Evangelos A. Theodorou

RO
h-index47
69papers
2,338citations
Novelty55%
AI Score60

69 Papers

MLSep 20, 2022Code
Deep Generalized Schrödinger Bridge

Guan-Horng Liu, Tianrong Chen, Oswin So et al. · mit

Mean-Field Game (MFG) serves as a crucial mathematical framework in modeling the collective behavior of individual agents interacting stochastically with a large population. In this work, we aim at solving a challenging class of MFGs in which the differentiability of these interacting preferences may not be available to the solver, and the population is urged to converge exactly to some desired distribution. These setups are, despite being well-motivated for practical purposes, complicated enough to paralyze most (deep) numerical solvers. Nevertheless, we show that Schrödinger Bridge - as an entropy-regularized optimal transport model - can be generalized to accepting mean-field structures, hence solving these MFGs. This is achieved via the application of Forward-Backward Stochastic Differential Equations theory, which, intriguingly, leads to a computational framework with a similar structure to Temporal Difference learning. As such, it opens up novel algorithmic connections to Deep Reinforcement Learning that we leverage to facilitate practical training. We show that our proposed objective function provides necessary and sufficient conditions to the mean-field problem. Our method, named Deep Generalized Schrödinger Bridge (DeepGSB), not only outperforms prior methods in solving classical population navigation MFGs, but is also capable of solving 1000-dimensional opinion depolarization, setting a new state-of-the-art numerical solver for high-dimensional MFGs. Our code will be made available at https://github.com/ghliu/DeepGSB.

35.7ROMay 30
Beyond Pure Sampling: Hybrid Optimization Mechanisms for Non-Convex Model Predictive Control

Yuichiro Aoyama, Minchan Jung, Akash Ratheesh et al.

This paper investigates the optimization mechanisms of non-convex Model Predictive Control (MPC) using the Maximum Entropy Differential Dynamic Programming (ME-DDP) framework. Navigating non-convex cost landscapes induced by nonlinear dynamics, multiple obstacles, etc. remains a fundamental challenge in robotics, where gradient-based methods frequently converge to suboptimal local minima. We demonstrate a dual-step optimization mechanism designed to overcome these traps. (1) an initial phase of using DDP to exploit the gradient of the cost landscape, followed by (2) disruption of the optimization via sampling from policies characterized by the inverse Hessian of the action-value function. We provide a rigorous analysis of this sampling mechanism of three ME-DDP variants: Unimodal Gaussian ME-DDP, Multimodal Gaussian ME-DDP, and Stein Variational DDP. Furthermore, with navigation tasks of four robotic systems under cluttered environments, we conduct extensive benchmarking of three variants of the ME-DDP, against deterministic DDP, and one of the most successful sampling-based schemes, Model Predictive Path Integral (MPPI) control with three policy parameterizations and update laws that correspond to those of ME-DDPs. The results show that in low-dimensional systems where the cost landscapes are relatively simple and local information is sufficiently representative, our framework consistently outperforms MPPIs. In high-dimensional systems, MPPI can occasionally discover aggressive maneuvers that enable it to steer the systems faster than DDP-based methods, whereas our method maintains a higher, more stable success rate. Finally, we validate the practical efficacy of the framework through hardware experiments with a quadrotor navigating a dense, non-convex obstacle field, confirming the robustness of the proposed framework for real-world deployment.

MLOct 3, 2023Code
Generalized Schrödinger Bridge Matching

Guan-Horng Liu, Yaron Lipman, Maximilian Nickel et al.

Modern distribution matching algorithms for training diffusion or flow models directly prescribe the time evolution of the marginal distributions between two boundary distributions. In this work, we consider a generalized distribution matching setup, where these marginals are only implicitly described as a solution to some task-specific objective function. The problem setup, known as the Generalized Schrödinger Bridge (GSB), appears prevalently in many scientific areas both within and without machine learning. We propose Generalized Schrödinger Bridge Matching (GSBM), a new matching algorithm inspired by recent advances, generalizing them beyond kinetic energy minimization and to account for task-specific state costs. We show that such a generalization can be cast as solving conditional stochastic optimal control, for which efficient variational approximations can be used, and further debiased with the aid of path integral theory. Compared to prior methods for solving GSB problems, our GSBM algorithm better preserves a feasible transport map between the boundary distributions throughout training, thereby enabling stable convergence and significantly improved scalability. We empirically validate our claims on an extensive suite of experimental setups, including crowd navigation, opinion depolarization, LiDAR manifolds, and image domain transfer. Our work brings new algorithmic opportunities for training diffusion models enhanced with task-specific optimality structures. Code available at https://github.com/facebookresearch/generalized-schrodinger-bridge-matching

MLOct 2, 2023Code
Mirror Diffusion Models for Constrained and Watermarked Generation

Guan-Horng Liu, Tianrong Chen, Evangelos A. Theodorou et al.

Modern successes of diffusion models in learning complex, high-dimensional data distributions are attributed, in part, to their capability to construct diffusion processes with analytic transition kernels and score functions. The tractability results in a simulation-free framework with stable regression losses, from which reversed, generative processes can be learned at scale. However, when data is confined to a constrained set as opposed to a standard Euclidean space, these desirable characteristics appear to be lost based on prior attempts. In this work, we propose Mirror Diffusion Models (MDM), a new class of diffusion models that generate data on convex constrained sets without losing any tractability. This is achieved by learning diffusion processes in a dual space constructed from a mirror map, which, crucially, is a standard Euclidean space. We derive efficient computation of mirror maps for popular constrained sets, such as simplices and $\ell_2$-balls, showing significantly improved performance of MDM over existing methods. For safety and privacy purposes, we also explore constrained sets as a new mechanism to embed invisible but quantitative information (i.e., watermarks) in generated data, for which MDM serves as a compelling approach. Our work brings new algorithmic opportunities for learning tractable diffusion on complex domains. Our code is available at https://github.com/ghliu/mdm

CVFeb 12, 2023
I$^2$SB: Image-to-Image Schrödinger Bridge

Guan-Horng Liu, Arash Vahdat, De-An Huang et al.

