Robert Mattila

Robert Mattila, Cristian R. Rojas, Vikram Krishnamurthy et al.

We consider estimating the transition probability matrix of a finite-state finite-observation alphabet hidden Markov model with known observation probabilities. The main contribution is a two-step algorithm; a method of moments estimator (formulated as a convex optimization problem) followed by a single iteration of a Newton-Raphson maximum likelihood estimator. The two-fold contribution of this letter is, firstly, to theoretically show that the proposed estimator is consistent and asymptotically efficient, and secondly, to numerically show that the method is computationally less demanding than conventional methods - in particular for large data sets.

Robert Mattila, Cristian R. Rojas, Vikram Krishnamurthy et al.

This paper discusses algorithms for solving Markov decision processes (MDPs) that have monotone optimal policies. We propose a two-stage alternating convex optimization scheme that can accelerate the search for an optimal policy by exploiting the monotone property. The first stage is a linear program formulated in terms of the joint state-action probabilities. The second stage is a regularized problem formulated in terms of the conditional probabilities of actions given states. The regularization uses techniques from nearly-isotonic regression. While a variety of iterative method can be used in the first formulation of the problem, we show in numerical simulations that, in particular, the alternating method of multipliers (ADMM) can be significantly accelerated using the regularization step.

Robert Mattila, Antti Siika, Joy Roy et al.

An abdominal aortic aneurysm (AAA) is an enlargement of the abdominal aorta which, if left untreated, can progressively widen and may rupture with fatal consequences. In this paper, we determine an optimal treatment policy using Markov decision process modeling. The policy is optimal with respect to the number of quality adjusted life-years (QALYs) that are expected to be accumulated during the remaining life of a patient. The new policy takes into account factors that are ignored by the current clinical policy (e.g. the life-expectancy and the age-dependent surgical mortality). The resulting optimal policy is structurally different from the current policy. In particular, the policy suggests that young patients with small aneurysms should undergo surgery. The robustness of the policy structure is demonstrated using simulations. A gain in the number of expected QALYs is shown, which indicates a possibility of improved care for patients with AAAs.

Robert Mattila, Cristian R. Rojas, Bo Wahlberg

Hidden Markov models have successfully been applied as models of discrete time series in many fields. Often, when applied in practice, the parameters of these models have to be estimated. The currently predominating identification methods, such as maximum-likelihood estimation and especially expectation-maximization, are iterative and prone to have problems with local minima. A non-iterative method employing a spectral subspace-like approach has recently been proposed in the machine learning literature. This paper evaluates the performance of this algorithm, and compares it to the performance of the expectation-maximization algorithm, on a number of numerical examples. We find that the performance is mixed; it successfully identifies some systems with relatively few available observations, but fails completely for some systems even when a large amount of observations is available. An open question is how this discrepancy can be explained. We provide some indications that it could be related to how well-conditioned some system parameters are.

Robert Mattila, Yilin Mo, Richard M. Murray

In this paper, we consider the problem of synthesizing correct-by-construction controllers for discrete-time dynamical systems. A commonly adopted approach in the literature is to abstract the dynamical system into a Finite Transition System (FTS) and thus convert the problem into a two player game between the environment and the system on the FTS. The controller design problem can then be solved using synthesis tools for general linear temporal logic or generalized reactivity(1) specifications. In this article, we propose a new abstraction algorithm. Instead of generating a single FTS to represent the system, we generate two FTSs, which are under- and over-approximations of the original dynamical system. We further develop an iterative abstraction scheme by exploiting the concept of winning sets, i.e., the sets of states for which there exists a winning strategy for the system. Finally, the efficiency of the new abstraction algorithm is illustrated by numerical examples.