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Risk-Sensitive and Robust Decision-Making: a CVaR Optimization Approach

Neural Information Processing Systems

In this paper we address the problem of decision making within a Markov decision process (MDP) framework where risk and modeling errors are taken into account. Our approach is to minimize a risk-sensitive conditional-value-at-risk (CVaR) objective, as opposed to a standard risk-neutral expectation. We refer to such problem as CVaR MDP. Our first contribution is to show that a CVaR objective, besides capturing risk sensitivity, has an alternative interpretation as expected cost under worst-case modeling errors, for a given error budget. This result, which is of independent interest, motivates CVaR MDPs as a unifying framework for risk-sensitive and robust decision making.


Guaranteed Reach-Avoid for Black-Box Systems through Narrow Gaps via Neural Network Reachability

arXiv.org Artificial Intelligence

In the classical reach-avoid problem, autonomous mobile robots are tasked to reach a goal while avoiding obstacles. However, it is difficult to provide guarantees on the robot's performance when the obstacles form a narrow gap and the robot is a black-box (i.e. the dynamics are not known analytically, but interacting with the system is cheap). To address this challenge, this paper presents NeuralPARC. The method extends the authors' prior Piecewise Affine Reach-avoid Computation (PARC) method to systems modeled by rectified linear unit (ReLU) neural networks, which are trained to represent parameterized trajectory data demonstrated by the robot. NeuralPARC computes the reachable set of the network while accounting for modeling error, and returns a set of states and parameters with which the black-box system is guaranteed to reach the goal and avoid obstacles. Through numerical experiments, NeuralPARC is shown to outperform PARC in generating provably-safe extreme vehicle drift parking maneuvers, as well as enabling safety on an autonomous surface vehicle (ASV) subjected to large disturbances and controlled by a deep reinforcement learning (RL) policy.


Benchmarks for Reinforcement Learning with Biased Offline Data and Imperfect Simulators

arXiv.org Artificial Intelligence

In many reinforcement learning (RL) applications one cannot easily let the agent act in the world; this is true for autonomous vehicles, healthcare applications, and even some recommender systems, to name a few examples. Offline RL provides a way to train agents without real-world exploration, but is often faced with biases due to data distribution shifts, limited coverage, and incomplete representation of the environment. To address these issues, practical applications have tried to combine simulators with grounded offline data, using so-called hybrid methods. However, constructing a reliable simulator is in itself often challenging due to intricate system complexities as well as missing or incomplete information. In this work, we outline four principal challenges for combining offline data with imperfect simulators in RL: simulator modeling error, partial observability, state and action discrepancies, and hidden confounding. To help drive the RL community to pursue these problems, we construct ``Benchmarks for Mechanistic Offline Reinforcement Learning'' (B4MRL), which provide dataset-simulator benchmarks for the aforementioned challenges. Our results suggest the key necessity of such benchmarks for future research.


Stochastic Online Optimization for Cyber-Physical and Robotic Systems

arXiv.org Artificial Intelligence

We propose a novel gradient-based online optimization framework for solving stochastic programming problems that frequently arise in the context of cyber-physical and robotic systems. Our problem formulation accommodates constraints that model the evolution of a cyber-physical system, which has, in general, a continuous state and action space, is nonlinear, and where the state is only partially observed. We also incorporate an approximate model of the dynamics as prior knowledge into the learning process and show that even rough estimates of the dynamics can significantly improve the convergence of our algorithms. Our online optimization framework encompasses both gradient descent and quasi-Newton methods, and we provide a unified convergence analysis of our algorithms in a non-convex setting. We also characterize the impact of modeling errors in the system dynamics on the convergence rate of the algorithms. Finally, we evaluate our algorithms in simulations of a flexible beam, a four-legged walking robot, and in real-world experiments with a ping-pong playing robot.


Risk-Sensitive and Robust Decision-Making: a CVaR Optimization Approach

Neural Information Processing Systems

In this paper we address the problem of decision making within a Markov decision process (MDP) framework where risk and modeling errors are taken into account. Our approach is to minimize a risk-sensitive conditional-value-at-risk (CVaR) objective, as opposed to a standard risk-neutral expectation. We refer to such problem as CVaR MDP. Our first contribution is to show that a CVaR objective, besides capturing risk sensitivity, has an alternative interpretation as expected cost under worst-case modeling errors, for a given error budget. This result, which is of independent interest, motivates CVaR MDPs as a unifying framework for risk-sensitive and robust decision making. Our second contribution is to present an approximate value-iteration algorithm for CVaR MDPs and analyze its convergence rate. To our knowledge, this is the first solution algorithm for CVaR MDPs that enjoys error guarantees. Finally, we present results from numerical experiments that corroborate our theoretical findings and show the practicality of our approach.


