16-745: Dynamic Optimization
Spring 2012
Instructor: Chris Atkeson, cga at cmu
TA: Ben Xinjilefu, xxinjile at andrew
MW 3-4:20 NSH 3002

Events of Interest

• Thursday March 1, 1pm, GHC 6115 Karaman Talk

Course Description

• Jan 18: Introduction to the course.
  
• Jan 23: Function Optimization Example
  Robotics: redundant inverse kinematics. Using Matlab's fminsearch and fminunc. Using Matlab's fminsearch and fminunc, with desired posture. Using Matlab's fmincon. Relationship of Jacobian approach to gradient descent.
• Jan 25: Function optimization using first and second order gradient methods.
  A nice chapter on function optimization techniques: Numerical Recipes in C, chapter 10 (2nd or 3rd edition, 2nd edition is electronically available for free under Obsolete Versions): Minimization or Maximization of Functions, This material from any other numerical methods book is also fine.
  Resources: Matlab fminunc, Numerical Recipes, GSL, AMPL, NEOS, software list 1, Useful software guide,
  gradient method, line search, conjugate gradient, conjugate gradient v2, quasi-Newton/variable metric methods, and Newton's method.
• Jan 25: Non-gradient ("derivative-free") optimization methods:
  hill climbing (including local search, local unimodal sampling, pattern search, random search, random optimization), Nelder Mead/Simplex/Amoeba method, Matlab fminsearch, simulated annealing, fit surfaces (for example Response Surface Methodology (RSM), Memory-based Stochastic Optimization, and Q2), evolutionary algorithms, and ...
  Paper: Derivative-free optimization: A review of algorithms and comparison of software implementations by Luis Miguel Rios and Nikolaos V. Sahinidis, Book: Introduction to Derivative-Free Optimization
• Jan 30: Constraints.
  Soft/hard constraints, penalty functions, Barrier functions, Lagrange Multipliers, Augmented Lagrangian method, Interior point methods vs. Simplex methods vs. soft constraint methods, Matlab fmincon.
• Jan 30: Formulating trajectory optimization as function optimization.
  Examples of formulating a trajectory optimization problem as a function optimization problem: Case Studies In Trajectory Optimization: Trains, Planes, And Other Pastimes, Robert J. Vanderbei
  Example use of AMPL
  A free trial version of AMPL is available from here.
  AMPL is also available for remote use through the Neos Server. Click on SNOPT/[AMPL Input] under Nonlinearly Constrained Optimization.
  Example use of Matlab
  Collocation, Sequential quadratic programming, SNOPT
  Spacetime Optimization: Witkin paper text Witkin paper figures
  
• Feb 1: Use of splines in trajectory optimization.
  Cubic Hermite spline. Need paper reference.
• Feb 1: Ways to robustify function optimization:
  Problems: How choose method?, more of an art than a science, local minima, bad answers, discontinuities, redundant/rank deficient constraints, bad scaling, no formulas for derivatives, you are lazy, computational cost.
  Techniques: Levenberg Marquardt, Trust regions, line search, scaling and preconditioning, regularize parameters, soft constraints, stochastic complementarity, sparse methods,
• Feb 6: Policy optimization I: Use function optimization.
  What is a policy? Known in machine learning/reinforcement learning as policy search or refinement, ...
  slides
• Feb 8: Covariance Matrix Adaptation Evolution Strategy.
  See also Hansen web page. Example1, Ex2, Ex3, Ex4.
  
• Feb 13: Dynamic Programming. Bellman equation,
  slides
• Feb 15: Differential Dynamic Programming, Linear Quadratic Regulator
• Feb 20: Case Study: Assignment 2
• Feb 22: Model Predictive Control (MPC), (a.k.a. receding horizon control).
• Feb 22-27: Ways to reduce the curse of dimensionality
  slides
• Feb 29: Policy Optimization II: Optimization using model-based gradients
  slides
• March 5: Robustness using Linear Matrix Inequalities Robustness to parametric uncertainty in the linear(ized) model. I can't find a good reference on robustness using linear matrix inequalities, but here is a tutorial on LMIs
• March 7: Robustness Robustness to random disturbances, varying initial conditions, parametric model error, structural modeling error such as high frequency unmodelled dynamics, and model jumps (touchdown and liftoff during walking, for example). Monte Carlo trajectory/policy optimization.
• March 7: Robustness: Policy Optimization with Multiple Models. Monte-Carlo, DP, and DDP approaches to Multiple Models.
• March 19: State Estimation, Dual Control. Information state DP. Simple example. Uncertainty Propagation: Gaussian Propagation (like Kalman Filter), Unscented (like Unscented Filter), Second Order Kalman Filter (See Kendrick below).
• March 21: Local Approaches to Dual Control/Stochastic DDP Information state trajectory optimization. Stochastic Control for Economic Models, David Kendrick, Second Edition 2002.
• March 26: Robustness and state estimation: loop transfer recovery (LTR).
• March 28 - April 2: Robustness and state estimation: Example of bad interactions, Policy optimization approaches.
• April 4: Model free policy optimization. Kober, J.; Peters, J. (2011). Policy Search for Motor Primitives in Robotics, Machine Learning, 84, 1-2, pp.171-203
• April 9: Adaptive Control
• April 11: A*-like algorithms: R*
• April 16: CHOMP, RRT, RRT*
• April 18: Continuation Methods, Meta-optimization, Optimizing similar tasks, Learning during optimization
• April 24: Trajectory optimization based on integrating the dynamics: calculus of variations, Euler-Lagrange equation, Pontryagin's minimum principle, Hamilton-Jacobi-Bellman equation, costate equations, shooting methods, multiple shooting methods,
• Learning From Demonstration
• Learning Heuristic Functions
• Automatic differentiation
• THE FOLLOWING DATES ARE CORRECT
• Apr. 30: Project presentations
• May 2: Project presentations

Assignments

• Assignment 0 (Due Jan. 22): Send CGA email: Who are you? Why are you here? What research do you do? Describe any optimization you have done (point me to papers or web pages if they exist). Any project ideas? What topics would you especially like the course to cover?
  Be sure your name is obvious in the email, and you mention the course name or number. I teach more than one course, and a random email from robotlover@cs.cmu.edu is hard for me to process.
• Assignment 1: Trajectory Optimization (Due Feb. 12)
• Assignment 2: Policy Design I (Due Mar. 11) DEADLINE EXTENDED!
• Assignment 3 (Due March. 26): Send TA and CGA email: What is your project?
• Assignment 4: Robustness (Due Apr. 29)
• May 13: Graduating Students: last day to turn in overdue assignments and projects
• May 17: All Other Students: last day to turn in overdue assignments and projects

Project Info