We propose Image-to-Image Schrödinger Bridge (I$^2$SB), a new class of conditional diffusion models that directly learn the nonlinear diffusion processes between two given distributions. These diffusion bridges are particularly useful for image restoration, as the degraded images are structurally informative priors for reconstructing the clean images. I$^2$SB belongs to a tractable class of Schrödinger bridge, the nonlinear extension to score-based models, whose marginal distributions can be computed analytically given boundary pairs. This results in a simulation-free framework for nonlinear diffusions, where the I$^2$SB training becomes scalable by adopting practical techniques used in standard diffusion models. We validate I$^2$SB in solving various image restoration tasks, including inpainting, super-resolution, deblurring, and JPEG restoration on ImageNet 256x256 and show that I$^2$SB surpasses standard conditional diffusion models with more interpretable generative processes. Moreover, I$^2$SB matches the performance of inverse methods that additionally require the knowledge of the corruption operators. Our work opens up new algorithmic opportunities for developing efficient nonlinear diffusion models on a large scale. scale. Project page and codes: https://i2sb.github.io/

58.7ROMay 16
cuNRTO: GPU-Accelerated Nonlinear Robust Trajectory Optimization

Jiawei Wang, Arshiya Taj Abdul, Evangelos A. Theodorou

Robust trajectory optimization enables autonomous systems to operate safely under uncertainty by computing control policies that satisfy the constraints for all bounded disturbances. However, these problems often lead to large Second Order Conic Programming (SOCP) constraints, which are computationally expensive. In this work, we propose the CUDA Nonlinear Robust Trajectory Optimization (cuNRTO) framework by introducing two dynamic optimization architectures that have direct application to robust decision-making and are implemented on CUDA. The first architecture, NRTO-DR, leverages the Douglas-Rachford (DR) splitting method to solve the SOCP inner subproblems of NRTO, thereby significantly reducing the computational burden through parallel SOCP projections and sparse direct solves. The second architecture, NRTO-FullADMM, is a novel variant that further exploits the problem structure to improve scalability using the Alternating Direction Method of Multipliers (ADMM). Finally, we provide GPU implementations of the proposed methodologies using custom CUDA kernels for SOC projection steps and cuBLAS GEMM chains for feedback gain updates. We validate the performance of cuNRTO through simulated experiments on unicycle, quadcopter, and Franka manipulator models, demonstrating speedups of up to 139.6$\times$. More details are available at https://cunrto.github.io.

LGSep 30, 2022
Data-driven discovery of non-Newtonian astronomy via learning non-Euclidean Hamiltonian

Oswin So, Gongjie Li, Evangelos A. Theodorou et al. · mit

Incorporating the Hamiltonian structure of physical dynamics into deep learning models provides a powerful way to improve the interpretability and prediction accuracy. While previous works are mostly limited to the Euclidean spaces, their extension to the Lie group manifold is needed when rotations form a key component of the dynamics, such as the higher-order physics beyond simple point-mass dynamics for N-body celestial interactions. Moreover, the multiscale nature of these processes presents a challenge to existing methods as a long time horizon is required. By leveraging a symplectic Lie-group manifold preserving integrator, we present a method for data-driven discovery of non-Newtonian astronomy. Preliminary results show the importance of both these properties in training stability and prediction accuracy.

MLMar 3, 2023
Deep Momentum Multi-Marginal Schrödinger Bridge

Tianrong Chen, Guan-Horng Liu, Molei Tao et al.

It is a crucial challenge to reconstruct population dynamics using unlabeled samples from distributions at coarse time intervals. Recent approaches such as flow-based models or Schrödinger Bridge (SB) models have demonstrated appealing performance, yet the inferred sample trajectories either fail to account for the underlying stochasticity or are $\underline{D}$eep $\underline{M}$omentum Multi-Marginal $\underline{S}$chrödinger $\underline{B}$ridge(DMSB), a novel computational framework that learns the smooth measure-valued spline for stochastic systems that satisfy position marginal constraints across time. By tailoring the celebrated Bregman Iteration and extending the Iteration Proportional Fitting to phase space, we manage to handle high-dimensional multi-marginal trajectory inference tasks efficiently. Our algorithm outperforms baselines significantly, as evidenced by experiments for synthetic datasets and a real-world single-cell RNA sequence dataset. Additionally, the proposed approach can reasonably reconstruct the evolution of velocity distribution, from position snapshots only, when there is a ground truth velocity that is nevertheless inaccessible.

SYFeb 1, 2016
Sample Efficient Path Integral Control under Uncertainty

Yunpeng Pan, Evangelos A. Theodorou, Michail Kontitsis

We present a data-driven optimal control framework that can be viewed as a generalization of the path integral (PI) control approach. We find iterative feedback control laws without parameterization based on probabilistic representation of learned dynamics model. The proposed algorithm operates in a forward-backward manner which differentiate from other PI-related methods that perform forward sampling to find optimal controls. Our method uses significantly less samples to find optimal controls compared to other approaches within the PI control family that relies on extensive sampling from given dynamics models or trials on physical systems in model-free fashions. In addition, the learned controllers can be generalized to new tasks without re-sampling based on the compositionality theory for the linearly-solvable optimal control framework. We provide experimental results on three different systems and comparisons with state-of-the-art model-based methods to demonstrate the efficiency and generalizability of the proposed framework.

LGOct 11, 2023
Generative Modeling with Phase Stochastic Bridges

Tianrong Chen, Jiatao Gu, Laurent Dinh et al.

Diffusion models (DMs) represent state-of-the-art generative models for continuous inputs. DMs work by constructing a Stochastic Differential Equation (SDE) in the input space (ie, position space), and using a neural network to reverse it. In this work, we introduce a novel generative modeling framework grounded in \textbf{phase space dynamics}, where a phase space is defined as {an augmented space encompassing both position and velocity.} Leveraging insights from Stochastic Optimal Control, we construct a path measure in the phase space that enables efficient sampling. {In contrast to DMs, our framework demonstrates the capability to generate realistic data points at an early stage of dynamics propagation.} This early prediction sets the stage for efficient data generation by leveraging additional velocity information along the trajectory. On standard image generation benchmarks, our model yields favorable performance over baselines in the regime of small Number of Function Evaluations (NFEs). Furthermore, our approach rivals the performance of diffusion models equipped with efficient sampling techniques, underscoring its potential as a new tool generative modeling.

AOMay 29, 2018
A mean-field game model for homogeneous flocking

Piyush Grover, Kaivalya Bakshi, Evangelos A. Theodorou

Empirically derived continuum models of collective behavior among large populations of dynamic agents are a subject of intense study in several fields, including biology, engineering and finance. We formulate and study a mean-field game model whose behavior mimics an empirically derived non-local homogeneous flocking model for agents with gradient self-propulsion dynamics. The mean-field game framework provides a non-cooperative optimal control description of the behavior of a population of agents in a distributed setting. In this description, each agent's state is driven by optimally controlled dynamics that result in a Nash equilibrium between itself and the population. The optimal control is computed by minimizing a cost that depends only on its own state, and a mean-field term. The agent distribution in phase space evolves under the optimal feedback control policy. We exploit the low-rank perturbative nature of the non-local term in the forward-backward system of equations governing the state and control distributions, and provide a linear stability analysis demonstrating that our model exhibits bifurcations similar to those found in the empirical model. The present work is a step towards developing a set of tools for systematic analysis, and eventually design, of collective behavior of non-cooperative dynamic agents via an inverse modeling approach.

LGNov 12, 2023
Augmented Bridge Matching

Valentin De Bortoli, Guan-Horng Liu, Tianrong Chen et al.

