相关论文: Network Vector Autoregressive Model for Dyadic Res…

This paper proposes a data-driven affinely adjustable robust Volt/VAr control (AARVVC) scheme, which modulates the smart inverter reactive power in an affine function of its active power, based on the voltage sensitivities with respect to…

Understanding human motion behaviour is a critical task for several possible applications like self-driving cars or social robots, and in general for all those settings where an autonomous agent has to navigate inside a human-centric…

The standard vector autoregressive (VAR) models suffer from overparameterization which is a serious issue for high-dimensional time series data as it restricts the number of variables and lags that can be incorporated into the model.…

Graph models provide efficient tools to capture the underlying structure of data defined over networks. Many real-world network topologies are subject to change over time. Learning to model the dynamic interactions between entities in such…

Longitudinal binary relational data can be better understood by implementing a latent space model for dynamic networks. This approach can be broadly extended to many types of weighted edges by using a link function to model the mean of the…

Multi-agent interacting systems are prevalent in the world, from pure physical systems to complicated social dynamic systems. In many applications, effective understanding of the situation and accurate trajectory prediction of interactive…

A method of network reconstruction from the dynamical time series is introduced, relying on the concept of derivative-variable correlation. Using a tunable observable as a parameter, the reconstruction of any network with known interaction…

Time-varying parameter (TVP) regressions commonly assume that time-variation in the coefficients is determined by a simple stochastic process such as a random walk. While such models are capable of capturing a wide range of dynamic…

Conditions are obtained for a Gaussian vector autoregressive time series of order $k$, VAR($k$), to have univariate margins that are autoregressive of order $k$ or lower-dimensional margins that are also VAR($k$). This can lead to…

Nonlinear vector autoregression (NVAR) and reservoir computing (RC) have shown promise in forecasting chaotic dynamical systems, such as the Lorenz-63 model and El Nino-Southern Oscillation. However, their reliance on fixed nonlinear…

We study the problem of graph structure identification, i.e., of recovering the graph of dependencies among time series. We model these time series data as components of the state of linear stochastic networked dynamical systems. We assume…

Tensor-valued data are becoming increasingly available in economics and this calls for suitable econometric tools. We propose a new dynamic linear model for tensor-valued response variables and covariates that encompasses some well-known…

This paper presents a novel latent variable recurrent neural network architecture for jointly modeling sequences of words and (possibly latent) discourse relations between adjacent sentences. A recurrent neural network generates individual…

Multivariate time series forecasting is of great importance to many scientific disciplines and industrial sectors. The evolution of a multivariate time series depends on the dynamics of its variables and the connectivity network of causal…

Multiple-subject network data are fast emerging in recent years, where a separate connectivity matrix is measured over a common set of nodes for each individual subject, along with subject covariates information. In this article, we propose…

We consider a class of vector autoregressive models with banded coefficient matrices. The setting represents a type of sparse structure for high-dimensional time series, though the implied autocovariance matrices are not banded. The…

This paper aims to predict the traffic flow at one road segment based on nearby traffic volume and weather conditions. Our team also discover the impact of weather conditions and nearby traffic volume on the traffic flow at a target point.…

We study a discrete-time multi-period portfolio optimization problem under an explicit constraint on the Deviation Conditional Value-at-Risk (DCVaR), defined as the excess of Conditional Value-at-Risk over expected terminal wealth. The…

We present Visual AutoRegressive modeling (VAR), a new generation paradigm that redefines the autoregressive learning on images as coarse-to-fine "next-scale prediction" or "next-resolution prediction", diverging from the standard…

Representation learning over graph structured data has been mostly studied in static graph settings while efforts for modeling dynamic graphs are still scant. In this paper, we develop a novel hierarchical variational model that introduces…