Related papers: Online Aggregation of Probability Forecasts with C…
Seasonal climate predictions support planning and risk management by offering early information of the most likely-to-occur climate conditions in the coming months, and associated uncertainties. Ensemble forecasts enable this by simulating…
Accurate and reliable forecasting of renewable energy generation is crucial for the efficient integration of renewable sources into the power grid. In particular, probabilistic forecasts are becoming essential for managing the intrinsic…
Selective prediction [Dru13, QV19] models the scenario where a forecaster freely decides on the prediction window that their forecast spans. Many data statistics can be predicted to a non-trivial error rate without any distributional…
We assess the impact of a multi-scale loss formulation for training probabilistic machine-learned weather forecasting models. The multi-scale loss is tested in AIFS-CRPS, a machine-learned weather forecasting model developed at the European…
The importance of accurately quantifying forecast uncertainty has motivated much recent research on probabilistic forecasting. In particular, a variety of deep learning approaches has been proposed, with forecast distributions obtained as…
We investigate the performance and sampling variability of estimated forecast combinations, with particular attention given to the combination of forecast distributions. Unknown parameters in the forecast combination are optimized according…
A mixture of experts models the conditional density of a response variable using a mixture of regression models with covariate-dependent mixture weights. We extend the finite mixture of experts model by allowing the parameters in both the…
Local approximations are popular methods to scale Gaussian processes (GPs) to big data. Local approximations reduce time complexity by dividing the original dataset into subsets and training a local expert on each subset. Aggregating the…
Predictive distributions need to be aggregated when probabilistic forecasts are merged, or when expert opinions expressed in terms of probability distributions are fused. We take a prediction space approach that applies to discrete, mixed…
This paper forges a strong connection between two seemingly unrelated forecasting problems: incentive-compatible forecast elicitation and forecast aggregation. Proper scoring rules are the well-known solution to the former problem. To each…
With the recent rise of generative Artificial Intelligence (AI), the need of selecting high-quality dataset to improve machine learning models has garnered increasing attention. However, some part of this topic remains underexplored, even…
Probability forecasting is common in the geosciences, the finance sector, and elsewhere. It is sometimes the case that one has multiple probability-forecasts for the same target. How is the information in these multiple forecast systems…
Prediction intervals are a machine- and human-interpretable way to represent predictive uncertainty in a regression analysis. In this paper, we present a method for generating prediction intervals along with point estimates from an ensemble…
Large-scale streaming data are common in modern machine learning applications and have led to the development of online learning algorithms. Many fields, such as supply chain management, weather and meteorology, energy markets, and finance,…
Probabilistic reasoning systems combine different probabilistic rules and probabilistic facts to arrive at the desired probability values of consequences. In this paper we describe the MESA-algorithm (Maximum Entropy by Simulated Annealing)…
Power systems face increasing challenges in maintaining resource adequacy due to lower operating margins, rising renewable energy uncertainty, and demand variability. Forecasting the probability distribution of peak demand on shorter…
Central banks rely on density forecasts from professional surveys to assess inflation risks and communicate uncertainty. A central challenge in using these surveys is irregular participation: forecasters enter and exit, skip rounds, and…
Accurate forecasts of extreme wind speeds are of high importance for many applications. Such forecasts are usually generated by ensembles of numerical weather prediction (NWP) models, which however can be biased and have errors in…
Distribution-free uncertainty estimation for ensemble methods is increasingly desirable due to the widening deployment of multi-modal black-box predictive models. Conformal prediction is one approach that avoids such distributional…
The problem of combining individual forecasters to produce a forecaster with improved performance is considered. The connections between probability elicitation and classification are used to pose the combining forecaster problem as that of…