Flow and bridge matching are a novel class of processes which encompass diffusion models. One of the main aspect of their increased flexibility is that these models can interpolate between arbitrary data distributions i.e. they generalize beyond generative modeling and can be applied to learning stochastic (and deterministic) processes of arbitrary transfer tasks between two given distributions. In this paper, we highlight that while flow and bridge matching processes preserve the information of the marginal distributions, they do \emph{not} necessarily preserve the coupling information unless additional, stronger optimality conditions are met. This can be problematic if one aims at preserving the original empirical pairing. We show that a simple modification of the matching process recovers this coupling by augmenting the velocity field (or drift) with the information of the initial sample point. Doing so, we lose the Markovian property of the process but preserve the coupling information between distributions. We illustrate the efficiency of our augmentation in learning mixture of image translation tasks.

SYJul 13, 2016
Learning Optimal Control via Forward and Backward Stochastic Differential Equations

Ioannis Exarchos, Evangelos A. Theodorou

In this paper we present a novel sampling-based numerical scheme designed to solve a certain class of stochastic optimal control problems, utilizing forward and backward stochastic differential equations (FBSDEs). By means of a nonlinear version of the Feynman-Kac lemma, we obtain a probabilistic representation of the solution to the nonlinear Hamilton-Jacobi-Bellman equation, expressed in the form of a decoupled system of FBSDEs. This system of FBSDEs can then be simulated by employing linear regression techniques. To enhance the efficiency of the proposed scheme when treating more complex nonlinear systems, we then derive an iterative modification based on Girsanov's theorem on the change of measure, which features importance sampling. The modified scheme is capable of learning the optimal control without requiring an initial guess. We present simulations that validate the algorithm and demonstrate its efficiency in treating nonlinear dynamics.

SYJan 7, 2017
Differential Dynamic Programming for time-delayed systems

David D. Fan, Evangelos A. Theodorou

Trajectory optimization considers the problem of deciding how to control a dynamical system to move along a trajectory which minimizes some cost function. Differential Dynamic Programming (DDP) is an optimal control method which utilizes a second-order approximation of the problem to find the control. It is fast enough to allow real-time control and has been shown to work well for trajectory optimization in robotic systems. Here we extend classic DDP to systems with multiple time-delays in the state. Being able to find optimal trajectories for time-delayed systems with DDP opens up the possibility to use richer models for system identification and control, including recurrent neural networks with multiple timesteps in the state. We demonstrate the algorithm on a two-tank continuous stirred tank reactor. We also demonstrate the algorithm on a recurrent neural network trained to model an inverted pendulum with position information only.

MAApr 5, 2022
Deep Graphic FBSDEs for Opinion Dynamics Stochastic Control

Tianrong Chen, Ziyi Wang, Evangelos A. Theodorou

In this paper, we present a scalable deep learning approach to solve opinion dynamics stochastic optimal control problems with mean field term coupling in the dynamics and cost function. Our approach relies on the probabilistic representation of the solution of the Hamilton-Jacobi-Bellman partial differential equation. Grounded on the nonlinear version of the Feynman-Kac lemma, the solutions of the Hamilton-Jacobi-Bellman partial differential equation are linked to the solution of Forward-Backward Stochastic Differential Equations. These equations can be solved numerically using a novel deep neural network with architecture tailored to the problem in consideration. The resulting algorithm is tested on a polarized opinion consensus experiment. The large-scale (10K) agents experiment validates the scalability and generalizability of our algorithm. The proposed framework opens up the possibility for future applications on extremely large-scale problems.

56.2OCMar 19
Fundamental Limits for Sensor-Based Control via the Gibbs Variational Principle

Vincent Pacelli, Evangelos A. Theodorou

Fundamental limits on the performance of feedback controllers are essential for benchmarking algorithms, guiding sensor selection, and certifying task feasibility -- yet few general-purpose tools exist for computing them. Existing information-theoretic approaches overestimate the information a sensor must provide by evaluating it against the uncontrolled system, producing bounds that degrade precisely when feedback is most valuable. We derive a lower bound on the minimum expected cost of any causal feedback controller under partial observations by applying the Gibbs variational principle to the joint path measure over states and observations. The bound applies to nonlinear, nonholonomic, and hybrid dynamics with unbounded costs and admits a self-consistent refinement: any good controller concentrates the state, which limits the information the sensor can extract, which tightens the bound. The resulting fixed-point equation has a unique solution computable by bisection, and we provide conditions under which the free energy minimization is provably convex, yielding a certifiably correct numerical bound. On a nonlinear Dubins car tracking problem, the self-consistent bound captures most of the optimal cost across sensor noise levels, while the open-loop variant is vacuous at low noise.

65.0SYMar 16
Barrier-Riccati Synthesis for Nonlinear Safe Control with Expanded Region of Attraction

Hassan Almubarak, Maitham F. AL-Sunni, Justin T. Dubbin et al.

We present a Riccati-based framework for safety-critical nonlinear control that integrates the barrier states (BaS) methodology with the State-Dependent Riccati Equation (SDRE) approach. The BaS formulation embeds safety constraints into the system dynamics via auxiliary states, enabling safety to be treated as a control objective. To overcome the limited region of attraction in linear BaS controllers, we extend the framework to nonlinear systems using SDRE synthesis applied to the barrier-augmented dynamics and derive a matrix inequality condition that certifies forward invariance of a large region of attraction and guarantees asymptotic safe stabilization. The resulting controller is computed online via pointwise Riccati solutions. We validate the method on an unstable constrained system and cluttered quadrotor navigation tasks, demonstrating improved constraint handling, scalability, and robustness near safety boundaries. This framework offers a principled and computationally tractable solution for synthesizing nonlinear safe feedback in safety-critical environments.

OCDec 1, 2025
Deep FlexQP: Accelerated Nonlinear Programming via Deep Unfolding

Alex Oshin, Rahul Vodeb Ghosh, Augustinos D. Saravanos et al.

We propose an always-feasible quadratic programming (QP) optimizer, FlexQP, which is based on an exact relaxation of the QP constraints. If the original constraints are feasible, then the optimizer finds the optimal solution to the original QP. On the other hand, if the constraints are infeasible, the optimizer identifies a solution that minimizes the constraint violation in a sparse manner. FlexQP scales favorably with respect to the problem dimension, is robust to both feasible and infeasible QPs with minimal assumptions on the problem data, and can be effectively warm-started. We subsequently apply deep unfolding to improve our optimizer through data-driven techniques, leading to an accelerated Deep FlexQP. By learning dimension-agnostic feedback policies for the parameters from a small number of training examples, Deep FlexQP generalizes to problems with larger dimensions and can optimize for many more iterations than it was initially trained for. Our approach outperforms two recently proposed state-of-the-art accelerated QP approaches on a suite of benchmark systems including portfolio optimization, classification, and regression problems. We provide guarantees on the expected performance of our deep QP optimizer through probably approximately correct (PAC) Bayes generalization bounds. These certificates are used to design an accelerated sequential quadratic programming solver that solves nonlinear optimal control and predictive safety filter problems faster than traditional approaches. Overall, our approach is very robust and greatly outperforms existing non-learning and learning-based optimizers in terms of both runtime and convergence to the optimal solution across multiple classes of NLPs.

48.0ROMay 12
Multistep Belief Space Dynamics Learning For Risk-Aware Control

Jason Gibson, Bogdan Vlahov, Patrick Spieler et al.

