A two timescale stochastic approximation scheme for simulation-based parametric optimization

A two timescale stochastic approximation scheme which uses coupled iterations is used for simulation-based parametric optimization as an alternative to traditional "infinitesimal perturbation analysis" schemes, It avoids the aggregation of data present in many other schemes. Its convergence is analyzed, and a queueing example is presented.

Multiscale stochastic approximation for parametric optimization of hidden Markov models

A two-time scale stochastic approximation algorithm is proposed for simulation-based parametric optimization of hidden Markov models, as an alternative to the traditional approaches to ''infinitesimal perturbation analysis.'' Its convergence is analyzed, and a queueing example is presented.

Reinforcement Learning With Function Approximation for Traffic Signal Control

We propose, for the first time, a reinforcement learning (RL) algorithm with function approximation for traffic signal control. Our algorithm incorporates state-action features and is easily implementable in high-dimensional settings. Prior work, e. g., the work of Abdulhai et al., on the application of RL to traffic signal control requires full-state representations and cannot be implemented, even in moderate-sized road networks, because the computational complexity exponentially grows in the numbers of lanes and junctions. We tackle this problem of the curse of dimensionality by effectively using feature-based state representations that use a broad characterization of the level of congestion as low, medium, or high. One advantage of our algorithm is that, unlike prior work based on RL, it does not require precise information on queue lengths and elapsed times at each lane but instead works with the aforementioned described features. The number of features that our algorithm requires is linear to the number of signaled lanes, thereby leading to several orders of magnitude reduction in the computational complexity. We perform implementations of our algorithm on various settings and show performance comparisons with other algorithms in the literature, including the works of Abdulhai et al. and Cools et al., as well as the fixed-timing and the longest queue algorithms. For comparison, we also develop an RL algorithm that uses full-state representation and incorporates prioritization of traffic, unlike the work of Abdulhai et al. We observe that our algorithm outperforms all the other algorithms on all the road network settings that we consider.

Strong shock approximation in the new theory of shock dynamics

This paper investigates the propagation of a strong shock into an inhomogeneous medium using the new theory of shock dynamics. The equations are simple to solve and involve no trial-and-error method commonly used in this case. The results compare favourably with earlier results obtained in the case of self-similar flows, which arise as a special case of this theory.

The actor-critic algorithm as multi-time-scale stochastic approximation

The actor-critic algorithm of Barto and others for simulation-based optimization of Markov decision processes is cast as a two time Scale stochastic approximation. Convergence analysis, approximation issues and an example are studied.

Providing quality of service via opportunistic splitting using stochastic approximation

We consider the problem of wireless channel allocation to multiple users. A slot is given to a user with a highest metric (e.g., channel gain) in that slot. The scheduler may not know the channel states of all the users at the beginning of each slot. In this scenario opportunistic splitting is an attractive solution. However this algorithm requires that the metrics of different users form independent, identically distributed (iid) sequences with same distribution and that their distribution and number be known to the scheduler. This limits the usefulness of opportunistic splitting. In this paper we develop a parametric version of this algorithm. The optimal parameters of the algorithm are learnt online through a stochastic approximation scheme. Our algorithm does not require the metrics of different users to have the same distribution. The statistics of these metrics and the number of users can be unknown and also vary with time. Each metric sequence can be Markov. We prove the convergence of the algorithm and show its utility by scheduling the channel to maximize its throughput while satisfying some fairness and/or quality of service constraints.

Opportunistic splitting for scheduling via stochastic approximation

We consider the problem of scheduling a wireless channel among multiple users. A slot is given to a user with a highest metric (e.g., channel gain) in that slot. The scheduler may not know the channel states of all the users at the beginning of each slot. In this scenario opportunistic splitting is an attractive solution. However this algorithm requires that the metrics of different users form independent, identically distributed (iid) sequences with same distribution and that their distribution and number be known to the scheduler. This limits the usefulness of opportunistic splitting. In this paper we develop a parametric version of this algorithm. The optimal parameters of the algorithm are learnt online through a stochastic approximation scheme. Our algorithm does not require the metrics of different users to have the same distribution. The statistics of these metrics and the number of users can be unknown and also vary with time. We prove the convergence of the algorithm and show its utility by scheduling the channel to maximize its throughput while satisfying some fairness and/or quality of service constraints.

