Abstract:We propose Diffusion-Informed Model Predictive Control (D-I MPC), a generic framework for uncertainty-aware prediction and decision-making in partially observable stochastic systems by integrating diffusion-based time series forecasting models in Model Predictive Control algorithms. In our approach, a diffusion-based time series forecasting model is used to probabilistically estimate the evolution of the system's stochastic components. These forecasts are then incorporated into MPC algorithms to estimate future trajectories and optimize action selection under the uncertainty of the future. We evaluate the framework on the task of energy arbitrage, where a Battery Energy Storage System participates in the day-ahead electricity market of the New York state. Experimental results indicate that our model-based approach with a diffusion-based forecaster significantly outperforms both implementations with classical forecasting methods and model-free reinforcement learning baselines.
Abstract:Matrix Factorization (MF) has found numerous applications in Machine Learning and Data Mining, including collaborative filtering recommendation systems, dimensionality reduction, data visualization, and community detection. Motivated by the recent successes of tropical algebra and geometry in machine learning, we investigate two problems involving matrix factorization over the tropical algebra. For the first problem, Tropical Matrix Factorization (TMF), which has been studied already in the literature, we propose an improved algorithm that avoids many of the local optima. The second formulation considers the approximate decomposition of a given matrix into the product of three matrices where a usual matrix product is followed by a tropical product. This formulation has a very interesting interpretation in terms of the learning of the utility functions of multiple users. We also present numerical results illustrating the effectiveness of the proposed algorithms, as well as an application to recommendation systems with promising results.
Abstract:Tropical geometry has recently found several applications in the analysis of neural networks with piecewise linear activation functions. This paper presents a new look at the problem of tropical polynomial division and its application to the simplification of neural networks. We analyze tropical polynomials with real coefficients, extending earlier ideas and methods developed for polynomials with integer coefficients. We first prove the existence of a unique quotient-remainder pair and characterize the quotient in terms of the convex bi-conjugate of a related function. Interestingly, the quotient of tropical polynomials with integer coefficients does not necessarily have integer coefficients. Furthermore, we develop a relationship of tropical polynomial division with the computation of the convex hull of unions of convex polyhedra and use it to derive an exact algorithm for tropical polynomial division. An approximate algorithm is also presented, based on an alternation between data partition and linear programming. We also develop special techniques to divide composite polynomials, described as sums or maxima of simpler ones. Finally, we present some numerical results to illustrate the efficiency of the algorithms proposed, using the MNIST handwritten digit and CIFAR-10 datasets.