As autonomous vehicles move from a simplified research setting to practical use, there exists a large gap between the dynamic behavior of a human driving and an autonomous system. Risk-aware behavior needs to naturally develop in order to scale to the demands of the real world. A major issue for risk-aware planning and control has been predicting how dynamical uncertainty evolves through time and optimizing plans that account for this without being overly conservative. Here, we present a learning framework to predict distributional dynamics that can be optimized in real time for Model Predictive Control (MPC). We explore the importance of structure when learning distributional dynamics for use in MPC. A rigorous ablation study is conducted on a large dataset of real world off-road driving that shows the impact of deviations from our proposed structure. Furthermore, we deploy our learned model and planning stack on a full sized vehicle in challenging off-road conditions. Our planning architecture is able to naturally regulate the speed of the vehicle based on the environment and consistently demonstrates intelligent behavior over miles of diverse terrain.

MLOct 21, 2021Code
Likelihood Training of Schrödinger Bridge using Forward-Backward SDEs Theory

Tianrong Chen, Guan-Horng Liu, Evangelos A. Theodorou

Schrödinger Bridge (SB) is an entropy-regularized optimal transport problem that has received increasing attention in deep generative modeling for its mathematical flexibility compared to the Scored-based Generative Model (SGM). However, it remains unclear whether the optimization principle of SB relates to the modern training of deep generative models, which often rely on constructing log-likelihood objectives.This raises questions on the suitability of SB models as a principled alternative for generative applications. In this work, we present a novel computational framework for likelihood training of SB models grounded on Forward-Backward Stochastic Differential Equations Theory - a mathematical methodology appeared in stochastic optimal control that transforms the optimality condition of SB into a set of SDEs. Crucially, these SDEs can be used to construct the likelihood objectives for SB that, surprisingly, generalizes the ones for SGM as special cases. This leads to a new optimization principle that inherits the same SB optimality yet without losing applications of modern generative training techniques, and we show that the resulting training algorithm achieves comparable results on generating realistic images on MNIST, CelebA, and CIFAR10. Our code is available at https://github.com/ghliu/SB-FBSDE.

LGSep 29, 2021Code
Second-Order Neural ODE Optimizer

Guan-Horng Liu, Tianrong Chen, Evangelos A. Theodorou

We propose a novel second-order optimization framework for training the emerging deep continuous-time models, specifically the Neural Ordinary Differential Equations (Neural ODEs). Since their training already involves expensive gradient computation by solving a backward ODE, deriving efficient second-order methods becomes highly nontrivial. Nevertheless, inspired by the recent Optimal Control (OC) interpretation of training deep networks, we show that a specific continuous-time OC methodology, called Differential Programming, can be adopted to derive backward ODEs for higher-order derivatives at the same O(1) memory cost. We further explore a low-rank representation of the second-order derivatives and show that it leads to efficient preconditioned updates with the aid of Kronecker-based factorization. The resulting method -- named SNOpt -- converges much faster than first-order baselines in wall-clock time, and the improvement remains consistent across various applications, e.g. image classification, generative flow, and time-series prediction. Our framework also enables direct architecture optimization, such as the integration time of Neural ODEs, with second-order feedback policies, strengthening the OC perspective as a principled tool of analyzing optimization in deep learning. Our code is available at https://github.com/ghliu/snopt.

58.8ROMay 4
Sampling-Based Control via Entropy-Regularized Optimal Transport

Vincent Pacelli, Akash Ratheesh, Evangelos A. Theodorou

Sampling-based model predictive control methods like MPPI and CEM are essential for real-time control of nonlinear robotic systems, particularly where discontinuous dynamics preclude gradient-based optimization. However, these methods derive from information-theoretic objectives that are agnostic to the geometry of the control problem, leading to pathological behaviors such as mode-averaging when the cost landscape is complex. We present OT-MPC, a sampling-based algorithm that overcomes these limitations through an entropy-regularized optimal transport formulation. By computing an optimal coupling between candidate control sequences and low-cost proposals, OT-MPC refines candidates toward nearby promising samples while coordinating updates across the ensemble to maintain coverage of the solution space. We derive closed-form, gradient-free updates via the Sinkhorn algorithm, enabling real-time performance. Experiments on navigation, manipulation, and locomotion tasks demonstrate improved success rates over existing methods.

OCDec 11, 2024
Deep Distributed Optimization for Large-Scale Quadratic Programming

Augustinos D. Saravanos, Hunter Kuperman, Alex Oshin et al.

Quadratic programming (QP) forms a crucial foundation in optimization, encompassing a broad spectrum of domains and serving as the basis for more advanced algorithms. Consequently, as the scale and complexity of modern applications continue to grow, the development of efficient and reliable QP algorithms is becoming increasingly vital. In this context, this paper introduces a novel deep learning-aided distributed optimization architecture designed for tackling large-scale QP problems. First, we combine the state-of-the-art Operator Splitting QP (OSQP) method with a consensus approach to derive DistributedQP, a new method tailored for network-structured problems, with convergence guarantees to optimality. Subsequently, we unfold this optimizer into a deep learning framework, leading to DeepDistributedQP, which leverages learned policies to accelerate reaching to desired accuracy within a restricted amount of iterations. Our approach is also theoretically grounded through Probably Approximately Correct (PAC)-Bayes theory, providing generalization bounds on the expected optimality gap for unseen problems. The proposed framework, as well as its centralized version DeepQP, significantly outperform their standard optimization counterparts on a variety of tasks such as randomly generated problems, optimal control, linear regression, transportation networks and others. Notably, DeepDistributedQP demonstrates strong generalization by training on small problems and scaling to solve much larger ones (up to 50K variables and 150K constraints) using the same policy. Moreover, it achieves orders-of-magnitude improvements in wall-clock time compared to OSQP. The certifiable performance guarantees of our approach are also demonstrated, ensuring higher-quality solutions over traditional optimizers.

QUANT-PHApr 9, 2024
Quantum State Generation with Structure-Preserving Diffusion Model

Yuchen Zhu, Tianrong Chen, Evangelos A. Theodorou et al.

This article considers the generative modeling of the (mixed) states of quantum systems, and an approach based on denoising diffusion model is proposed. The key contribution is an algorithmic innovation that respects the physical nature of quantum states. More precisely, the commonly used density matrix representation of mixed-state has to be complex-valued Hermitian, positive semi-definite, and trace one. Generic diffusion models, or other generative methods, may not be able to generate data that strictly satisfy these structural constraints, even if all training data do. To develop a machine learning algorithm that has physics hard-wired in, we leverage mirror diffusion and borrow the physical notion of von Neumann entropy to design a new map, for enabling strict structure-preserving generation. Both unconditional generation and conditional generation via classifier-free guidance are experimentally demonstrated efficacious, the latter enabling the design of new quantum states when generated on unseen labels.

CHEM-PHApr 20, 2024
React-OT: Optimal Transport for Generating Transition State in Chemical Reactions

Chenru Duan, Guan-Horng Liu, Yuanqi Du et al.

