mraginsky + heard-the-talk 12
[1203.4626] Active Sequential Hypothesis Testing
10 weeks ago by mraginsky
Consider a decision maker who is responsible to dynamically collect observations so as to enhance his information in a speedy manner about an underlying phenomena of interest while accounting for the penalty of wrong declaration. The special cases of the problem are shown to be that of variable-length coding with feedback and noisy dynamic search. Due to the sequential nature of the problem, the decision maker relies on his current information state to adaptively select the most "informative" sensing action among the available ones.
In this paper, using results in dynamic programming, a lower bound for the optimal total cost is established. Moreover, upper bounds are obtained via an analysis of heuristic policies for dynamic selection of actions. It is shown that the proposed heuristics achieve asymptotic optimality in many practically relevant problems including the problems of variable-length coding with feedback and noisy dynamic search; where asymptotic optimality implies that the relative difference between the total cost achieved by the proposed policies and the optimal total cost approaches zero as the penalty of wrong declaration or the number of hypotheses (hence the number of collected samples) increases. Furthermore, using the obtained bounds, the gain of adaptive selection of sensing actions is shown to be at least logarithmic in the penalty associated with wrong declarations.
papers
to-read
control-theory
information-theory
adaptive-systems
heard-the-talk
In this paper, using results in dynamic programming, a lower bound for the optimal total cost is established. Moreover, upper bounds are obtained via an analysis of heuristic policies for dynamic selection of actions. It is shown that the proposed heuristics achieve asymptotic optimality in many practically relevant problems including the problems of variable-length coding with feedback and noisy dynamic search; where asymptotic optimality implies that the relative difference between the total cost achieved by the proposed policies and the optimal total cost approaches zero as the penalty of wrong declaration or the number of hypotheses (hence the number of collected samples) increases. Furthermore, using the obtained bounds, the gain of adaptive selection of sensing actions is shown to be at least logarithmic in the penalty associated with wrong declarations.
10 weeks ago by mraginsky
[1007.1033] A Theory of Network Equivalence, Parts I and II
february 2012 by mraginsky
A family of equivalence tools for bounding network capacities is introduced. Part I treats networks of point-to-point channels. The main result is roughly as follows. Given a network of noisy, independent, memoryless point-to-point channels, a collection of communication demands can be met on the given network if and only if it can be met on another network where each noisy channel is replaced by a noiseless bit pipe with throughput equal to the noisy channel capacity. This result was known previously for the case of a single-source multicast demand. The result given here treats general demands -- including, for example, multiple unicast demands -- and applies even when the achievable rate region for the corresponding demands is unknown in the noiseless network. In part II, definitions of upper and lower bounding channel models for general channels are introduced. By these definitions, a collection of communication demands can be met on a network of independent channels if it can be met on a network where each channel is replaced by its lower bounding model andonly if it can be met on a network where each channel is replaced by its upper bounding model. This work derives general conditions under which a network of noiseless bit pipes is an upper or lower bounding model for a multiterminal channel. Example upper and lower bounding models for broadcast, multiple access, and interference channels are given. It is then shown that bounding the difference between the upper and lower bounding models for a given channel yields bounds on the accuracy of network capacity bounds derived using those models. By bounding the capacity of a network of independent noisy channels by the network coding capacity of a network of noiseless bit pipes, this approach represents one step towards the goal of building computational tools for bounding network capacities.
papers
to-read
information-theory
networks
multiagent-systems
heard-the-talk
february 2012 by mraginsky
[1011.2952] Balanced Reduction of Nonlinear Control Systems in Reproducing Kernel Hilbert Space
november 2010 by mraginsky
"We introduce a novel data-driven order reduction method for nonlinear control systems, drawing on recent progress in machine learning and statistical dimensionality reduction. The method rests on the assumption that the nonlinear system behaves linearly when lifted into a high (or infinite) dimensional feature space where balanced truncation may be carried out implicitly. This leads to a nonlinear reduction map which can be combined with a representation of the system belonging to a reproducing kernel Hilbert space to give a closed, reduced order dynamical system which captures the essential input-output characteristics of the original model. Empirical simulations illustrating the approach are also provided."
papers
to-read
heard-the-talk
control-theory
machine-learning
dynamical-systems
november 2010 by mraginsky
[1001.4448] R'enyi Divergence and Majorization
june 2010 by mraginsky
"R'enyi divergence is related to R'enyi entropy much like information divergence (also called Kullback-Leibler divergence or relative entropy) is related to Shannon's entropy, and comes up in many settings. It was introduced by R'enyi as a measure of information that satisfies almost the same axioms as information divergence. We review the most important properties of R'enyi divergence, including its relation to some other distances. We show how R'enyi divergence appears when the theory of majorization is generalized from the finite to the continuous setting. Finally, R'enyi divergence plays a role in analyzing the number of binary questions required to guess the values of a sequence of random variables."
papers
to-read
information-theory
statistics
majorization
heard-the-talk
june 2010 by mraginsky
[1002.0042] Lower bounds for the minimax risk using $f$-divergences and applications
june 2010 by mraginsky
Very nice: "A new lower bound involving $f$-divergences between the underlying probability measures is proved for the minimax risk in estimation problems. The proof just uses the convexity of the function $f$ and is extremely simple. Special cases and straightforward corollaries of our bound include well known inequalities for establishing minimax lower bounds such as Fano's inequality, Pinsker's inequality and inequalities based on global entropy conditions. Two applications are provided: a new minimax lower bound for the reconstruction of convex bodies from noisy support function measurements and a different proof of a recent minimax lower bound for the estimation of a covariance matrix."
papers
have-read
information-theory
statistics
heard-the-talk
june 2010 by mraginsky
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