nips nips2009 nips2009-10 knowledge-graph by maker-knowledge-mining

10 nips-2009-A Gaussian Tree Approximation for Integer Least-Squares

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Author: Jacob Goldberger, Amir Leshem

Abstract: This paper proposes a new algorithm for the linear least squares problem where the unknown variables are constrained to be in a ﬁnite set. The factor graph that corresponds to this problem is very loopy; in fact, it is a complete graph. Hence, applying the Belief Propagation (BP) algorithm yields very poor results. The algorithm described here is based on an optimal tree approximation of the Gaussian density of the unconstrained linear system. It is shown that even though the approximation is not directly applied to the exact discrete distribution, applying the BP algorithm to the modiﬁed factor graph outperforms current methods in terms of both performance and complexity. The improved performance of the proposed algorithm is demonstrated on the problem of MIMO detection.

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Summary: the most important sentenses genereted by tfidf model

sentIndex sentText sentNum sentScore

1 il Abstract This paper proposes a new algorithm for the linear least squares problem where the unknown variables are constrained to be in a ﬁnite set. [sent-7, score-0.265]

2 The factor graph that corresponds to this problem is very loopy; in fact, it is a complete graph. [sent-8, score-0.057]

3 Hence, applying the Belief Propagation (BP) algorithm yields very poor results. [sent-9, score-0.039]

4 The algorithm described here is based on an optimal tree approximation of the Gaussian density of the unconstrained linear system. [sent-10, score-0.108]

5 It is shown that even though the approximation is not directly applied to the exact discrete distribution, applying the BP algorithm to the modiﬁed factor graph outperforms current methods in terms of both performance and complexity. [sent-11, score-0.122]

6 1 Introduction Finding the linear least squares ﬁt to data is a well-known problem, with applications in almost every ﬁeld of science. [sent-13, score-0.108]

7 When there are no restrictions on the variables, the problem has a closed form solution. [sent-14, score-0.039]

8 In many cases, a-priori knowledge on the values of the variables is available. [sent-15, score-0.026]

9 One example is the existence of priors, which leads to Bayesian estimators. [sent-16, score-0.027]

10 Another example of great interest in many applications is when the variables are constrained to a discrete ﬁnite set. [sent-17, score-0.159]

11 In contrast to the continuous linear least squares problem, this problem is known to be NP hard. [sent-19, score-0.108]

12 It should be noted, however, that the proposed method is general and can be applied to any integer linear least-square problem. [sent-21, score-0.116]

13 A multiple-inputmultiple-output (MIMO) is a communication system with n transmit antennas and m receive antennas. [sent-22, score-0.309]

14 The tap gain from transmit antenna i to receive antenna j is denoted by Hij . [sent-23, score-0.407]

15 In each use of ⊤ the MIMO channel a vector x = (x1 , . [sent-24, score-0.035]

16 , xn ) is independently selected from a ﬁnite set of points A according to the data to be transmitted, so that x ∈ An . [sent-27, score-0.071]

17 A standard example of a ﬁnite set A in MIMO communication is A = {−1, 1} or more generally A = {±1, ±3, . [sent-28, score-0.095]

18 The received vector y is given by: y = Hx + ǫ (1) The vector ǫ is an additive noise in which the noise components are assumed to be zero mean, statistically independent Gaussians with a known variance σ 2 I. [sent-32, score-0.15]

19 (In the MIMO application we further assume that H comprises iid elements drawn from a normal distribution of unit variance. [sent-34, score-0.079]

20 ) The MIMO detection problem consists of ﬁnding the unknown transmitted vector x given H and y. [sent-35, score-0.25]

21 The task, therefore, boils down to solving a linear system in which the unknowns are constrained to a discrete ﬁnite set. [sent-36, score-0.317]

22 Since the noise ǫ is assumed 1 to be additive Gaussian, the optimal maximum likelihood (ML) solution is: x = arg min Hx − y ˆ n 2 x∈A (2) However, going over all the |A|n vectors is unfeasible when either n or |A| are large. [sent-37, score-0.256]

23 Somewhat better performance can be obtained by using a minimum mean square error (MMSE) Bayesian estimation on the continuous linear system. [sent-39, score-0.037]