Transition states (TSs) are transient structures that are key in understanding reaction mechanisms and designing catalysts but challenging to be captured in experiments. Alternatively, many optimization algorithms have been developed to search for TSs computationally. Yet the cost of these algorithms driven by quantum chemistry methods (usually density functional theory) is still high, posing challenges for their applications in building large reaction networks for reaction exploration. Here we developed React-OT, an optimal transport approach for generating unique TS structures from reactants and products. React-OT generates highly accurate TS structures with a median structural root mean square deviation (RMSD) of 0.053Å and median barrier height error of 1.06 kcal/mol requiring only 0.4 second per reaction. The RMSD and barrier height error is further improved by roughly 25\% through pretraining React-OT on a large reaction dataset obtained with a lower level of theory, GFN2-xTB. We envision that the remarkable accuracy and rapid inference of React-OT will be highly useful when integrated with the current high-throughput TS search workflow. This integration will facilitate the exploration of chemical reactions with unknown mechanisms.

MLJun 11, 2025
Momentum Multi-Marginal Schrödinger Bridge Matching

Panagiotis Theodoropoulos, Augustinos D. Saravanos, Evangelos A. Theodorou et al.

Understanding complex systems by inferring trajectories from sparse sample snapshots is a fundamental challenge in a wide range of domains, e.g., single-cell biology, meteorology, and economics. Despite advancements in Bridge and Flow matching frameworks, current methodologies rely on pairwise interpolation between adjacent snapshots. This hinders their ability to capture long-range temporal dependencies and potentially affects the coherence of the inferred trajectories. To address these issues, we introduce \textbf{Momentum Multi-Marginal Schrödinger Bridge Matching (3MSBM)}, a novel matching framework that learns smooth measure-valued splines for stochastic systems that satisfy multiple positional constraints. This is achieved by lifting the dynamics to phase space and generalizing stochastic bridges to be conditioned on several points, forming a multi-marginal conditional stochastic optimal control problem. The underlying dynamics are then learned by minimizing a variational objective, having fixed the path induced by the multi-marginal conditional bridge. As a matching approach, 3MSBM learns transport maps that preserve intermediate marginals throughout training, significantly improving convergence and scalability. Extensive experimentation in a series of real-world applications validates the superior performance of 3MSBM compared to existing methods in capturing complex dynamics with temporal dependencies, opening new avenues for training matching frameworks in multi-marginal settings.

52.2SYApr 6
Distributed Covariance Steering via Non-Convex ADMM for Large-Scale Multi-Agent Systems

Augustinos D. Saravanos, Isin M. Balci, Arshiya Taj Abdul et al.

This paper studies the problem of steering large-scale multi-agent stochastic linear systems between Gaussian distributions under probabilistic collision avoidance constraints. We introduce a family of \textit{distributed covariance steering (DCS)} methods based on the Alternating Direction Method of Multipliers (ADMM), each offering different trade-offs between conservatism and computational efficiency. The first method, Full-Covariance-Consensus (FCC)-DCS, enforces consensus over both the means and covariances of neighboring agents, yielding the least conservative safe solutions. The second approach, Partial-Covariance-Consensus (PCC)-DCS, leverages the insight that safety can be maintained by exchanging only partial covariance information, reducing computational demands. The third method, Mean-Consensus (MC)-DCS, provides the most scalable alternative by requiring consensus only on mean states. Furthermore, we establish novel convergence guarantees for distributed ADMM with iteratively linearized non-convex constraints, covering a broad class of consensus optimization problems. This analysis proves convergence to stationary points for PCC-DCS and MC-DCS, while the convergence of FCC-DCS follows from standard ADMM theory. Simulations in 2D and 3D multi-agent environments verify safety, illustrate the trade-offs between methods, and demonstrate scalability to thousands of agents.

MLOct 17, 2024
Feedback Schrödinger Bridge Matching

Panagiotis Theodoropoulos, Nikolaos Komianos, Vincent Pacelli et al.

Recent advancements in diffusion bridges for distribution transport problems have heavily relied on matching frameworks, yet existing methods often face a trade-off between scalability and access to optimal pairings during training. Fully unsupervised methods make minimal assumptions but incur high computational costs, limiting their practicality. On the other hand, imposing full supervision of the matching process with optimal pairings improves scalability, however, it can be infeasible in many applications. To strike a balance between scalability and minimal supervision, we introduce Feedback Schrödinger Bridge Matching (FSBM), a novel semi-supervised matching framework that incorporates a small portion (less than 8% of the entire dataset) of pre-aligned pairs as state feedback to guide the transport map of non coupled samples, thereby significantly improving efficiency. This is achieved by formulating a static Entropic Optimal Transport (EOT) problem with an additional term capturing the semi-supervised guidance. The generalized EOT objective is then recast into a dynamic formulation to leverage the scalability of matching frameworks. Extensive experiments demonstrate that FSBM accelerates training and enhances generalization by leveraging coupled pairs guidance, opening new avenues for training matching frameworks with partially aligned datasets.

LGOct 15, 2025
Optimal Control Theoretic Neural Optimizer: From Backpropagation to Dynamic Programming

Guan-Horng Liu, Tianrong Chen, Evangelos A. Theodorou

Optimization of deep neural networks (DNNs) has been a driving force in the advancement of modern machine learning and artificial intelligence. With DNNs characterized by a prolonged sequence of nonlinear propagation, determining their optimal parameters given an objective naturally fits within the framework of Optimal Control Programming. Such an interpretation of DNNs as dynamical systems has proven crucial in offering a theoretical foundation for principled analysis from numerical equations to physics. In parallel to these theoretical pursuits, this paper focuses on an algorithmic perspective. Our motivated observation is the striking algorithmic resemblance between the Backpropagation algorithm for computing gradients in DNNs and the optimality conditions for dynamical systems, expressed through another backward process known as dynamic programming. Consolidating this connection, where Backpropagation admits a variational structure, solving an approximate dynamic programming up to the first-order expansion leads to a new class of optimization methods exploring higher-order expansions of the Bellman equation. The resulting optimizer, termed Optimal Control Theoretic Neural Optimizer (OCNOpt), enables rich algorithmic opportunities, including layer-wise feedback policies, game-theoretic applications, and higher-order training of continuous-time models such as Neural ODEs. Extensive experiments demonstrate that OCNOpt improves upon existing methods in robustness and efficiency while maintaining manageable computational complexity, paving new avenues for principled algorithmic design grounded in dynamical systems and optimal control theory.

