Stochastic Bilinear Models and Estimators with Nonlinear Observation Feedback

1986 ◽  
pp. 279-288
Author(s):  
R. R. Mohler ◽  
W. J. Kolodziej
Keyword(s):  
Bilinear Models ◽  
Nonlinear Observation

Linearized Robust Counterparts of Two-Stage Robust Optimization Problems with Applications in Operations Management

2020 ◽  
Author(s):  
Amir Ardestani-Jaafari ◽  
Erick Delage
Keyword(s):  
Robust Optimization ◽  
Operations Management ◽  
Optimization Problems ◽  
Close Relation ◽  
Bilinear Programming ◽  
Two Stage ◽  
Bilinear Models ◽  
Robust Counterpart ◽  
Adjustable Robust Counterpart ◽  
Affinely Adjustable Robust Counterpart

In this article, we discuss an alternative method for deriving conservative approximation models for two-stage robust optimization problems. The method mainly relies on a linearization scheme employed in bilinear programming; therefore, we will say that it gives rise to the linearized robust counterpart models. We identify a close relation between this linearized robust counterpart model and the popular affinely adjustable robust counterpart model. We also describe methods of modifying both types of models to make these approximations less conservative. These methods are heavily inspired by the use of valid linear and conic inequalities in the linearization process for bilinear models. We finally demonstrate how to employ this new scheme in location-transportation and multi-item newsvendor problems to improve the numerical efficiency and performance guarantees of robust optimization.

Maximum Likelihood Ensemble Filter: Theoretical Aspects

2005 ◽  
Vol 133 (6) ◽  
pp. 1710-1726 ◽  
Author(s):  
Milija Zupanski
Keyword(s):  
Maximum Likelihood ◽  
Data Assimilation ◽  
Cost Function ◽  
Ensemble Data Assimilation ◽  
Error Covariance ◽  
Ensemble Data ◽  
Analysis Error ◽  
Nonlinear Observation ◽  
The Cost ◽  
Maximum Likelihood Ensemble Filter

Abstract A new ensemble-based data assimilation method, named the maximum likelihood ensemble filter (MLEF), is presented. The analysis solution maximizes the likelihood of the posterior probability distribution, obtained by minimization of a cost function that depends on a general nonlinear observation operator. The MLEF belongs to the class of deterministic ensemble filters, since no perturbed observations are employed. As in variational and ensemble data assimilation methods, the cost function is derived using a Gaussian probability density function framework. Like other ensemble data assimilation algorithms, the MLEF produces an estimate of the analysis uncertainty (e.g., analysis error covariance). In addition to the common use of ensembles in calculation of the forecast error covariance, the ensembles in MLEF are exploited to efficiently calculate the Hessian preconditioning and the gradient of the cost function. A sufficient number of iterative minimization steps is 2–3, because of superior Hessian preconditioning. The MLEF method is well suited for use with highly nonlinear observation operators, for a small additional computational cost of minimization. The consistent treatment of nonlinear observation operators through optimization is an advantage of the MLEF over other ensemble data assimilation algorithms. The cost of MLEF is comparable to the cost of existing ensemble Kalman filter algorithms. The method is directly applicable to most complex forecast models and observation operators. In this paper, the MLEF method is applied to data assimilation with the one-dimensional Korteweg–de Vries–Burgers equation. The tested observation operator is quadratic, in order to make the assimilation problem more challenging. The results illustrate the stability of the MLEF performance, as well as the benefit of the cost function minimization. The improvement is noted in terms of the rms error, as well as the analysis error covariance. The statistics of innovation vectors (observation minus forecast) also indicate a stable performance of the MLEF algorithm. Additional experiments suggest the amplified benefit of targeted observations in ensemble data assimilation.

Separating Style and Content with Bilinear Models

2000 ◽  
Vol 12 (6) ◽  
pp. 1247-1283 ◽  
Author(s):  
Joshua B. Tenenbaum ◽  
William T. Freeman
Keyword(s):  
Expectation Maximization ◽  
General Framework ◽  
Singular Value ◽  
Familiar Face ◽  
Bilinear Models ◽  
Complex Interactions ◽  
Efficient Learning ◽  
Value Decomposition ◽  
Factor Interactions ◽  
Perceptual Systems

Perceptual systems routinely separate “content” from “style,” classifying familiar words spoken in an unfamiliar accent, identifying a font or handwriting style across letters, or recognizing a familiar face or object seen under unfamiliar viewing conditions. Yet a general and tractable computational model of this ability to untangle the underlying factors of perceptual observations remains elusive (Hofstadter, 1985). Existing factor models (Mardia, Kent, & Bibby, 1979; Hinton & Zemel, 1994; Ghahramani, 1995; Bell & Sejnowski, 1995; Hinton, Dayan, Frey, & Neal, 1995; Dayan, Hinton, Neal, & Zemel, 1995; Hinton & Ghahramani, 1997) are either insufficiently rich to capture the complex interactions of perceptually meaningful factors such as phoneme and speaker accent or letter and font, or do not allow efficient learning algorithms. We present a general framework for learning to solve two-factor tasks using bilinear models, which provide sufficiently expressive representations of factor interactions but can nonetheless be fit to data using efficient algorithms based on the singular value decomposition and expectation-maximization. We report promising results on three different tasks in three different perceptual domains: spoken vowel classification with a benchmark multi-speaker database, extrapolation of fonts to unseen letters, and translation of faces to novel illuminants.

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