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Calibration ensures that probabilistic forecasts meaningfully capture uncertainty by requiring that predicted probabilities align with empirical frequencies. However, many existing calibration methods are specialized for post-hoc…
Data-driven techniques for analysis, modeling, and control of complex dynamical systems are on the uptake. Koopman theory provides the theoretical foundation for the popular kernel extended dynamic mode decomposition (kEDMD). In this work,…
Tight performance specifications in combination with operational constraints make model predictive control (MPC) the method of choice in various industries. As the performance of an MPC controller depends on a sufficiently accurate…
The Model Predictive Control (MPC) scheme Funnel MPC enables output tracking of smooth reference signals with prescribed error bounds for nonlinear multi-input multi-output systems with stable internal dynamics. Earlier works achieved the…
Non-conservative uncertainty bounds are essential for making reliable predictions about latent functions from noisy data, and thus, a key enabler for safe learning-based control. In this domain, kernel methods such as Gaussian process…
We introduce a new methodology for analyzing serial data by quantile regression assuming that the underlying quantile function consists of constant segments. The procedure does not rely on any distributional assumption besides serial…
This paper proposes a novel robust Model Predictive Control (MPC) scheme for linear discrete-time systems affected by model uncertainty described by interval matrices. The key feature of the proposed method is a bound on the uncertainty…
Many scientific problems involve data exhibiting both temporal and cross-sectional dependencies. While linear dependencies have been extensively studied, the theoretical analysis of regression estimators under nonlinear dependencies remains…
We propose kernel sequential Monte Carlo (KSMC), a framework for sampling from static target densities. KSMC is a family of sequential Monte Carlo algorithms that are based on building emulator models of the current particle system in a…
In this paper we present a framework for risk-sensitive model predictive control (MPC) of linear systems affected by stochastic multiplicative uncertainty. Our key innovation is to consider a time-consistent, dynamic risk evaluation of the…
This paper presents the open-source stochastic model predictive control framework GRAMPC-S for nonlinear uncertain systems with chance constraints. It provides several uncertainty propagation methods to predict stochastic moments of the…
Accurate simulation of complex physical systems enables the development, testing, and certification of control strategies before they are deployed into the real systems. As simulators become more advanced, the analytical tractability of the…
Bayesian analysis often concerns an evaluation of models with different dimensionality as is necessary in, for example, model selection or mixture models. To facilitate this evaluation, transdimensional Markov chain Monte Carlo (MCMC)…
We propose a stochastic model predictive control (MPC) framework for linear systems subject to joint-in-time chance constraints under unknown disturbance distributions. Unlike existing approaches that rely on parametric or Gaussian…
This paper considers the design of nonlinear data-enabled predictive control (DeePC) using kernel functions. Compared with existing methods that use kernels to parameterize multi-step predictors for nonlinear DeePC, we adopt a novel,…
Sequential Monte Carlo (SMC) methods, also known as particle filters, are simulation-based recursive algorithms for the approximation of the a posteriori probability measures generated by state-space dynamical models. At any given time $t$,…
In this article we consider Bayesian parameter inference associated to partially-observed stochastic processes that start from a set B0 and are stopped or killed at the first hitting time of a known set A. Such processes occur naturally…
This paper presents a kernelized offset-free data-driven predictive control scheme for nonlinear systems. Traditional model-based and data-driven predictive controllers often struggle with inaccurate predictors or persistent disturbances,…
Bayesian model comparison (BMC) offers a principled probabilistic approach to study and rank competing models. In standard BMC, we construct a discrete probability distribution over the set of possible models, conditional on the observed…
This paper considers uncertainty quantification for an elliptic nonlocal equation. In particular, it is assumed that the parameters which define the kernel in the nonlocal operator are uncertain and a priori distributed according to a…