Anna Scampicchio

Laura Boca de Giuli, Alessio La Bella, Manish Prajapat et al.

A key challenge in learning-based model predictive control (MPC) is to collect informative data online for model adaptation while ensuring safety and without penalising control performance. In this paper, we propose an online model adaptation scheme embedded within an MPC framework in which the last-layer parameters of a recurrent neural network are recursively updated via Bayesian learning. This is achieved by means of a goal-oriented safe active learning algorithm that alternates between an exploration phase, where the MPC actively explores system dynamics to collect informative data for model adaptation while still pursuing the main control objective, and a goal-reaching phase, where it focuses exclusively on the main control objective. The algorithm is complemented with theoretical guarantees of (i) recursive feasibility, (ii) safety, (iii) termination of exploration in finite time, and (iv) close-to-optimal performance. Simulation results on a benchmark energy system demonstrate that the proposed framework achieves economic performance comparable to that of an MPC with full system knowledge, while progressively improving model accuracy and respecting operational safety constraints with high probability.

Amon Lahr, Anna Scampicchio, Johannes Köhler et al.

Non-conservative uncertainty bounds are essential for making reliable predictions about latent functions from noisy data--and thus, a key enabler for safe learning-based control. In this domain, kernel methods such as Gaussian process regression are established techniques, thanks to their inherent uncertainty quantification mechanism. Still, existing bounds either pose strong assumptions on the underlying noise distribution, are conservative, do not scale well in the multi-output case, or are difficult to integrate into downstream tasks. This paper addresses these limitations by presenting a tight, distribution-free bound for multi-output kernel-based estimates. It is obtained through an unconstrained, duality-based formulation, which shares the same structure of classic Gaussian process confidence bounds and can thus be straightforwardly integrated into downstream optimization pipelines. We show that the proposed bound generalizes many existing results and illustrate its application using an example inspired by quadrotor dynamics learning.

Anna Scampicchio, Leonardo F. Toso, Rahel Rickenbach et al.

A major challenge in physics-informed machine learning is to understand how the incorporation of prior domain knowledge affects learning rates when data are dependent. Focusing on empirical risk minimization with physics-informed regularization, we derive complexity-dependent bounds on the excess risk in probability and in expectation. We prove that, when the physical prior information is aligned, the learning rate improves from the (slow) Sobolev minimax rate to the (fast) optimal i.i.d. one without any sample-size deflation due to data dependence.

Amon Lahr, Johannes Köhler, Anna Scampicchio et al.

Non-conservative uncertainty bounds are key for both assessing an estimation algorithm's accuracy and in view of downstream tasks, such as its deployment in safety-critical contexts. In this paper, we derive a tight, non-asymptotic uncertainty bound for kernel-based estimation, which can also handle correlated noise sequences. Its computation relies on a mild norm-boundedness assumption on the unknown function and the noise, returning the worst-case function realization within the hypothesis class at an arbitrary query input location. The value of this function is shown to be given in terms of the posterior mean and covariance of a Gaussian process for an optimal choice of the measurement noise covariance. By rigorously analyzing the proposed approach and comparing it with other results in the literature, we show its effectiveness in returning tight and easy-to-compute bounds for kernel-based estimates.

Enea Monzio Compagnoni, Anna Scampicchio, Luca Biggio et al.

Many finance, physics, and engineering phenomena are modeled by continuous-time dynamical systems driven by highly irregular (stochastic) inputs. A powerful tool to perform time series analysis in this context is rooted in rough path theory and leverages the so-called Signature Transform. This algorithm enjoys strong theoretical guarantees but is hard to scale to high-dimensional data. In this paper, we study a recently derived random projection variant called Randomized Signature, obtained using the Johnson-Lindenstrauss Lemma. We provide an in-depth experimental evaluation of the effectiveness of the Randomized Signature approach, in an attempt to showcase the advantages of this reservoir to the community. Specifically, we find that this method is preferable to the truncated Signature approach and alternative deep learning techniques in terms of model complexity, training time, accuracy, robustness, and data hungriness.