Pseudodynamic systems approach based on a quadratic approximation of update equations for diffuse optical tomography

We explore a pseudodynamic form of the quadratic parameter update equation for diffuse optical tomographic reconstruction from noisy data. A few explicit and implicit strategies for obtaining the parameter updates via a semianalytical integration of the pseudodynamic equations are proposed. Despite the ill-posedness of the inverse problem associated with diffuse optical tomography, adoption of the quadratic update scheme combined with the pseudotime integration appears not only to yield higher convergence, but also a muted sensitivity to the regularization parameters, which include the pseudotime step size for integration. These observations are validated through reconstructions with both numerically generated and experimentally acquired data. (C) 2011 Optical Society of America

Theory of Gas Hydrates: Effect of the Approximation of Rigid Water Lattice

One of the assumptions of the van der Waals and Platteeuw theory for gas hydrates is that the host water lattice is rigid and not distorted by the presence of guest molecules. In this work, we study the effect of this approximation on the triple-point lines of the gas hydrates. We calculate the triple-point lines of methane and ethane hydrates via Monte Carlo molecular simulations and compare the simulation results with the predictions of van der Waals and Platteeuw theory. Our study shows that even if the exact intermolecular potential between the guest molecules and water is known, the dissociation temperatures predicted by the theory are significantly higher. This has serious implications to the modeling of gas hydrate thermodynamics, and in spite of the several impressive efforts made toward obtaining an accurate description of intermolecular interactions in gas hydrates, the theory will suffer from the problem of robustness if the issue of movement of water molecules is not adequately addressed.

Polynomial Approximation, Local Polynomial convexity, and Degenerate CR Singularities- II

We provide some conditions for the graph of a Holder-continuous function on (D) over bar, where (D) over bar is a closed disk in C, to be polynomially convex. Almost all sufficient conditions known to date - provided the function (say F) is smooth - arise from versions of the Weierstrass Approximation Theorem on (D) over bar. These conditions often fail to yield any conclusion if rank(R)DF is not maximal on a sufficiently large subset of (D) over bar. We bypass this difficulty by introducing a technique that relies on the interplay of certain plurisubharmonic functions. This technique also allows us to make some observations on the polynomial hull of a graph in C(2) at an isolated complex tangency.

An Online Actor-Critic Algorithm with Function Approximation for Constrained Markov Decision Processes

We develop an online actor-critic reinforcement learning algorithm with function approximation for a problem of control under inequality constraints. We consider the long-run average cost Markov decision process (MDP) framework in which both the objective and the constraint functions are suitable policy-dependent long-run averages of certain sample path functions. The Lagrange multiplier method is used to handle the inequality constraints. We prove the asymptotic almost sure convergence of our algorithm to a locally optimal solution. We also provide the results of numerical experiments on a problem of routing in a multi-stage queueing network with constraints on long-run average queue lengths. We observe that our algorithm exhibits good performance on this setting and converges to a feasible point.

Stabilization of stochastic approximation by step size adaptation

A scheme for stabilizing stochastic approximation iterates by adaptively scaling the step sizes is proposed and analyzed. This scheme leads to the same limiting differential equation as the original scheme and therefore has the same limiting behavior, while avoiding the difficulties associated with projection schemes. The proof technique requires only that the limiting o.d.e. descend a certain Lyapunov function outside an arbitrarily large bounded set. (C) 2012 Elsevier B.V. All rights reserved.

Cumulus clouds and convective boundary layers: a tropical perspective on two turbulent shear flows

This paper is a review prepared for the second Marseille Colloquium on the mechanics of turbulence, held in 2011, 50 years after the first. The review covers recent developments in our understanding of the large-scale dynamics of cumulus cloud flows and of the atmospheric boundary layer in the low-wind convective regime that is often encountered in the tropics. It has recently been shown that a variety of cumulus cloud forms and life cycles can be experimentally realized in the laboratory, with the transient diabatic plume taken as the flow model for a cumulus cloud. The plume is subjected to diabatic heating scaled to be dynamically similar to heat release from phase changes in clouds. The experiments are complemented by exact numerical solutions of the Navier-Stokes-Boussinesq equations for plumes with scaled off-source heating. The results show that the Taylor entrainment coefficient first increases with heating, reaches a positive maximum and then drops rapidly to zero or even negative values. This reduction in entrainment is a consequence of structural changes in the flow, smoothing out the convoluted boundaries in the non-diabatic plume, including the tongues engulfing the ambient flow. This is accompanied by a greater degree of mixedness in the core flow because of lower dilution by the ambient fluid. The cloud forms generated depend strongly on the history of the diabatic heating profile in the vertical direction. The striking effects of heating on the flow are attributable to the operation of the baroclinic torque due to the temperature field. The mean baroclinic torque is shown to peak around a quasi-cylindrical sheet situated midway between the axis of the flow and the edges. This torque is shear-enhancing and folds down the engulfment tongues. The increase in mixedness can be traced to an explosive growth in the enstrophy, triggered by a strong fluctuating baroclinic torque that acts as a source, especially at the higher wave numbers, thus enhancing the mixedness. In convective boundary layers field measurements show that, under conditions prevailing in the tropics, the eddy fluxes of momentum and energy do not follow the Monin-Obukhov similarity. Instead, the eddy momentum flux is found to be linear in the wind speed at low winds; and the eddy heat flux is, to a first approximation, governed by free convection laws, with wind acting as a small perturbation on a regime of free convection. A new boundary layer code, based on heat flux scaling rather than wall-stress scaling, shows promising improvements in predictive skills of a general circulation model.