24 Let e be the variance of a uniform distribution over the members of A. [sent-40, score-0.029]

25 The MMSE estimation becomes: σ 2 −1 ⊤ I) H y (5) e and then the ﬁnite-set solution is obtained by ﬁnding the closest lattice point in each component independently. [sent-42, score-0.248]

26 A vast improvement over the linear approaches described above can be achieved by using sequential decoding: ⊤ E(x|y) = (H H + • Apply MMSE (5) and choose the most reliable symbol, i. [sent-43, score-0.173]

27 the symbol that corresponds to the column with the minimal norm of the matrix: ⊤ σ 2 −1 ⊤ (H H + I) H e • Make a discrete symbol decision for the most reliable symbol xi . [sent-45, score-0.847]

28 Eliminate the detected ˆ symbol: j=i hj xj = y − hi xi (hj is the j-th column of H) to obtain a new smaller linear ˆ system. [sent-46, score-0.295]

29 This algorithm, known as MMSE-SIC [5], has the best performance for this family of linear-based algorithms but the price is higher complexity. [sent-48, score-0.031]

30 These linear type algorithms can also easily provide probabilistic (soft-decision) estimates for each symbol. [sent-49, score-0.037]

31 However, there is still a signiﬁcant gap between the detection performance of the MMSE-SIC algorithm and the performance of the optimal ML detector. [sent-50, score-0.116]

32 Many alternative structures have been proposed to approach ML detection performance. [sent-51, score-0.116]

33 For example, sphere decoding algorithm (an efﬁcient way to go over all the possible solutions) [7], approaches using the sequential Monte Carlo framework [3] and methods based on semideﬁnite relaxation [17] have been implemented. [sent-52, score-0.328]

34 Although the detection schemes listed above reduce computational complexity compared to the exhaustive search of ML solution, sphere decoding is still exponential in the average case [9] and the semideﬁnite relaxation is a high-degree polynomial. [sent-53, score-0.452]

35 Thus, there is still a need for low complexity detection algorithms that can achieve good performance. [sent-54, score-0.116]

36 This study attempts to solve the integer least-squares problem using the Belief Propagation (BP) paradigm. [sent-55, score-0.105]

37 [14]) that a straightforward implementation of the BP algorithm to the MIMO detection problem yields very poor results since there are a large number of short cycles in the underlying factor graph. [sent-58, score-0.223]

38 In this study we introduce a novel approach to utilize the BP paradigm for MIMO detection. [sent-59, score-0.063]

39 Observing that Hx − y 2 is a quadratic expression, it can be easily veriﬁed that p(x|y) is factorized into a product of two- and single-variable potentials: p(x1 , . [sent-62, score-0.036]

