1. 580.691 Learning Theory Reza Shadmehr Optimal feedback control stochastic feedback control with and without additive noise

2. Starting at state Sequence of actions Observations Cost to minimize Cost per step

3. Start at the last time point k=p The cost at k=p is: To minimize this cost, set Under this policy, the value of states are:

6. We will now show that if we choose the optimal u at step p-1, then cost to go is once again a quadratic function of state x. Can be simplified to: Because it is a scalar, it can be written as:

7. We just showed that for the last time step, the cost to go is a quadratic function of x: The optimal u to at time point p-1 minimizes cost to go J(p-1): If at time point p-1 we indeed carry out this optimal policy u, then the cost to go at time p- 1 also becomes a linear function of x: If we now repeat the process and find the optimal u for time point p-2, it will be: And if we apply the optimal u at time points p-2 and p-1, then the cost to go at time point p-2 will be a quadratic function of x: So in general, if for time points t+1, …, p we calculated the optimal policy for u, then the above gives us a recipe to compute the optima policy for time point t.

8. Summary: optimal feedback control Cost to go The procedure is to compute the matrices W and G from the last time point to the first time point.

9. Continuous time model of the elbow Discrete time model of the elbow Modeling of an elbow movement

10. Goal: Reach a target at 30 deg in 300 ms time and hold it there for 100 ms. Unperturbed movementArm held at start for 200msForce pulse to the arm for 50ms

11. Movement with a via point: we set the cost to be high at the time when we are supposed to be at the via points.

12. Stochastic optimal feedback control Biological processes have noise. For example, neurons fire stochastically in response to a constant input, and muscles produce a stochastic force in response to constant stimulation. Here we will see how to solve the optimal control problem with additive Gaussian noise. Cost to minimize Because there is noise, we are no longer able to observe x directly. Rather, the best we can do is to estimate it. As we saw before, for a linear system with additive noise the best estimate of state is through the Kalman filter. So our goal is to determine the best command u for the current estimate of x so that we can minimize the global cost function. Approach: as before, at the last time point p the cost is a quadratic function of x. We will find the optimal motor command for time point p-1 so that it minimizes the expected cost to go. If we perform the optimal motor command at p-1, then we will see that the cost to go at p-1 is again a quadratic function of x.

13. Preliminaries: Expected value of a squared random variable. In the following example, we assume that x is the random variable. Scalar x Vector x

15. So we see that if our system has additive state or measurement noises, the optimal motor command remains the same as if the system had no noises at all. When we use the optimal policy at time point p-1, we see that, as before, the cost-to-go at p-1 is a quadratic function of x. The matrix W at p-1 remains the same as when the system had no noise. The problem is that we do not have x. The best that we can do is to estimate x via the Kalman filter. We do this in the next slide.

16. On trial p-1, our best estimate of x is the prior. We compute the prior for the current trial from the posterior of the last trial. The posterior estimate. Our short-hand way to note the prior estimate of x on trial p-1. Although the noises in the system do not affect the gain G, the estimate of x is of course affected by the noises because the Kalman gain is influenced by them. Kalman gain

17. Summary of stochastic optimal control for a linear system with additive Gaussian noise and quadratic cost Cost to go at the start Cost to go at the end