Koopman Ensembles for Probabilistic Time Series Forecasting

Created by MG96

External Public cs.LG

Statistics

Citations
0
References
20
Last updated
Loading...
Authors

Anthony Frion Lucas Drumetz Guillaume Tochon Mauro Dalla Mura Albdeldjalil Aïssa El Bey
Project Resources

Name Type Source Actions
ArXiv Paper Paper arXiv
Semantic Scholar Paper Semantic Scholar
GitHub Repository Code Repository GitHub
Abstract

In the context of an increasing popularity of data-driven models to represent dynamical systems, many machine learning-based implementations of the Koopman operator have recently been proposed. However, the vast majority of those works are limited to deterministic predictions, while the knowledge of uncertainty is critical in fields like meteorology and climatology. In this work, we investigate the training of ensembles of models to produce stochastic outputs. We show through experiments on real remote sensing image time series that ensembles of independently trained models are highly overconfident and that using a training criterion that explicitly encourages the members to produce predictions with high inter-model variances greatly improves the uncertainty quantification of the ensembles.

Note:

No note available for this project.

No note available for this project.
Contact:

No contact available for this project.

No contact available for this project.