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P : S × S × A → [0, 1] is the transition function, where P (s , s, a) represents the probability of transiting to state s from state s, given action a. The function r : S × A → R is the reward function, and α : S → [0, 1] is the initial state distribution. The objective is to maximize the inﬁnite-horizon discounted cumulative reward. To shorten the notation, we assume an arbitrary ordering of the states: s1 , s2 , . . . , sn . Then, Pa and ra are used to denote the probabilistic transition matrix and reward for action a. The solution of an MDP is a policy π : S × A → [0, 1] from a set of possible policies Π, such that for all s ∈ S, a∈A π(s, a) = 1. We assume that the policies may be stochastic, but stationary [21]. A policy is deterministic when π(s, a) ∈ {0, 1} for all s ∈ S and a ∈ A. The transition and reward functions for a given policy are denoted by Pπ and rπ . The value function update for a policy π is denoted by Lπ , and the Bellman operator is denoted by L. That is: Lπ v = Pπ v + rπ Lv = max Lπ v. π∈Π The optimal value function, denoted v ∗ , satisﬁes v ∗ = Lv ∗ . We focus on linear value function approximation for discounted inﬁnite-horizon problems. In linear value function approximation, the value function is represented as a linear combination of nonlinear basis functions (vectors). For each state s, we deﬁne a row-vector φ(s) of features. The rows of the basis matrix M correspond to φ(s), and the approximation space is generated by the columns of the matrix. That is, the basis matrix M , and the value function v are represented as:   − φ(s1 ) −   M = − φ(s2 ) − v = M x. . . . Deﬁnition 1. A value function, v, is representable if v ∈ M ⊆ R|S| , where M = colspan (M ), and is transitive-feasible when v ≥ Lv. We denote the set of transitive-feasible value functions as: K = {v ∈ R|S| v ≥ Lv}. 2 Notice that the optimal value function v ∗ is transitive-feasible, and M is a linear space. Also, all the inequalities are element-wise. Because the new formulation is related to ALP, we introduce it ﬁrst. It is well known that an inﬁnite horizon discounted MDP problem may be formulated in terms of solving the following linear program: minimize v c(s)v(s) s∈S v(s) − γ s.t. P (s , s, a)v(s ) ≥ r(s, a) ∀(s, a) ∈ (S, A) (1) s ∈S We use A as a shorthand notation for the constraint matrix and b for the right-hand side. The value c represents a distribution over the states, usually a uniform one. That is, s∈S c(s) = 1. The linear program in Eq. (1) is often too large to be solved precisely, so it is approximated to get an approximate linear program by assuming that v ∈ M [8], as follows: minimize cT v x Av ≥ b s.t. (2) v∈M The constraint v ∈ M denotes the approximation. To actually solve this linear program, the value function is represented as v = M x. In the remainder of the paper, we assume that 1 ∈ M to guarantee the feasibility of the ALP, where 1 is a vector of all ones. The optimal solution of the ALP, v , satisﬁes that v ≥ v ∗ . Then, the objective of Eq. (2) represents the minimization of v − v ∗ 1,c , ˜ ˜ ˜ where · 1,c is a c-weighted L1 norm [7]. The ultimate goal of the optimization is not to obtain a good value function v , but a good policy. ˜ The quality of the policy, typically chosen to be greedy with respect to v , depends non-trivially on ˜ the approximate value function. The ABP formulation will minimize policy loss by minimizing L˜ − v ∞ , which bounds the policy loss as follows. v ˜ Theorem 2 (e.g. [25]). Let v be an arbitrary value function, and let v be the value of the greedy ˜ ˆ policy with respect to v . Then: ˜ 2 v∗ − v ∞ ≤ ˆ L˜ − v ∞ , v ˜ 1−γ In addition, if v ≥ L˜, the policy loss is smallest for the greedy policy. ˜ v Policies, like value functions, can be represented as vectors. Assume an arbitrary ordering of the state-action pairs, such that o(s, a) → N maps a state and an action to its position. The policies are represented as θ ∈ R|S|×|A| , and we use the shorthand notation θ(s, a) = θ(o(s, a)). Remark 3. The corresponding π and θ are denoted as π θ and θπ and satisfy: π θ (s, a) = θπ (s, a). We will also consider approximations of the policies in the policy-space, generated by columns of a matrix N . A policy is representable when π ∈ N , where N = colspan (N ). 