End-to-end Reinforcement Learning for Time-Optimal Quadcopter Flight

arXiv.org Artificial Intelligence

Aggressive time-optimal control of quadcopters poses a significant challenge in the field of robotics. The state-of-the-art approach leverages reinforcement learning (RL) to train optimal neural policies. However, a critical hurdle is the sim-to-real gap, often addressed by employing a robust inner loop controller -an abstraction that, in theory, constrains the optimality of the trained controller, necessitating margins to counter potential disturbances. In contrast, our novel approach introduces high-speed quadcopter control using end-to-end RL (E2E) that gives direct motor commands. To bridge the reality gap, we incorporate a learned residual model and an adaptive method that can compensate for modeling errors in thrust and moments. We compare our E2E approach against a state-of-the-art network that commands thrust and body rates to an INDI inner loop controller, both in simulated and real-world flight. E2E showcases a significant 1.39-second advantage in simulation and a 0.17-second edge in real-world testing, highlighting end-to-end reinforcement learning's potential. The performance drop observed from simulation to reality shows potential for further improvement, including refining strategies to address the reality gap or exploring offline reinforcement learning with real flight data.


Critical Sampling for Robust Evolution Operator Learning of Unknown Dynamical Systems

arXiv.org Artificial Intelligence

Given an unknown dynamical system, what is the minimum number of samples needed for effective learning of its governing laws and accurate prediction of its future evolution behavior, and how to select these critical samples? In this work, we propose to explore this problem based on a design approach. Starting from a small initial set of samples, we adaptively discover critical samples to achieve increasingly accurate learning of the system evolution. One central challenge here is that we do not know the network modeling error since the ground-truth system state is unknown, which is however needed for critical sampling. To address this challenge, we introduce a multi-step reciprocal prediction network where forward and backward evolution networks are designed to learn the temporal evolution behavior in the forward and backward time directions, respectively. Very interestingly, we find that the desired network modeling error is highly correlated with the multi-step reciprocal prediction error, which can be directly computed from the current system state. This allows us to perform a dynamic selection of critical samples from regions with high network modeling errors for dynamical systems. Additionally, a joint spatial-temporal evolution network is introduced which incorporates spatial dynamics modeling into the temporal evolution prediction for robust learning of the system evolution operator with few samples. Our extensive experimental results demonstrate that our proposed method is able to dramatically reduce the number of samples needed for effective learning and accurate prediction of evolution behaviors of unknown dynamical systems by up to hundreds of times.


Bayesian tomography using polynomial chaos expansion and deep generative networks

arXiv.org Artificial Intelligence

Implementations of Markov chain Monte Carlo (MCMC) methods need to confront two fundamental challenges: accurate representation of prior information and efficient evaluation of likelihoods. Principal component analysis (PCA) and related techniques can in some cases facilitate the definition and sampling of the prior distribution, as well as the training of accurate surrogate models, using for instance, polynomial chaos expansion (PCE). However, complex geological priors with sharp contrasts necessitate more complex dimensionality-reduction techniques, such as, deep generative models (DGMs). By sampling a low-dimensional prior probability distribution defined in the low-dimensional latent space of such a model, it becomes possible to efficiently sample the physical domain at the price of a generator that is typically highly non-linear. Training a surrogate that is capable of capturing intricate non-linear relationships between latent parameters and outputs of forward modeling presents a notable challenge. Indeed, while PCE models provide high accuracy when the input-output relationship can be effectively approximated by relatively low-degree multivariate polynomials, this condition is typically not met when employing latent variables derived from DGMs. In this contribution, we present a strategy combining the excellent reconstruction performances of a variational autoencoder (VAE) with the accuracy of PCA-PCE surrogate modeling in the context of Bayesian ground penetrating radar (GPR) traveltime tomography. Within the MCMC process, the parametrization of the VAE is leveraged for prior exploration and sample proposals. Concurrently, surrogate modeling is conducted using PCE, which operates on either globally or locally defined principal components of the VAE samples under examination.