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Existing approaches of prescriptive analytics -- where inputs of an optimization model can be predicted by leveraging covariates in a machine learning model -- often attempt to optimize the mean value of an uncertain objective. However,…

Time series forecasting has long been dominated by model-centric approaches that formulate prediction as a single-pass mapping from historical observations to future values. Despite recent progress, such formulations often struggle in…

An unresolved problem in Deep Learning is the ability of neural networks to cope with domain shifts during test-time, imposed by commonly fixing network parameters after training. Our proposed method Meta Test-Time Training (MT3), however,…

Several phenomena are available representing market activity: volumes, number of trades, durations between trades or quotes, volatility - however measured - all share the feature to be represented as positive valued time series. When…

Meta-forecasting is a newly emerging field which combines meta-learning and time series forecasting. The goal of meta-forecasting is to train over a collection of source time series and generalize to new time series one-at-a-time. Previous…

Large language models (LLMs) are increasingly expected to tackle complex tasks, driven by their expanding applications and users' growing proficiency in crafting sophisticated prompts. However, as the number of explicitly stated…

Modern deep neural networks can produce badly calibrated predictions, especially when train and test distributions are mismatched. Training an ensemble of models and averaging their predictions can help alleviate these issues. We propose a…

Multiple studies have now demonstrated that machine learning (ML) can give improved skill for predicting or simulating fairly typical weather events, for tasks such as short-term and seasonal weather forecasting, downscaling simulations to…

In model-based reinforcement learning (MBRL), most algorithms rely on simulating trajectories from one-step dynamics models learned on data. A critical challenge of this approach is the compounding of one-step prediction errors as length of…

Neural networks are often overconfident about their predictions, which undermines their reliability and trustworthiness. In this work, we present a novel technique, named Error-Driven Uncertainty Aware Training (EUAT), which aims to enhance…

Data-driven machine learning (ML) models are reshaping weather forecasting and have shown the potential to accelerate and surpass traditional physics-based approaches, leading to a second revolution in the field after data assimilation.…

Estimating and disentangling epistemic uncertainty, uncertainty that is reducible with more training data, and aleatoric uncertainty, uncertainty that is inherent to the task at hand, is critically important when applying machine learning…

This paper presents a meta-learning framework for credit risk assessment of Italian Small and Medium Enterprises (SMEs) that explicitly addresses the temporal misalignment of credit scoring models. The approach aligns financial statement…

We present a novel Balanced Incremental Model Agnostic Meta Learning system (BI-MAML) for learning multiple tasks. Our method implements a meta-update rule to incrementally adapt its model to new tasks without forgetting old tasks. Such a…

Ensemble forecasting is, so far, the most successful approach to produce relevant forecasts with an estimation of their uncertainty. The main limitations of ensemble forecasting are the high computational cost and the difficulty to capture…

Pattern recognition applications often suffer from skewed data distributions between classes, which may vary during operations w.r.t. the design data. Two-class classification systems designed using skewed data tend to recognize the…

The last decade witnessed a rise in the importance of supervised learning applications involving {\em big data} and {\em big models}. Big data refers to situations where the amounts of training data available and needed causes difficulties…

Meta learning aims at learning a model that can quickly adapt to unseen tasks. Widely used meta learning methods include model agnostic meta learning (MAML), implicit MAML, Bayesian MAML. Thanks to its ability of modeling uncertainty,…

Meta-analysis, because of both logistical convenience and statistical efficiency, is widely popular for synthesizing information on common parameters of interest across multiple studies. We propose developing a generalized meta-analysis…

Pre-trained language models (PLMs) may fail in giving reliable estimates of their predictive uncertainty. We take a close look into this problem, aiming to answer two questions: (1) Do PLMs learn to become calibrated in the training…