3 Approximate Bilinear Programs This section shows how to formulate minv∈M Lv − v ∞ as a separable bilinear program. Bilinear programs are a generalization of linear programs with an additional bilinear term in the objective function. A separable bilinear program consists of two linear programs with independent constraints and are fairly easy to solve and analyze. Deﬁnition 4 (Separable Bilinear Program). A separable bilinear program in the normal form is deﬁned as follows: T T minimize f (w, x, y, z) = sT w + r1 x + xT Cy + r2 y + sT z 1 2 w,x y,z s.t. A1 x + B1 w = b1 A2 y + B2 z = b2 w, x ≥ 0 y, z ≥ 0 3 (3) We separate the variables using a vertical line and the constraints using different columns to emphasize the separable nature of the bilinear program. In this paper, we only use separable bilinear programs and refer to them simply as bilinear programs. An approximate bilinear program can now be formulated as follows. minimize θT λ + λ θ λ,λ ,v Bθ = 1 z = Av − b s.t. θ≥0 z≥0 (4) λ+λ1≥z λ≥0 θ∈N v∈M All variables are vectors except λ , which is a scalar. The symbol z is only used to simplify the notation and does not need to represent an optimization variable. The variable v is deﬁned for each state and represents the value function. Matrix A represents constraints that are identical to the constraints in Eq. (2). The variables λ correspond to all state-action pairs. These variables represent the Bellman residuals that are being minimized. The variables θ are deﬁned for all state-action pairs and represent policies in Remark 3. The matrix B represents the following constraints: θ(s, a) = 1 ∀s ∈ S. a∈A As with approximate linear programs, we initially assume that all the constraints on z are used. In realistic settings, however, the constraints would be sampled or somehow reduced. We defer the discussion of this issue until Section 6. Note that the constraints in our formulation correspond to elements of z and θ. Thus when constraints are omitted, also the corresponding elements of z and θ are omitted. To simplify the notation, the value function approximation in this problem is denoted only implicitly by v ∈ M, and the policy approximation is denoted by θ ∈ N . In an actual implementation, the optimization variables would be x, y using the relationships v = M x and θ = N y. We do not assume any approximation of the policy space, unless mentioned otherwise. We also use v or θ to refer to partial solutions of Eq. (4) with the other variables chosen appropriately to achieve feasibility. The ABP formulation is closely related to approximate linear programs, and we discuss the connection in Section 5. We ﬁrst analyze the properties of the optimal solutions of the bilinear program and then show and discuss the solution methods in Section 4. The following theorem states the main property of the bilinear formulation. ˜˜ ˜ ˜ Theorem 5. b Let (θ, v , λ, λ ) be an optimal solution of Eq. (4) and assume that 1 ∈ M. Then: ˜ ˜ ˜ θT λ + λ = L˜ − v v ˜ ∞ ≤ min v∈K∩M Lv − v ∞ ≤ 2 min Lv − v v∈M ∞ ≤ 2(1 + γ) min v − v ∗ v∈M ∞. ˜ In addition, π θ minimizes the Bellman residual with regard to v , and its value function v satisﬁes: ˜ ˆ 2 min Lv − v ∞ . v − v∗ ∞ ≤ ˆ 1 − γ v∈M The proof of the theorem can be found in [19]. It is important to note that, as Theorem 5 states, the ABP approach is equivalent to a minimization over all representable value functions, not only the transitive-feasible ones. Notice also the missing coefﬁcient 2 (2 instead of 4) in the last equation of Theorem 5. This follows by subtracting a constant vector 1 from v to balance the lower bounds ˜ on the Bellman residual error with the upper ones. This modiﬁed approximate value function will have 1/2 of the original Bellman residual but an identical greedy policy. Finally, note that whenever v ∗ ∈ M, both ABP and ALP will return the optimal value function. The ABP solution minimizes the L∞ norm of the Bellman residual due to: 1) the correspondence between θ and the policies, and 2) the dual representation with respect to variables λ and λ . The theorem then follows using techniques similar to those used for approximate linear programs [7]. 4 Algorithm 1: Iterative algorithm for solving Eq. (3) (x0 , w0 ) ← random ; (y0 , z0 ) ← arg miny,z f (w0 , x0 , y, z) ; i←1; while yi−1 = yi or xi−1 = xi do (yi , zi ) ← arg min{y,z A2 y+B2 z=b2 y,z≥0} f (wi−1 , xi−1 , y, z) ; (xi , wi ) ← arg min{x,w A1 x+B1 w=b1 x,w≥0} f (w, x, yi , zi ) ; i←i+1 return f (wi , xi , yi , zi ) 4 Solving Bilinear Programs In this section we describe simple methods for solving ABPs. We ﬁrst describe optimal methods, which have exponential complexity, and then discuss some approximation strategies. Solving a bilinear program is an NP-complete problem [3]. The membership in NP follows from the ﬁnite number of basic feasible solutions of the individual linear programs, each of which can be checked in polynomial time. The NP-hardness is shown by a reduction from the SAT problem [3]. The