MLDec 28, 2024
Deep Generalized Schrödinger Bridges: From Image Generation to Solving Mean-Field Games

Guan-Horng Liu, Tianrong Chen, Evangelos A. Theodorou

Generalized Schrödinger Bridges (GSBs) are a fundamental mathematical framework used to analyze the most likely particle evolution based on the principle of least action including kinetic and potential energy. In parallel to their well-established presence in the theoretical realms of quantum mechanics and optimal transport, this paper focuses on an algorithmic perspective, aiming to enhance practical usage. Our motivated observation is that transportation problems with the optimality structures delineated by GSBs are pervasive across various scientific domains, such as generative modeling in machine learning, mean-field games in stochastic control, and more. Exploring the intrinsic connection between the mathematical modeling of GSBs and the modern algorithmic characterization therefore presents a crucial, yet untapped, avenue. In this paper, we reinterpret GSBs as probabilistic models and demonstrate that, with a delicate mathematical tool known as the nonlinear Feynman-Kac lemma, rich algorithmic concepts, such as likelihoods, variational gaps, and temporal differences, emerge naturally from the optimality structures of GSBs. The resulting computational framework, driven by deep learning and neural networks, operates in a fully continuous state space (i.e., mesh-free) and satisfies distribution constraints, setting it apart from prior numerical solvers relying on spatial discretization or constraint relaxation. We demonstrate the efficacy of our method in generative modeling and mean-field games, highlighting its transformative applications at the intersection of mathematical modeling, stochastic process, control, and machine learning.

MAFeb 22, 2022
Decentralized Safe Multi-agent Stochastic Optimal Control using Deep FBSDEs and ADMM

Marcus A. Pereira, Augustinos D. Saravanos, Oswin So et al.

In this work, we propose a novel safe and scalable decentralized solution for multi-agent control in the presence of stochastic disturbances. Safety is mathematically encoded using stochastic control barrier functions and safe controls are computed by solving quadratic programs. Decentralization is achieved by augmenting to each agent's optimization variables, copy variables, for its neighbors. This allows us to decouple the centralized multi-agent optimization problem. However, to ensure safety, neighboring agents must agree on "what is safe for both of us" and this creates a need for consensus. To enable safe consensus solutions, we incorporate an ADMM-based approach. Specifically, we propose a Merged CADMM-OSQP implicit neural network layer, that solves a mini-batch of both, local quadratic programs as well as the overall consensus problem, as a single optimization problem. This layer is embedded within a Deep FBSDEs network architecture at every time step, to facilitate end-to-end differentiable, safe and decentralized stochastic optimal control. The efficacy of the proposed approach is demonstrated on several challenging multi-robot tasks in simulation. By imposing requirements on safety specified by collision avoidance constraints, the safe operation of all agents is ensured during the entire training process. We also demonstrate superior scalability in terms of computational and memory savings as compared to a centralized approach.

OCJan 30, 2022
Multimodal Maximum Entropy Dynamic Games

Oswin So, Kyle Stachowicz, Evangelos A. Theodorou

Environments with multi-agent interactions often result a rich set of modalities of behavior between agents due to the inherent suboptimality of decision making processes when agents settle for satisfactory decisions. However, existing algorithms for solving these dynamic games are strictly unimodal and fail to capture the intricate multimodal behaviors of the agents. In this paper, we propose MMELQGames (Multimodal Maximum-Entropy Linear Quadratic Games), a novel constrained multimodal maximum entropy formulation of the Differential Dynamic Programming algorithm for solving generalized Nash equilibria. By formulating the problem as a certain dynamic game with incomplete and asymmetric information where agents are uncertain about the cost and dynamics of the game itself, the proposed method is able to reason about multiple local generalized Nash equilibria, enforce constraints with the Augmented Lagrangian framework and also perform Bayesian inference on the latent mode from past observations. We assess the efficacy of the proposed algorithm on two illustrative examples: multi-agent collision avoidance and autonomous racing. In particular, we show that only MMELQGames is able to effectively block a rear vehicle when given a speed disadvantage and the rear vehicle can overtake from multiple positions.

ROJan 17, 2022
Spatiotemporal Costmap Inference for MPC via Deep Inverse Reinforcement Learning

Keuntaek Lee, David Isele, Evangelos A. Theodorou et al.

It can be difficult to autonomously produce driver behavior so that it appears natural to other traffic participants. Through Inverse Reinforcement Learning (IRL), we can automate this process by learning the underlying reward function from human demonstrations. We propose a new IRL algorithm that learns a goal-conditioned spatiotemporal reward function. The resulting costmap is used by Model Predictive Controllers (MPCs) to perform a task without any hand-designing or hand-tuning of the cost function. We evaluate our proposed Goal-conditioned SpatioTemporal Zeroing Maximum Entropy Deep IRL (GSTZ)-MEDIRL framework together with MPC in the CARLA simulator for autonomous driving, lane keeping, and lane changing tasks in a challenging dense traffic highway scenario. Our proposed methods show higher success rates compared to other baseline methods including behavior cloning, state-of-the-art RL policies, and MPC with a learning-based behavior prediction model.

RONov 17, 2021
Optimal-Horizon Model-Predictive Control with Differential Dynamic Programming

Kyle Stachowicz, Evangelos A. Theodorou

We present an algorithm, based on the Differential Dynamic Programming framework, to handle trajectory optimization problems in which the horizon is determined online rather than fixed a priori. This algorithm exhibits exact one-step convergence for linear, quadratic, time-invariant problems and is fast enough for real-time nonlinear model-predictive control. We show derivations for the nonlinear algorithm in the discrete-time case, and apply this algorithm to a variety of nonlinear problems. Finally, we show the efficacy of the optimal-horizon model-predictive control scheme compared to a standard MPC controller, on an obstacle-avoidance problem with planar robots.

OCOct 13, 2021
Maximum Entropy Differential Dynamic Programming

Oswin So, Ziyi Wang, Evangelos A. Theodorou

In this paper, we present a novel maximum entropy formulation of the Differential Dynamic Programming algorithm and derive two variants using unimodal and multimodal value functions parameterizations. By combining the maximum entropy Bellman equations with a particular approximation of the cost function, we are able to obtain a new formulation of Differential Dynamic Programming which is able to escape from local minima via exploration with a multimodal policy. To demonstrate the efficacy of the proposed algorithm, we provide experimental results using four systems on tasks that are represented by cost functions with multiple local minima and compare them against vanilla Differential Dynamic Programming. Furthermore, we discuss connections with previous work on the linearly solvable stochastic control framework and its extensions in relation to compositionality.

SYSep 1, 2021
Deep $\mathcal{L}^1$ Stochastic Optimal Control Policies for Planetary Soft-landing

Marcus A. Pereira, Camilo A. Duarte, Ioannis Exarchos et al.

In this paper, we introduce a novel deep learning based solution to the Powered-Descent Guidance (PDG) problem, grounded in principles of nonlinear Stochastic Optimal Control (SOC) and Feynman-Kac theory. Our algorithm solves the PDG problem by framing it as an $\mathcal{L}^1$ SOC problem for minimum fuel consumption. Additionally, it can handle practically useful control constraints, nonlinear dynamics and enforces state constraints as soft-constraints. This is achieved by building off of recent work on deep Forward-Backward Stochastic Differential Equations (FBSDEs) and differentiable non-convex optimization neural-network layers based on stochastic search. In contrast to previous approaches, our algorithm does not require convexification of the constraints or linearization of the dynamics and is empirically shown to be robust to stochastic disturbances and the initial position of the spacecraft. After training offline, our controller can be activated once the spacecraft is within a pre-specified radius of the landing zone and at a pre-specified altitude i.e., the base of an inverted cone with the tip at the landing zone. We demonstrate empirically that our controller can successfully and safely land all trajectories initialized at the base of this cone while minimizing fuel consumption.

