Related papers: Bellman Conformal Inference: Calibrating Predictio…
We propose a model predictive control (MPC) scheme with sampled-data input which ensures output-reference tracking within prescribed error bounds for relative-degree-one systems. Hereby, we explicitly deduce bounds on the required maximal…
Brain-computer interface (BCI) provides a direct communication pathway between human brain and external devices. Before a new subject could use BCI, a calibration procedure is usually required. Because the inter- and intra-subject variances…
Non-stationarity poses significant challenges for multivariate time series forecasting due to the inherent short-term fluctuations and long-term trends that can lead to spurious regressions or obscure essential long-term relationships. Most…
This paper presents a safe robust policy iteration (SR-PI) algorithm to design controllers with satisficing (good enough) performance and safety guarantee. This is in contrast to standard PI-based control design methods with no safety…
Inexact methods for model predictive control (MPC), such as real-time iterative schemes or time-distributed optimization, alleviate the computational burden of exact MPC by providing suboptimal solutions. While the asymptotic stability of…
Parameters in climate models are usually calibrated manually, exploiting only small subsets of the available data. This precludes both optimal calibration and quantification of uncertainties. Traditional Bayesian calibration methods that…
Current methods for multivariate time series forecasting can be classified into channel-dependent and channel-independent models. Channel-dependent models learn cross-channel features but often overfit the channel ordering, which hampers…
Uncertainty is critical to reliable decision-making with machine learning. Conformal prediction (CP) handles uncertainty by predicting a set on a test input, hoping the set to cover the true label with at least $(1-\alpha)$ confidence. This…
To investigate a time-consistent optimal strategy for the continuous time mean-variance model, we develop a new method to establish the Bellman principle. Based on this new method, we obtain a time-consistent dynamic optimal strategy that…
Model predictive control (MPC) is an optimal control method that predicts the future states of the system being controlled and estimates the optimal control inputs that drive the predicted states to the required reference. The computations…
Uncertainty quantification has received considerable interest in recent works in Machine Learning. In particular, Conformal Prediction (CP) gains ground in this field. For the case of time series, Online Conformal Prediction (OCP) becomes…
Approximate Bayesian computation methods can be used to evaluate posterior distributions without having to calculate likelihoods. In this paper we discuss and apply an approximate Bayesian computation (ABC) method based on sequential Monte…
We consider the problem of forming prediction sets in an online setting where the distribution generating the data is allowed to vary over time. Previous approaches to this problem suffer from over-weighting historical data and thus may…
Hierarchical time series are common in several applied fields. The forecasts for these time series are required to be coherent, that is, to satisfy the constraints given by the hierarchy. The most popular technique to enforce coherence is…
Reliable uncertainty quantification is critical for trustworthy AI. Conformal Prediction (CP) provides prediction sets with distribution-free coverage guarantees, but its two main variants face complementary limitations. Split CP (SCP)…
We propose a nonlinear model predictive control (NMPC) framework based on a direct optimal control method that ensures continuous-time constraint satisfaction and accurate evaluation of the running cost, without compromising computational…
Online conformal prediction enables the runtime calibration of a pre-trained artificial intelligence model using feedback on its performance. Calibration is achieved through set predictions that are updated via online rules so as to ensure…
Inequalities may appear in many models. They can be as simple as assuming a parameter is nonnegative, possibly a regression coefficient or a treatment effect. This paper focuses on the case that there is only one inequality and proposes a…
Any supervised machine learning analysis is required to provide an estimate of the out-of-sample predictive performance. However, it is imperative to also provide a quantification of the uncertainty of this performance in the form of a…
Car-following behavior modeling is critical for understanding traffic flow dynamics and developing high-fidelity microscopic simulation models. Most existing impulse-response car-following models prioritize computational efficiency and…