NP-completeness of ABP compares unfavorably with the polynomial complexity of ALP. However, most other ADP algorithms are not guaranteed to converge to a solution in ﬁnite time. The following theorem shows that the computational complexity of the ABP formulation is asymptotically the same as the complexity of the problem it solves. Theorem 6. b Determining minv∈K∩M Lv − v ∞ < is NP-complete for the full constraint representation, 0 < γ < 1, and a given > 0. In addition, the problem remains NP-complete when 1 ∈ M, and therefore minv∈M Lv − v ∞ < is also NP-complete. As the theorem states, the value function approximation does not become computationally simpler even when 1 ∈ M – a universal assumption in the paper. Notice that ALP can determine whether minv∈K∩M Lv − v ∞ = 0 in polynomial time. The proof of Theorem 6 is based on a reduction from SAT and can be found in [19]. The policy in the reduction determines the true literal in each clause, and the approximate value function corresponds to the truth value of the literals. The approximation basis forces literals that share the same variable to have consistent values. Bilinear programs are non-convex and are typically solved using global optimization techniques. The common solution methods are based on concave cuts [11] or branch-and-bound [6]. In ABP settings with a small number of features, the successive approximation algorithm [17] may be applied efﬁciently. We are, however, not aware of commercial solvers available for solving bilinear programs. Bilinear programs can be formulated as concave quadratic minimization problems [11], or mixed integer linear programs [11, 16], for which there are numerous commercial solvers available. Because we are interested in solving very large bilinear programs, we describe simple approximate algorithms next. Optimal scalable methods are beyond the scope of this paper. The most common approximate method for solving bilinear programs is shown in Algorithm 1. It is designed for the general formulation shown in Eq. (3), where f (w, x, y, z) represents the objective function. The minimizations in the algorithm are linear programs which can be easily solved. Interestingly, as we will show in Section 5, Algorithm 1 applied to ABP generalizes a version of API. While Algorithm 1 is not guaranteed to ﬁnd an optimal solution, its empirical performance is often remarkably good [13]. Its basic properties are summarized by the following proposition. Proposition 7 (e.g. [3]). Algorithm 1 is guaranteed to converge, assuming that the linear program solutions are in a vertex of the optimality simplex. In addition, the global optimum is a ﬁxed point of the algorithm, and the objective value monotonically improves during execution. 5 The proof is based on the ﬁnite count of the basic feasible solutions of the individual linear programs. Because the objective function does not increase in any iteration, the algorithm will eventually converge. In the context of MDPs, Algorithm 1 can be further reﬁned. For example, the constraint v ∈ M in Eq. (4) serves mostly to simplify the bilinear program and a value function that violates it may still be acceptable. The following proposition motivates the construction of a new value function from two transitive-feasible value functions. Proposition 8. Let v1 and v2 be feasible value functions in Eq. (4). Then the value function ˜ ˜ v (s) = min{˜1 (s), v2 (s)} is also feasible in Eq. (4). Therefore v ≥ v ∗ and v ∗ − v ∞ ≤ ˜ v ˜ ˜ ˜ min { v ∗ − v1 ∞ , v ∗ − v2 ∞ }. ˜ ˜ The proof of the proposition is based on Jensen’s inequality and can be found in [19]. Proposition 8 can be used to extend Algorithm 1 when solving ABPs. One option is to take the state-wise minimum of values from multiple random executions of Algorithm 1, which preserves the transitive feasibility of the value function. However, the increasing number of value functions used to obtain v also increases the potential sampling error. ˜ 5 Relationship to ALP and API In this section, we describe the important connections between ABP and the two closely related ADP methods: ALP, and API with L∞ minimization. Both of these methods are commonly used, for example to solve factored MDPs [10]. Our analysis sheds light on some of their observed properties and leads to a new convergent form of API. ABP addresses some important issues with ALP: 1) ALP provides value function bounds with respect to L1 norm, which does not guarantee small policy loss, 2) ALP’s solution quality depends signiﬁcantly on the heuristically-chosen objective function c in Eq. (2) [7], and 3) incomplete constraint samples in ALP easily lead to