This paper compares two different frameworks recently introduced in the literature for measuring risk in a multi-period setting. The first corresponds to applying a single coherent risk measure to the cumulative future costs, while the second involves applying a composition of one-step coherent risk mappings. We summarize the relative strengths of the two methods, characterize several necessary and sufficient conditions under which one of the measurements always dominates the other, and introduce a metric to quantify how close the two risk measures are.Using this notion, we address the question of how tightly a given coherent measure can be approximated by lower or upper-bounding compositional measures. We exhibit an interesting asymmetry between the two cases: the tightest possible upper-bound can be exactly characterized, and corresponds to a popular construction in the literature, while the tightest-possible lower bound is not readily available. We show that testing domination and computing the approximation factors is generally NP-hard, even when the risk measures in question are comonotonic and law-invariant. However, we characterize conditions and discuss several examples where polynomial-time algorithms are possible. One such case is the well-known Conditional Value-at-Risk measure, which is further explored in our companion paper Huang et al. [2012]. Our theoretical and algorithmic constructions exploit interesting connections between the study of risk measures and the theory of submodularity and combinatorial optimization, which may be of independent interest.
A wide range of combinatorial optimization algorithms have been developed for complex reasoning tasks. Frequently, no single algorithm outperforms all the others. This has raised interest in leveraging the performance of a collection of algorithms to improve performance. We show how to accomplish this using a Parallel Portfolio of Algorithms (PPA). A PPA is a collection of diverse algorithms for solving a single problem, all running concurrently on a single processor until a solution is produced. The performance of the portfolio may be controlled by assigning different shares of processor time to each algorithm. We present an effective method for finding a PPA in which the share of processor time allocated to each algorithm is fixed. Finding the optimal static schedule is shown to be an NP-complete problem for a general class of utility functions. We present bounds on the performance of the PPA over random instances and evaluate the performance empirically on a collection of 23 state-of-theart SAT algorithms. The results show significant performance gains over the fastest individual algorithm in the collection.
Multiagent planning and coordination problems are common and known to be computationally hard. We show that a wide range of two-agent problems can be formulated as bilinear programs. We present a successive approximation algorithm that significantly outperforms the coverage set algorithm, which is the state-of-the-art method for this class of multiagent problems. Because the algorithm is formulated for bilinear programs, it is more general and simpler to implement. The new algorithm can be terminated at any time and-unlike the coverage set algorithm-it facilitates the derivation of a useful online performance bound. It is also much more efficient, on average reducing the computation time of the optimal solution by about four orders of magnitude. Finally, we introduce an automatic dimensionality reduction method that improves the effectiveness of the algorithm, extending its applicability to new domains and providing a new way to analyze a subclass of bilinear programs
Global-scale energy flow throughout Earth's magnetosphere is catalyzed by processes that occur at Earth's magnetopause (MP). Magnetic reconnection is one process responsible for solar wind entry into and global convection within the magnetosphere, and the MP location, orientation, and motion have an impact on the dynamics. Statistical studies that focus on these and other MP phenomena and characteristics inherently require MP identification in their event search criteria, a task that can be automated using machine learning so that more man hours can be spent on research and analysis. We introduce a Long-Short Term Memory (LSTM) Recurrent Neural Network model to detect MP crossings and assist studies of energy transfer into the magnetosphere. As its first application, the LSTM has been implemented into the operational data stream of the Magnetospheric Multiscale (MMS) mission. MMS focuses on the electron diffusion region of reconnection, where electron dynamics break magnetic field lines and plasma is energized. MMS employs automated burst triggers onboard the spacecraft and a Scientist-in-the-Loop (SITL) on the ground to select intervals likely to contain diffusion regions. Only low-resolution survey data is available to the SITL, which is insufficient to resolve electron dynamics. A strategy for the SITL, then, is to select all MP crossings. Of all 219 SITL selections classified as MP crossings during the first five months of model operations, the model predicted 166 (76%) of them, and of all 360 model predictions, 257 (71%) were selected by the SITL. Most predictions that were not classified as MP crossings by the SITL were still MP-like, in that the intervals contained mixed magnetosheath and magnetospheric plasmas. The LSTM model and its predictions are public to ease the burden of arduous event searches involving the MP, including those for EDRs. For MMS, this helps free up mission operation costs by consolidating manual classification processes into automated routines.
In this paper, we introduce proximal gradient temporal difference learning, which provides a principled way of designing and analyzing true stochastic gradient temporal difference learning algorithms. We show how gradient TD (GTD) reinforcement learning methods can be formally derived, not by starting from their original objective functions, as previously attempted, but rather from a primal-dual saddle-point objective function. We also conduct a saddle-point error analysis to obtain finite-sample bounds on their performance. Previous analyses of this class of algorithms use stochastic approximation techniques to prove asymptotic convergence, and do not provide any finite-sample analysis. We also propose an accelerated algorithm, called GTD2-MP, that uses proximal "mirror maps" to yield an improved convergence rate. The results of our theoretical analysis imply that the GTD family of algorithms are comparable and may indeed be preferred over existing least squares TD methods for off-policy learning, due to their linear complexity. We provide experimental results showing the improved performance of our accelerated gradient TD methods.
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