Time-series Scenario Forecasting

Many applications require the ability to judge uncertainty of time-series forecasts. Uncertainty is often specified as point-wise error bars around a mean or median forecast. Due to temporal dependencies, such a method obscures some information. We would ideally have a way to query the posterior probability of the entire time-series given the predictive variables, or at a minimum, be able to draw samples from this distribution. We use a Bayesian dictionary learning algorithm to statistically generate an ensemble of forecasts. We show that the algorithm performs as well as a physics-based ensemble method for temperature forecasts for Houston. We conclude that the method shows promise for scenario forecasting where physics-based methods are absent.

Surrogate Learning - An Approach for Semi-Supervised Classification

We consider the task of learning a classifier from the feature space $mathcal{X}$ to the set of classes $mathcal{Y} = {0, 1}$, when the features can be partitioned into class-conditionally independent feature sets $mathcal{X}_1$ and $mathcal{X}_2$. We show the surprising fact that the class-conditional independence can be used to represent the original learning task in terms of 1) learning a classifier from $mathcal{X}_2$ to $mathcal{X}_1$ and 2) learning the class-conditional distribution of the feature set $mathcal{X}_1$. This fact can be exploited for semi-supervised learning because the former task can be accomplished purely from unlabeled samples. We present experimental evaluation of the idea in two real world applications.