Antonio Malpica-Morales

Lake Yang, Antonio Malpica-Morales, Frank Ioannis Papadakis Wood et al.

Neural ordinary differential equations (Neural ODEs) often fit training trajectories while generalizing poorly to unseen initial conditions and long horizons. We propose MPINeuralODE, which combines a soft physics-informed residual with a Multiple-Initial-Condition (MIC) multiple-shooting curriculum whose ingredients are structurally complementary: the physics term anchors the vector-field magnitude on the support that MIC enlarges. We evaluate along three axes: out-of-sample error, long-horizon stability, and Hamiltonian drift, which together expose whether the learned dynamics recover the underlying vector field. On Lotka-Volterra, MPINeuralODE achieves the lowest out-of-sample and long-horizon MSE among data-driven methods, with a 26% reduction over the baseline Neural ODE, while essentially matching the PINN ablation on Hamiltonian drift.

Antonio Malpica-Morales, Miguel A. Duran-Olivencia, Serafim Kalliadasis

Accurate prediction of electricity day-ahead prices is essential in competitive electricity markets. Although stationary electricity-price forecasting techniques have received considerable attention, research on non-stationary methods is comparatively scarce, despite the common prevalence of non-stationary features in electricity markets. Specifically, existing non-stationary techniques will often aim to address individual non-stationary features in isolation, leaving aside the exploration of concurrent multiple non-stationary effects. Our overarching objective here is the formulation of a framework to systematically model and forecast non-stationary electricity-price time series, encompassing the broader scope of non-stationary behavior. For this purpose we develop a data-driven model that combines an N-dimensional Langevin equation (LE) with a neural-ordinary differential equation (NODE). The LE captures fine-grained details of the electricity-price behavior in stationary regimes but is inadequate for non-stationary conditions. To overcome this inherent limitation, we adopt a NODE approach to learn, and at the same time predict, the difference between the actual electricity-price time series and the simulated price trajectories generated by the LE. By learning this difference, the NODE reconstructs the non-stationary components of the time series that the LE is not able to capture. We exemplify the effectiveness of our framework using the Spanish electricity day-ahead market as a prototypical case study. Our findings reveal that the NODE nicely complements the LE, providing a comprehensive strategy to tackle both stationary and non-stationary electricity-price behavior. The framework's dependability and robustness is demonstrated through different non-stationary scenarios by comparing it against a range of basic naive methods.