ROJul 25, 2021
Learning Risk-aware Costmaps for Traversability in Challenging Environments

David D. Fan, Sharmita Dey, Ali-akbar Agha-mohammadi et al.

One of the main challenges in autonomous robotic exploration and navigation in unknown and unstructured environments is determining where the robot can or cannot safely move. A significant source of difficulty in this determination arises from stochasticity and uncertainty, coming from localization error, sensor sparsity and noise, difficult-to-model robot-ground interactions, and disturbances to the motion of the vehicle. Classical approaches to this problem rely on geometric analysis of the surrounding terrain, which can be prone to modeling errors and can be computationally expensive. Moreover, modeling the distribution of uncertain traversability costs is a difficult task, compounded by the various error sources mentioned above. In this work, we take a principled learning approach to this problem. We introduce a neural network architecture for robustly learning the distribution of traversability costs. Because we are motivated by preserving the life of the robot, we tackle this learning problem from the perspective of learning tail-risks, i.e. the Conditional Value-at-Risk (CVaR). We show that this approach reliably learns the expected tail risk given a desired probability risk threshold between 0 and 1, producing a traversability costmap which is more robust to outliers, more accurately captures tail risks, and is more computationally efficient, when compared against baselines. We validate our method on data collected a legged robot navigating challenging, unstructured environments including an abandoned subway, limestone caves, and lava tube caves.

ROMay 30, 2021
Safety Embedded Differential Dynamic Programming Using Discrete Barrier States

Hassan Almubarak, Kyle Stachowicz, Nader Sadegh et al.

Certified safe control is a growing challenge in robotics, especially when performance and safety objectives must be concurrently achieved. In this work, we extend the barrier state (BaS) concept, recently proposed for safe stabilization of continuous time systems, to safety embedded trajectory optimization for discrete time systems using discrete barrier states (DBaS). The constructed DBaS is embedded into the discrete model of the safety-critical system integrating safety objectives into the system's dynamics and performance objectives. Thereby, the control policy is directly supplied by safety-critical information through the barrier state. This allows us to employ the DBaS with differential dynamic programming (DDP) to plan and execute safe optimal trajectories. The proposed algorithm is leveraged on various safety-critical control and planning problems including a differential wheeled robot safe navigation in randomized and complex environments and on a quadrotor to safely perform reaching and tracking tasks. The DBaS-based DDP (DBaS-DDP) is shown to consistently outperform penalty methods commonly used to approximate constrained DDP problems as well as CBF-based safety filters.

LGMay 8, 2021
Dynamic Game Theoretic Neural Optimizer

Guan-Horng Liu, Tianrong Chen, Evangelos A. Theodorou

The connection between training deep neural networks (DNNs) and optimal control theory (OCT) has attracted considerable attention as a principled tool of algorithmic design. Despite few attempts being made, they have been limited to architectures where the layer propagation resembles a Markovian dynamical system. This casts doubts on their flexibility to modern networks that heavily rely on non-Markovian dependencies between layers (e.g. skip connections in residual networks). In this work, we propose a novel dynamic game perspective by viewing each layer as a player in a dynamic game characterized by the DNN itself. Through this lens, different classes of optimizers can be seen as matching different types of Nash equilibria, depending on the implicit information structure of each (p)layer. The resulting method, called Dynamic Game Theoretic Neural Optimizer (DGNOpt), not only generalizes OCT-inspired optimizers to richer network class; it also motivates a new training principle by solving a multi-player cooperative game. DGNOpt shows convergence improvements over existing methods on image classification datasets with residual and inception networks. Our work marries strengths from both OCT and game theory, paving ways to new algorithmic opportunities from robust optimal control and bandit-based optimization.

LGApr 1, 2021
Variational Inference MPC using Tsallis Divergence

Ziyi Wang, Oswin So, Jason Gibson et al.

In this paper, we provide a generalized framework for Variational Inference-Stochastic Optimal Control by using thenon-extensive Tsallis divergence. By incorporating the deformed exponential function into the optimality likelihood function, a novel Tsallis Variational Inference-Model Predictive Control algorithm is derived, which includes prior works such as Variational Inference-Model Predictive Control, Model Predictive PathIntegral Control, Cross Entropy Method, and Stein VariationalInference Model Predictive Control as special cases. The proposed algorithm allows for effective control of the cost/reward transform and is characterized by superior performance in terms of mean and variance reduction of the associated cost. The aforementioned features are supported by a theoretical and numerical analysis on the level of risk sensitivity of the proposed algorithm as well as simulation experiments on 5 different robotic systems with 3 different policy parameterizations.

ROFeb 18, 2021
Stochastic Spatio-Temporal Optimization for Control and Co-Design of Systems in Robotics and Applied Physics

Ethan N. Evans, Andrew P. Kendall, Evangelos A. Theodorou

Correlated with the trend of increasing degrees of freedom in robotic systems is a similar trend of rising interest in Spatio-Temporal systems described by Partial Differential Equations (PDEs) among the robotics and control communities. These systems often exhibit dramatic under-actuation, high dimensionality, bifurcations, and multimodal instabilities. Their control represents many of the current-day challenges facing the robotics and automation communities. Not only are these systems challenging to control, but the design of their actuation is an NP-hard problem on its own. Recent methods either discretize the space before optimization, or apply tools from linear systems theory under restrictive linearity assumptions in order to arrive at a control solution. This manuscript provides a novel sampling-based stochastic optimization framework based entirely in Hilbert spaces suitable for the general class of \textit{semi-linear} SPDEs which describes many systems in robotics and applied physics. This framework is utilized for simultaneous policy optimization and actuator co-design optimization. The resulting algorithm is based on variational optimization, and performs joint episodic optimization of the feedback control law and the actuation design over episodes. We study first and second order systems, and in doing so, extend several results to the case of second order SPDEs. Finally, we demonstrate the efficacy of the proposed approach with several simulated experiments on a variety of SPDEs in robotics and applied physics including an infinite degree-of-freedom soft robotic manipulator.

LGFeb 18, 2021
Distributed Algorithms for Linearly-Solvable Optimal Control in Networked Multi-Agent Systems

Neng Wan, Aditya Gahlawat, Naira Hovakimyan et al.

Distributed algorithms for both discrete-time and continuous-time linearly solvable optimal control (LSOC) problems of networked multi-agent systems (MASs) are investigated in this paper. A distributed framework is proposed to partition the optimal control problem of a networked MAS into several local optimal control problems in factorial subsystems, such that each (central) agent behaves optimally to minimize the joint cost function of a subsystem that comprises a central agent and its neighboring agents, and the local control actions (policies) only rely on the knowledge of local observations. Under this framework, we not only preserve the correlations between neighboring agents, but moderate the communication and computational complexities by decentralizing the sampling and computational processes over the network. For discrete-time systems modeled by Markov decision processes, the joint Bellman equation of each subsystem is transformed into a system of linear equations and solved using parallel programming. For continuous-time systems modeled by Itô diffusion processes, the joint optimality equation of each subsystem is converted into a linear partial differential equation, whose solution is approximated by a path integral formulation and a sample-efficient relative entropy policy search algorithm, respectively. The learned control policies are generalized to solve the unlearned tasks by resorting to the compositionality principle, and illustrative examples of cooperative UAV teams are provided to verify the effectiveness and advantages of these algorithms.