unbounded linear programs. The drawback of using ABP, however, is the higher computational complexity. Both the ﬁrst and the second issues in ALP can be addressed by choosing the right objective function [7]. Because this objective function depends on the optimal ALP solution, it cannot be practically computed. Instead, various heuristics are usually used. The heuristic objective functions may lead to signiﬁcant improvements in speciﬁc domains, but they do not provide any guarantees. ABP, on the other hand, has no such parameters that require adjustments. The third issue arises when the constraints of an ALP need to be sampled in some large domains. The ALP may become unbounded with incomplete samples because its objective value is deﬁned using the L1 norm on the states, and the constraints are deﬁned using the L∞ norm of the Bellman residual. In ABP, the Bellman residual is used in both the constraints and objective function. The objective function of ABP is then bounded below by 0 for an arbitrarily small number of samples. ABP can also improve on API with L∞ minimization (L∞ -API for short), which is a leading method for solving factored MDPs [10]. Minimizing the L∞ approximation error is theoretically preferable, since it is compatible with the existing bounds on policy loss [10]. In contrast, few practical bounds exist for API with the L2 norm minimization [14], such as LSPI [12]. L∞ -API is shown in Algorithm 2, where f (π) is calculated using the following program: minimize φ φ,v s.t. (I − γPπ )v + 1φ ≥ rπ −(I − γPπ )v + 1φ ≥ −rπ (5) v∈M Here I denotes the identity matrix. We are not aware of a convergence or a divergence proof of L∞ -API, and this analysis is beyond the scope of this paper. 6 Algorithm 2: Approximate policy iteration, where f (π) denotes a custom value function approximation for the policy π. π0 , k ← rand, 1 ; while πk = πk−1 do vk ← f (πk−1 ) ; ˜ πk (s) ← arg maxa∈A r(s, a) + γ s ∈S P (s , s, a)˜k (s) ∀s ∈ S ; v k ←k+1 We propose Optimistic Approximate Policy Iteration (OAPI), a modiﬁcation of API. OAPI is shown in Algorithm 2, where f (π) is calculated using the following program: minimize φ φ,v s.t. Av ≥ b (≡ (I − γPπ )v ≥ rπ ∀π ∈ Π) −(I − γPπ )v + 1φ ≥ −rπ (6) v∈M In fact, OAPI corresponds to Algorithm 1 applied to ABP because Eq. (6) corresponds to Eq. (4) with ﬁxed θ. Then, using Proposition 7, we get the following corollary. Corollary 9. Optimistic approximate policy iteration converges in ﬁnite time. In addition, the Bellman residual of the generated value functions monotonically decreases. OAPI differs from L∞ -API in two ways: 1) OAPI constrains the Bellman residuals by 0 from below and by φ from above, and then it minimizes φ. L∞ -API constrains the Bellman residuals by φ from both above and below. 2) OAPI, like API, uses only the current policy for the upper bound on the Bellman residual, but uses all the policies for the lower bound on the Bellman residual. L∞ -API cannot return an approximate value function that has a lower Bellman residual than ABP, given the optimality of ABP described in Theorem 5. However, even OAPI, an approximate ABP algorithm, performs comparably to L∞ -API, as the following theorem states. Theorem 10. b Assume that L∞ -API converges to a policy π and a value function v that both φ satisfy: φ = v − Lπ v ∞ = v − Lv ∞ . Then v = v + 1−γ 1 is feasible in Eq. (4), and it is a ﬁxed ˜ point of OAPI. In addition, the greedy policies with respect to v and v are identical. ˜ The proof is based on two facts. First, v is feasible with respect to the constraints in Eq. (4). The ˜ Bellman residual changes for all the policies identically, since a constant vector is added. Second, because Lπ is greedy with respect to v , we have that v ≥ Lπ v ≥ L˜. The value function v is ˜ ˜ ˜ v ˜ therefore transitive-feasible. The full proof can be found in [19]. To summarize, OAPI guarantees convergence, while matching the performance of L∞ -API. The convergence of OAPI is achieved because given a non-negative Bellman residual, the greedy policy also minimizes the Bellman residual. Because OAPI ensures that the Bellman residual is always non-negative, it can progressively reduce it. In comparison, the greedy policy in L∞ -API does not minimize the Bellman residual, and therefore L∞ -API does not always reduce it. Theorem 10 also explains why API provides better solutions than ALP, as observed in [10]. From the discussion above, ALP can be seen as an L1 -norm approximation of a single iteration of OAPI. L∞ -API, on the other hand, performs many such ALP-like iterations. 