Related papers: Data-driven uncertainty quantification for constra…
We propose an unbiased Monte-Carlo estimator for $\mathbb{E}[g(X_{t_1}, \cdots, X_{t_n})]$, where $X$ is a diffusion process defined by a multi-dimensional stochastic differential equation (SDE). The main idea is to start instead from a…
We propose a novel framework for adaptively learning the time-evolving solutions of stochastic partial differential equations (SPDEs) using score-based diffusion models within a recursive Bayesian inference setting. SPDEs play a central…
Diffusion (score-based) generative models have been widely used for modeling various types of complex data, including images, audios, and point clouds. Recently, the deep connection between forward-backward stochastic differential equations…
Rising penetration levels of (residential) photovoltaic (PV) power as distributed energy resource pose a number of challenges to the electricity infrastructure. High quality, general tools to provide accurate forecasts of power production…
Due to the rise in the use of renewable energies as an alternative to traditional ones, and especially solar energy, there is increasing interest in studying how to address photovoltaic forecasting in the face of the challenge of…
This paper introduces unified models for high-dimensional factor-based Ito process, which can accommodate both continuous-time Ito diffusion and discrete-time stochastic volatility (SV) models by embedding the discrete SV model in the…
This study introduces a training-free conditional diffusion model for learning unknown stochastic differential equations (SDEs) using data. The proposed approach addresses key challenges in computational efficiency and accuracy for modeling…
Precipitation nowcasting is a critical spatio-temporal prediction task for society to prevent severe damage owing to extreme weather events. Despite the advances in this field, the complex and stochastic nature of this task still poses…
This article concerns the predictive modeling for spatio-temporal data as well as model interpretation using data information in space and time. We develop a novel approach based on supervised dimension reduction for such data in order to…
We develop a new continuous-time stochastic gradient descent method for optimizing over the stationary distribution of stochastic differential equation (SDE) models. The algorithm continuously updates the SDE model's parameters using an…
Forecasting future weather and climate is inherently difficult. Machine learning offers new approaches to increase the accuracy and computational efficiency of forecasts, but current methods are unable to accurately model uncertainty in…
In this paper, a data-driven nonparametric approach is presented for forecasting the probability density evolution of stochastic dynamical systems. The method is based on stochastic Koopman operator and extended dynamic mode decomposition…
Missing values are common in photovoltaic (PV) power data, yet the uncertainty they induce is not propagated into predictive distributions. We develop a framework that incorporates missing-data uncertainty into short-term PV forecasting by…
The problem of integrated volatility estimation for the solution X of a stochastic differential equation with L{\'e}vy-type jumps is considered under discrete high-frequency observations in both short and long time horizon. We provide an…
Drift-diffusion model is an indispensable modeling tool to understand the carrier dynamics (transport, recombination, and collection) and simulate practical-efficiency of solar cells (SCs) through taking into account various carrier…
Wind power is playing an increasingly important role in electricity markets. However, it's inherent variability and uncertainty cause operational challenges and costs as more operating reserves are needed to maintain system reliability.…
It is critical yet challenging for deep learning models to properly characterize uncertainty that is pervasive in real-world environments. Although a lot of efforts have been made, such as heteroscedastic neural networks (HNNs), little work…
Stochastic parametrisations are used in weather and climate models to improve the representation of unpredictable unresolved processes. When compared to a deterministic model, a stochastic model represents `model uncertainty', i.e., sources…
This paper proposes a statistically optimal approach for learning a function value using a confidence interval in a wide range of models, including general non-parametric estimation of an expected loss described as a stochastic programming…
We present a framework and algorithms to learn controlled dynamics models using neural stochastic differential equations (SDEs) -- SDEs whose drift and diffusion terms are both parametrized by neural networks. We construct the drift term to…