AINov 21, 2020
Large-Scale Multi-Agent Deep FBSDEs

Tianrong Chen, Ziyi Wang, Ioannis Exarchos et al.

In this paper we present a scalable deep learning framework for finding Markovian Nash Equilibria in multi-agent stochastic games using fictitious play. The motivation is inspired by theoretical analysis of Forward Backward Stochastic Differential Equations (FBSDE) and their implementation in a deep learning setting, which is the source of our algorithm's sample efficiency improvement. By taking advantage of the permutation-invariant property of agents in symmetric games, the scalability and performance is further enhanced significantly. We showcase superior performance of our framework over the state-of-the-art deep fictitious play algorithm on an inter-bank lending/borrowing problem in terms of multiple metrics. More importantly, our approach scales up to 3000 agents in simulation, a scale which, to the best of our knowledge, represents a new state-of-the-art. We also demonstrate the applicability of our framework in robotics on a belief space autonomous racing problem.

SYSep 30, 2020
Cooperative Path Integral Control for Stochastic Multi-Agent Systems

Neng Wan, Aditya Gahlawat, Naira Hovakimyan et al.

A distributed stochastic optimal control solution is presented for cooperative multi-agent systems. The network of agents is partitioned into multiple factorial subsystems, each of which consists of a central agent and neighboring agents. Local control actions that rely only on agents' local observations are designed to optimize the joint cost functions of subsystems. When solving for the local control actions, the joint optimality equation for each subsystem is cast as a linear partial differential equation and solved using the Feynman-Kac formula. The solution and the optimal control action are then formulated as path integrals and approximated by a Monte-Carlo method. Numerical verification is provided through a simulation example consisting of a team of cooperative UAVs.

SYSep 28, 2020
Compositionality of Linearly Solvable Optimal Control in Networked Multi-Agent Systems

Lin Song, Neng Wan, Aditya Gahlawat et al.

In this paper, we discuss the methodology of generalizing the optimal control law from learned component tasks to unlearned composite tasks on Multi-Agent Systems (MASs), by using the linearity composition principle of linearly solvable optimal control (LSOC) problems. The proposed approach achieves both the compositionality and optimality of control actions simultaneously within the cooperative MAS framework in both discrete- and continuous-time in a sample-efficient manner, which reduces the burden of re-computation of the optimal control solutions for the new task on the MASs. We investigate the application of the proposed approach on the MAS with coordination between agents. The experiments show feasible results in investigated scenarios, including both discrete and continuous dynamical systems for task generalization without resampling.

SYSep 2, 2020
Safe Optimal Control Using Stochastic Barrier Functions and Deep Forward-Backward SDEs

Marcus Aloysius Pereira, Ziyi Wang, Ioannis Exarchos et al.

This paper introduces a new formulation for stochastic optimal control and stochastic dynamic optimization that ensures safety with respect to state and control constraints. The proposed methodology brings together concepts such as Forward-Backward Stochastic Differential Equations, Stochastic Barrier Functions, Differentiable Convex Optimization and Deep Learning. Using the aforementioned concepts, a Neural Network architecture is designed for safe trajectory optimization in which learning can be performed in an end-to-end fashion. Simulations are performed on three systems to show the efficacy of the proposed methodology.

OCSep 2, 2020
Adaptive Risk Sensitive Model Predictive Control with Stochastic Search

Ziyi Wang, Oswin So, Keuntaek Lee et al.

We present a general framework for optimizing the Conditional Value-at-Risk for dynamical systems using stochastic search. The framework is capable of handling the uncertainty from the initial condition, stochastic dynamics, and uncertain parameters in the model. The algorithm is compared against a risk-sensitive distributional reinforcement learning framework and demonstrates outperformance on a pendulum and cartpole with stochastic dynamics. We also showcase the applicability of the framework to robotics as an adaptive risk-sensitive controller by optimizing with respect to the fully nonlinear belief provided by a particle filter on a pendulum, cartpole, and quadcopter in simulation.

LGJul 17, 2020
A Differential Game Theoretic Neural Optimizer for Training Residual Networks

Guan-Horng Liu, Tianrong Chen, Evangelos A. Theodorou

Connections between Deep Neural Networks (DNNs) training and optimal control theory has attracted considerable attention as a principled tool of algorithmic design. Differential Dynamic Programming (DDP) neural optimizer is a recently proposed method along this line. Despite its empirical success, the applicability has been limited to feedforward networks and whether such a trajectory-optimization inspired framework can be extended to modern architectures remains unclear. In this work, we derive a generalized DDP optimizer that accepts both residual connections and convolution layers. The resulting optimal control representation admits a game theoretic perspective, in which training residual networks can be interpreted as cooperative trajectory optimization on state-augmented dynamical systems. This Game Theoretic DDP (GT-DDP) optimizer enjoys the same theoretic connection in previous work, yet generates a much complex update rule that better leverages available information during network propagation. Evaluation on image classification datasets (e.g. MNIST and CIFAR100) shows an improvement in training convergence and variance reduction over existing methods. Our approach highlights the benefit gained from architecture-aware optimization.

LGJun 22, 2020
NOVAS: Non-convex Optimization via Adaptive Stochastic Search for End-to-End Learning and Control

Ioannis Exarchos, Marcus A. Pereira, Ziyi Wang et al.

In this work we propose the use of adaptive stochastic search as a building block for general, non-convex optimization operations within deep neural network architectures. Specifically, for an objective function located at some layer in the network and parameterized by some network parameters, we employ adaptive stochastic search to perform optimization over its output. This operation is differentiable and does not obstruct the passing of gradients during backpropagation, thus enabling us to incorporate it as a component in end-to-end learning. We study the proposed optimization module's properties and benchmark it against two existing alternatives on a synthetic energy-based structured prediction task, and further showcase its use in stochastic optimal control applications.

ROApr 17, 2020
Approximate Inverse Reinforcement Learning from Vision-based Imitation Learning

Keuntaek Lee, Bogdan Vlahov, Jason Gibson et al.

In this work, we present a method for obtaining an implicit objective function for vision-based navigation. The proposed methodology relies on Imitation Learning, Model Predictive Control (MPC), and an interpretation technique used in Deep Neural Networks. We use Imitation Learning as a means to do Inverse Reinforcement Learning in order to create an approximate cost function generator for a visual navigation challenge. The resulting cost function, the costmap, is used in conjunction with MPC for real-time control and outperforms other state-of-the-art costmap generators in novel environments. The proposed process allows for simple training and robustness to out-of-sample data. We apply our method to the task of vision-based autonomous driving in multiple real and simulated environments and show its generalizability.