6 Empirical Evaluation As we showed in Theorem 10, even OAPI, the very simple approximate algorithm for ABP, can perform as well as existing state-of-the art methods on factored MDPs. However, a deeper understanding of the formulation and potential solution methods will be necessary in order to determine the full practical impact of the proposed methods. In this section, we validate the approach by applying it to the mountain car problem, a simple reinforcement learning benchmark problem. We have so far considered that all the constraints involving z are present in the ABP in Eq. (4). Because the constraints correspond to all state-action pairs, it is often impractical to even enumerate 7 (a) L∞ error of the Bellman residual Features 100 144 OAPI 0.21 (0.23) 0.13 (0.1) ALP 13. (13.) 3.6 (4.3) LSPI 9. (14.) 3.9 (7.7) API 0.46 (0.08) 0.86 (1.18) (b) L2 error of the Bellman residual Features 100 144 OAPI 0.2 (0.3) 0.1 (1.9) ALP 9.5 (18.) 0.3 (0.4) LSPI 1.2 (1.5) 0.9 (0.1) API 0.04 (0.01) 0.08 (0.08) Table 1: Bellman residual of the ﬁnal value function. The values are averages over 5 executions, with the standard deviations shown in parentheses. them. This issue can be addressed in at least two ways. First, a small randomly-selected subset of the constraints can be used in the ABP, a common approach in ALP [9, 5]. The ALP sampling bounds can be easily extended to ABP. Second, the structure of the MDP can be used to reduce the number of constraints. Such a reduction is possible, for example, in factored MDPs with L∞ -API and ALP [10], and can be easily extended to OAPI and ABP. In the mountain-car benchmark, an underpowered car needs to climb a hill [23]. To do so, it ﬁrst needs to back up to an opposite hill to gain sufﬁcient momentum. The car receives a reward of 1 when it climbs the hill. In the experiments we used a discount factor γ = 0.99. The experiments are designed to determine whether OAPI reliably minimizes the Bellman residual in comparison with API and ALP. We use a uniformly-spaced linear spline to approximate the value function. The constraints were based on 200 uniformly sampled states with all 3 actions per state. We evaluated the methods with the number of the approximation features 100 and 144, which corresponds to the number of linear segments. The results of ABP (in particular OAPI), ALP, API with L2 minimization, and LSPI are depicted in Table 1. The results are shown for both L∞ norm and uniformly-weighted L2 norm. The runtimes of all these methods are comparable, with ALP being the fastest. Since API (LSPI) is not guaranteed to converge, we ran it for at most 20 iterations, which was an upper bound on the number of iterations of OAPI. The results demonstrate that ABP minimizes the L∞ Bellman residual much more consistently than the other methods. Note, however, that all the considered algorithms would perform signiﬁcantly better given a ﬁner approximation. 7 Conclusion and Future Work We proposed and analyzed approximate bilinear programming, a new value-function approximation method, which provably minimizes the L∞ Bellman residual. ABP returns the optimal approximate value function with respect to the Bellman residual bounds, despite the formulation with regard to transitive-feasible value functions. We also showed that there is no asymptotically simpler formulation, since ﬁnding the closest value function and solving a bilinear program are both NP-complete problems. Finally, the formulation leads to the development of OAPI, a new convergent form of API which monotonically improves the objective value function. While we only discussed approximate solutions of the ABP, a deeper study of bilinear solvers may render optimal solution methods feasible. ABPs have a small number of essential variables (that determine the value function) and a large number of constraints, which can be leveraged by the solvers [15]. The L∞ error bound provides good theoretical guarantees, but it may be too conservative in practice. A similar formulation based on L2 norm minimization may be more practical. We believe that the proposed formulation will help to deepen the understanding of value function approximation and the characteristics of existing solution methods, and potentially lead to the development of more robust and widely-applicable reinforcement learning algorithms. Acknowledgements This work was supported by the Air Force Ofﬁce of Scientiﬁc Research under Grant No. FA955008-1-0171. We also thank the anonymous reviewers for their useful comments. 