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DIMACS Theory of Computing Seminar

Taking Control by Convex Optimization

Karan Singh - Princeton University

Location:  CoRE 301
Date & time: Wednesday, 18 April 2018 at 11:00AM - 12:00PM

Abstract: Linear dynamical systems (LDSs) are a class of time-series models widely used in robotics, finance, engineering, and meteorology. In it's general form (when state transition dynamics are unknown), learning LDS is a classic non-convex problem, typically tackled with heuristics like gradient descent ("backpropagation through time") or the EM algorithm.

I will present our new "spectral filtering" approach to the identification and control of discrete-time general LDSs with multi-dimensional inputs, outputs, and a latent state. This approach yields a simple, efficient, and practical algorithm for low-regret prediction (i.e. asymptotically vanishing MSE).

 The talk will cover a series of results, which are joint work with Elad Hazan, Cyril Zhang, Sanjeev Arora, Holden Lee, and Yi Zhang.

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