Related papers: Selecting optimal multistep predictors for autoreg…
This paper investigates multistep prediction errors for non-stationary autoregressive processes with both model order and true parameters unknown. We give asymptotic expressions for the multistep mean squared prediction errors and…
Optimal designs are usually model-dependent and likely to be sub-optimal if the postulated model is not correctly specified. In practice, it is common that a researcher has a list of candidate models at hand and a design has to be found…
This paper contrasts recursive state space models and direct multi-step predictors for linear predictive control. We provide a tutorial exposition for both model structures to solve the following problems: 1. stochastic optimal control; 2.…
Compounding error, where small prediction mistakes accumulate over time, presents a major challenge in learning-based control. For example, this issue often limits the performance of model-based reinforcement learning and imitation…
Compounding error, where small prediction mistakes accumulate over time, presents a major challenge in learning-based control. A common remedy is to train multi-step predictors directly instead of rolling out single-step models. However, it…
The non-linear autoregressive (NLAR) model plays an important role in modeling and predicting time series. One-step ahead prediction is straightforward using the NLAR model, but the multi-step ahead prediction is cumbersome. For instance,…
Motivated by a variety of applications, high-dimensional time series have become an active topic of research. In particular, several methods and finite-sample theories for individual stable autoregressive processes with known lag have…
Bayesian models quantify uncertainty and facilitate optimal decision-making in downstream applications. For most models, however, practitioners are forced to use approximate inference techniques that lead to sub-optimal decisions due to…
Model-based reinforcement learning is an appealing framework for creating agents that learn, plan, and act in sequential environments. Model-based algorithms typically involve learning a transition model that takes a state and an action and…
To address the difficult problem of multi-step ahead prediction of non-parametric autoregressions, we consider a forward bootstrap approach. Employing a local constant estimator, we can analyze a general type of non-parametric time series…
A multitude of classifiers can be trained on the same data to achieve similar performances during test time, while having learned significantly different classification patterns. This phenomenon, which we call prediction discrepancies, is…
The research area of algorithms with predictions has seen recent success showing how to incorporate machine learning into algorithm design to improve performance when the predictions are correct, while retaining worst-case guarantees when…
This paper investigates adaptive model predictive control (MPC) for a class of constrained linear systems with unknown model parameters. This is also posed as the dual control problem consisting of system identification and regulation. We…
A model among many may only be best under certain states of the world. Switching from a model to another can also be costly. Finding a procedure to dynamically choose a model in these circumstances requires to solve a complex estimation…
In a standard optimization approach, the underlying process model is first identified at a given set of operating conditions and this updated model is, then, used to calculate the optimal conditions for the process. This two-step procedure…
Auto-regressive moving-average (ARMA) models are ubiquitous forecasting tools. Parsimony in such models is highly valued for their interpretability and computational tractability, and as such the identification of model orders remains a…
For the efficient compensation of fiber nonlinearity, one of the guiding principles appears to be: fewer steps are better and more efficient. We challenge this assumption and show that carefully designed multi-step approaches can lead to…
Our work revisits the design of mechanisms via the learning-augmented framework. In this model, the algorithm is enhanced with imperfect (machine-learned) information concerning the input, usually referred to as prediction. The goal is to…
When machine learning systems meet real world applications, accuracy is only one of several requirements. In this paper, we assay a complementary perspective originating from the increasing availability of pre-trained and regularly…
Multiple lines of evidence suggest that predictive models may benefit from algorithmic triage. Under algorithmic triage, a predictive model does not predict all instances but instead defers some of them to human experts. However, the…