8 References [1] Pieter Abbeel, Varun Ganapathi, and Andrew Y. Ng. Learning vehicular dynamics, with application to modeling helicopters. In Advances in Neural Information Processing Systems, pages 1–8, 2006. [2] Daniel Adelman. A price-directed approach to stochastic inventory/routing. Operations Research, 52:499–514, 2004. [3] Kristin P. Bennett and O. L. Mangasarian. Bilinear separation of two sets in n-space. Technical report, Computer Science Department, University of Wisconsin, 1992. [4] Dimitri P. Bertsekas and Sergey Ioffe. Temporal differences-based policy iteration and applications in neuro-dynamic programming. Technical Report LIDS-P-2349, LIDS, 1997. [5] Guiuseppe Calaﬁore and M.C. Campi. Uncertain convex programs: Randomized solutions and conﬁdence levels. Mathematical Programming, Series A, 102:25–46, 2005. [6] Alberto Carpara and Michele Monaci. Bidimensional packing by bilinear programming. Mathematical Programming Series A, 118:75–108, 2009. [7] Daniela P. de Farias. The Linear Programming Approach to Approximate Dynamic Programming: Theory and Application. PhD thesis, Stanford University, 2002. [8] Daniela P. de Farias and Ben Van Roy. The linear programming approach to approximate dynamic programming. Operations Research, 51:850–856, 2003. [9] Daniela Pucci de Farias and Benjamin Van Roy. On constraint sampling in the linear programming approach to approximate dynamic programming. Mathematics of Operations Research, 29(3):462–478, 2004. [10] Carlos Guestrin, Daphne Koller, Ronald Parr, and Shobha Venkataraman. Efﬁcient solution algorithms for factored MDPs. Journal of Artiﬁcial Intelligence Research, 19:399–468, 2003. [11] Reiner Horst and Hoang Tuy. Global optimization: Deterministic approaches. Springer, 1996. [12] Michail G. Lagoudakis and Ronald Parr. Least-squares policy iteration. Journal of Machine Learning Research, 4:1107–1149, 2003. [13] O. L. Mangasarian. The linear complementarity problem as a separable bilinear program. Journal of Global Optimization, 12:1–7, 1995. [14] Remi Munos. Error bounds for approximate policy iteration. In International Conference on Machine Learning, pages 560–567, 2003. [15] Marek Petrik and Shlomo Zilberstein. Anytime coordination using separable bilinear programs. In Conference on Artiﬁcial Intelligence, pages 750–755, 2007. [16] Marek Petrik and Shlomo Zilberstein. Average reward decentralized Markov decision processes. In International Joint Conference on Artiﬁcial Intelligence, pages 1997–2002, 2007. [17] Marek Petrik and Shlomo Zilberstein. A bilinear programming approach for multiagent planning. Journal of Artiﬁcial Intelligence Research, 35:235–274, 2009. [18] Marek Petrik and Shlomo Zilberstein. Constraint relaxation in approximate linear programs. In International Conference on Machine Learning, pages 809–816, 2009. [19] Marek Petrik and Shlomo Zilberstein. Robust value function approximation using bilinear programming. Technical Report UM-CS-2009-052, Department of Computer Science, University of Massachusetts Amherst, 2009. [20] Warren B. Powell. Approximate Dynamic Programming. Wiley-Interscience, 2007. [21] Martin L. Puterman. Markov decision processes: Discrete stochastic dynamic programming. John Wiley & Sons, Inc., 2005. [22] Kenneth O. Stanley and Risto Miikkulainen. Competitive coevolution through evolutionary complexiﬁcation. Journal of Artiﬁcial Intelligence Research, 21:63–100, 2004. [23] Richard S. Sutton and Andrew Barto. Reinforcement learning. MIT Press, 1998. [24] Istvan Szita and Andras Lorincz. Learning Tetris using the noisy cross-entropy method. Neural Computation, 18(12):2936–2941, 2006. [25] Ronald J. Williams and Leemon C. Baird. Tight performance bounds on greedy policies based on imperfect value functions. In Yale Workshop on Adaptive and Learning Systems, 1994. 9

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Abstract: We propose a novel non-parametric adaptive anomaly detection algorithm for high dimensional data based on score functions derived from nearest neighbor graphs on n-point nominal data. Anomalies are declared whenever the score of a test sample falls below α, which is supposed to be the desired false alarm level. The resulting anomaly detector is shown to be asymptotically optimal in that it is uniformly most powerful for the speciﬁed false alarm level, α, for the case when the anomaly density is a mixture of the nominal and a known density. Our algorithm is computationally efﬁcient, being linear in dimension and quadratic in data size. It does not require choosing complicated tuning parameters or function approximation classes and it can adapt to local structure such as local change in dimensionality. We demonstrate the algorithm on both artiﬁcial and real data sets in high dimensional feature spaces.

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