Related papers: Strategies for prediction under imperfect monitori…

Prescriptive process monitoring methods seek to improve the performance of a process by selectively triggering interventions at runtime (e.g., offering a discount to a customer) to increase the probability of a desired case outcome (e.g., a…

We study sequential prediction of real-valued, arbitrary and unknown sequences under the squared error loss as well as the best parametric predictor out of a large, continuous class of predictors. Inspired by recent results from…

Improving algorithms via predictions is a very active research topic in recent years. This paper initiates the systematic study of mechanism design in this model. In a number of well-studied mechanism design settings, we make use of…

Empirical risk minimization is a standard principle for choosing algorithms in learning theory. In this paper we study the properties of empirical risk minimization for time series. The analysis is carried out in a general framework that…

The ranking problem is to order a collection of units by some unobserved parameter, based on observations from the associated distribution. This problem arises naturally in a number of contexts, such as business, where we may want to rank…

The partial monitoring (PM) framework provides a theoretical formulation of sequential learning problems with incomplete feedback. On each round, a learning agent plays an action while the environment simultaneously chooses an outcome. The…

We use the martingale-theoretic approach of game-theoretic probability to incorporate imprecision into the study of randomness. In particular, we define several notions of randomness associated with interval, rather than precise,…

Uncertainty quantification is essential in decision-making, especially when joint distributions of random variables are involved. While conformal prediction provides distribution-free prediction sets with valid coverage guarantees, it…

Should prediction models always deliver a prediction? In the pursuit of maximum predictive performance, critical considerations of reliability and fairness are often overshadowed, particularly when it comes to the role of uncertainty.…

We propose a new optimization framework for aleatoric uncertainty estimation in regression problems. Existing methods can quantify the error in the target estimation, but they tend to underestimate it. To obtain the predictive uncertainty…

This paper experimentally evaluates four mechanisms intended to achieve the Uniform outcome in rationing problems (Sprumont, 1991). Our benchmark is the dominant-strategy, direct-revelation mechanism of the Uniform rule. A strategically…

This paper proposes probabilistic conformal prediction (PCP), a predictive inference algorithm that estimates a target variable by a discontinuous predictive set. Given inputs, PCP construct the predictive set based on random samples from…

We investigate the modeling and the numerical solution of machine learning problems with prediction functions which are linear combinations of elements of a possibly infinite-dimensional dictionary. We propose a novel flexible composite…

This paper describes a methodology for detecting anomalies from sequentially observed and potentially noisy data. The proposed approach consists of two main elements: (1) {\em filtering}, or assigning a belief or likelihood to each…

The incorporation of systematic uncertainties into confidence interval calculations has been addressed recently in a paper by Conrad et al. (Physical Review D 67 (2003) 012002). In their work, systematic uncertainities in detector…

Prescriptive process monitoring approaches leverage historical data to prescribe runtime interventions that will likely prevent negative case outcomes or improve a process's performance. A centerpiece of a prescriptive process monitoring…

Conformal prediction is a powerful tool to generate uncertainty sets with guaranteed coverage using any predictive model, under the assumption that the training and test data are i.i.d.. Recently, it has been shown that adversarial examples…

We present a stochastic model predictive control (MPC) method for linear discrete-time systems subject to possibly unbounded and correlated additive stochastic disturbance sequences. Chance constraints are treated in analogy to robust MPC…

Conformal predictive systems are sets of predictive distributions with theoretical out-of-sample calibration guarantees. The calibration guarantees are typically that the set of predictions contains a forecast distribution whose prediction…

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…