Related papers: NonSTOP: A NonSTationary Online Prediction Method …

Time-series stationarity is a property that statistical characteristics such as trend, variance, seasonality remain constant over time. It is considered fundamental to many forecasting and analysis methods. Different tests detect different…

Time-series anomaly detection plays an important role in engineering processes, like development, manufacturing and other operations involving dynamic systems. These processes can greatly benefit from advances in the field, as…

We consider the classic problem of online convex optimisation. Whereas the notion of static regret is relevant for stationary problems, the notion of switching regret is more appropriate for non-stationary problems. A switching regret is…

We consider a new framework where a continuous, though bounded, random variable has unobserved bounds that vary over time. In the context of univariate time series, we look at the bounds as parameters of the distribution of the bounded…

We consider the problem of inference for non-stationary time series with heavy-tailed error distribution. Under a time-varying linear process framework we show that there exists a suitable local approximation by a stationary process with…

This paper is concerned with the estimation of time-varying networks for high-dimensional nonstationary time series. Two types of dynamic behaviors are considered: structural breaks (i.e., abrupt change points) and smooth changes. To…

Real-world applications of contextual bandits often exhibit non-stationarity due to seasonality, serendipity, and evolving social trends. While a number of non-stationary contextual bandit learning algorithms have been proposed in the…

Learning-based control methods typically assume stationary system dynamics, an assumption often violated in real-world systems due to drift, wear, or changing operating conditions. We study reinforcement learning for control under…

The problem of piecewise affine (PWA) regression and planning is of foundational importance to the study of online learning, control, and robotics, where it provides a theoretically and empirically tractable setting to study systems…

Control and state estimation procedures need to be robust against imprecisely known parameters, uncertainty in initial conditions, and external disturbances. Interval methods and other set-based techniques form the basis for the…

Non-stationary systems are found throughout the world, from climate patterns under the influence of variation in carbon dioxide concentration, to brain dynamics driven by ascending neuromodulation. Accordingly, there is a need for methods…

Online parameter identification is of importance, e.g., for model predictive control. Since the parameters have to be identified simultaneously to the process of the modeled system, dynamical update laws are used for state and parameter…

Online prediction for streaming time series data has practical use for many real-world applications where downstream decisions depend on accurate forecasts for the future. Deployment in dynamic environments requires models to adapt quickly…

In many scientific fields, such as economics and neuroscience, we are often faced with nonstationary time series, and concerned with both finding causal relations and forecasting the values of variables of interest, both of which are…

Generating high quality uncertainty estimates for sequential regression, particularly deep recurrent networks, remains a challenging and open problem. Existing approaches often make restrictive assumptions (such as stationarity) yet still…

In the random-order model for online learning, the sequence of losses is chosen upfront by an adversary and presented to the learner after a random permutation. Any random-order input is \emph{asymptotically} equivalent to a stochastic…

In this paper, a method of prediction on continuous time series variables from the production or flow -- an LSTM algorithm based on multivariate tuning -- is proposed. The algorithm improves the traditional LSTM algorithm and converts the…

We extend and combine several tools of the literature to design fast, adaptive, anytime and scale-free online learning algorithms. Scale-free regret bounds must scale linearly with the maximum loss, both toward large losses and toward very…

We introduce a statistical method to detect nonlinearity and nonstationarity in time series, that works even for short sequences and in presence of noise. The method has a discrimination power similar to that of the most advanced estimators…

We study online classification when the learner has access to predictions about future examples. We design an online learner whose expected regret is never worse than the worst-case regret, gracefully improves with the quality of the…