome of control actions is learned from experience and represented statistically using a Gaussian process regression model. This model is used to construct a control policy for navigation to a goal region in a terrain map built using an on-board RGB-D camera. The terrain includes flat ground, small rocks, and non-traversable rocks. We report the results of 200 simulated and 35 experimental trials that validate the approach and demonstrate the value of considering control uncertainty in maintaining platform safety.

A stochastic neighborhood conditional autoregressive model for spatial data

A spatial process observed over a lattice or a set of irregular regions is usually modeled using a conditionally autoregressive (CAR) model. The neighborhoods within a CAR model are generally formed deterministically using the inter-distances or boundaries between the regions. An extension of CAR model is proposed in this article where the selection of the neighborhood depends on unknown parameter(s). This extension is called a Stochastic Neighborhood CAR (SNCAR) model. The resulting model shows flexibility in accurately estimating covariance structures for data generated from a variety of spatial covariance models. Specific examples are illustrated using data generated from some common spatial covariance functions as well as real data concerning radioactive contamination of the soil in Switzerland after the Chernobyl accident.

On optimal control of constrained linear systems with imperfect state information and stochastic disturbances

We address the problem of finite horizon optimal control of discrete-time linear systems with input constraints and uncertainty. The uncertainty for the problem analysed is related to incomplete state information (output feedback) and stochastic disturbances. We analyse the complexities associated with finding optimal solutions. We also consider two suboptimal strategies that could be employed for larger optimization horizons.

Approximate solutions to stochastic dynamic programs

This paper examines the properties of various approximation methods for solving stochastic dynamic programs in structural estimation problems. The problem addressed is evaluating the expected value of the maximum of available choices. The paper shows that approximating this by the maximum of expected values frequently has poor properties. It also shows that choosing a convenient distributional assumptions for the errors and then solving exactly conditional on the distributional assumption leads to small approximation errors even if the distribution is misspecified. © 1997 Cambridge University Press.

Asymptotic minimax robust and misspecified Lorden quickest change detection for dependent stochastic processes

The quick detection of an abrupt unknown change in the conditional distribution of a dependent stochastic process has numerous applications. In this paper, we pose a minimax robust quickest change detection problem for cases where there is uncertainty about the post-change conditional distribution. Our minimax robust formulation is based on the popular Lorden criteria of optimal quickest change detection. Under a condition on the set of possible post-change distributions, we show that the widely known cumulative sum (CUSUM) rule is asymptotically minimax robust under our Lorden minimax robust formulation as a false alarm constraint becomes more strict. We also establish general asymptotic bounds on the detection delay of misspecified CUSUM rules (i.e. CUSUM rules that are designed with post- change distributions that differ from those of the observed sequence). We exploit these bounds to compare the delay performance of asymptotically minimax robust, asymptotically optimal, and other misspecified CUSUM rules. In simulation examples, we illustrate that asymptotically minimax robust CUSUM rules can provide better detection delay performance at greatly reduced computation effort compared to competing generalised likelihood ratio procedures.

Enhanced stochastic mobility prediction with multi-output Gaussian processes

Outdoor robots such as planetary rovers must be able to navigate safely and reliably in order to successfully perform missions in remote or hostile environments. Mobility prediction is critical to achieving this goal due to the inherent control uncertainty faced by robots traversing natural terrain. We propose a novel algorithm for stochastic mobility prediction based on multi-output Gaussian process regression. Our algorithm considers the correlation between heading and distance uncertainty and provides a predictive model that can easily be exploited by motion planning algorithms. We evaluate our method experimentally and report results from over 30 trials in a Mars-analogue environment that demonstrate the effectiveness of our method and illustrate the importance of mobility prediction in navigating challenging terrain.

Learned stochastic mobility prediction for planning with control uncertainty on unstructured terrain

Motion planning for planetary rovers must consider control uncertainty in order to maintain the safety of the platform during navigation. Modelling such control uncertainty is difficult due to the complex interaction between the platform and its environment. In this paper, we propose a motion planning approach whereby the outcome of control actions is learned from experience and represented statistically using a Gaussian process regression model. This mobility prediction model is trained using sample executions of motion primitives on representative terrain, and predicts the future outcome of control actions on similar terrain. Using Gaussian process regression allows us to exploit its inherent measure of prediction uncertainty in planning. We integrate mobility prediction into a Markov decision process framework and use dynamic programming to construct a control policy for navigation to a goal region in a terrain map built using an on-board depth sensor. We consider both rigid terrain, consisting of uneven ground, small rocks, and non-traversable rocks, and also deformable terrain. We introduce two methods for training the mobility prediction model from either proprioceptive or exteroceptive observations, and report results from nearly 300 experimental trials using a planetary rover platform in a Mars-analogue environment. Our results validate the approach and demonstrate the value of planning under uncertainty for safe and reliable navigation.