Mamba time series forecasting with uncertainty propagation

State space models, such as Mamba, have recently garnered attention in time series forecasting due to their ability to capture sequence patterns. However, in electricity consumption benchmarks, Mamba forecasts exhibit a mean error of approximately 8\%. Similarly, in traffic occupancy benchmarks, the mean error reaches 18\%. This discrepancy leaves us to wonder whether the prediction is simply inaccurate or falls within error given spread in historical data. To address this limitation, we propose a method to quantify the predictive uncertainty of Mamba forecasts. Here, we propose a dual-network framework based on the Mamba architecture for probabilistic forecasting, where one network generates point forecasts while the other estimates predictive uncertainty by modeling variance. We abbreviate our tool, Mamba with probabilistic time series forecasting, as Mamba-ProbTSF and the code for its implementation is available on GitHub (https://github.com/PessoaP/Mamba-ProbTSF). Evaluating this approach on synthetic and real-world benchmark datasets, we find Kullback-Leibler divergence between the learned distributions and the data--which, in the limit of infinite data, should converge to zero if the model correctly captures the underlying probability distribution--reduced to the order of $10^{-3}$ for synthetic data and $10^{-1}$ for real-world benchmark, demonstrating its effectiveness. We find that in both the electricity consumption and traffic occupancy benchmark, the true trajectory stays within the predicted uncertainty interval at the two-sigma level about 95\% of the time. We end with a consideration of potential limitations, adjustments to improve performance, and considerations for applying this framework to processes for purely or largely stochastic dynamics where the stochastic changes accumulate, as observed for example in pure Brownian motion or molecular dynamics trajectories.

Avoiding subtraction and division of stochastic signals using normalizing flows: NFdeconvolve

Across the scientific realm, we find ourselves subtracting or dividing stochastic signals. For instance, consider a stochastic realization, $x$, generated from the addition or multiplication of two stochastic signals $a$ and $b$, namely $x=a+b$ or $x = ab$. For the $x=a+b$ example, $a$ can be fluorescence background and $b$ the signal of interest whose statistics are to be learned from the measured $x$. Similarly, when writing $x=ab$, $a$ can be thought of as the illumination intensity and $b$ the density of fluorescent molecules of interest. Yet dividing or subtracting stochastic signals amplifies noise, and we ask instead whether, using the statistics of $a$ and the measurement of $x$ as input, we can recover the statistics of $b$. Here, we show how normalizing flows can generate an approximation of the probability distribution over $b$, thereby avoiding subtraction or division altogether. This method is implemented in our software package, NFdeconvolve, available on GitHub with a tutorial linked in the main text.

Re-thinking Richardson-Lucy without Iteration Cutoffs: Physically Motivated Bayesian Deconvolution

Richardson-Lucy deconvolution is widely used to restore images from degradation caused by the broadening effects of a point spread function and corruption by photon shot noise, in order to recover an underlying object. In practice, this is achieved by iteratively maximizing a Poisson emission likelihood. However, the RL algorithm is known to prefer sparse solutions and overfit noise, leading to high-frequency artifacts. The structure of these artifacts is sensitive to the number of RL iterations, and this parameter is typically hand-tuned to achieve reasonable perceptual quality of the inferred object. Overfitting can be mitigated by introducing tunable regularizers or other ad hoc iteration cutoffs in the optimization as otherwise incorporating fully realistic models can introduce computational bottlenecks. To resolve these problems, we present Bayesian deconvolution, a rigorous deconvolution framework that combines a physically accurate image formation model avoiding the challenges inherent to the RL approach. Our approach achieves deconvolution while satisfying the following desiderata: I deconvolution is performed in the spatial domain (as opposed to the frequency domain) where all known noise sources are accurately modeled and integrated in the spirit of providing full probability distributions over the density of the putative object recovered; II the probability distribution is estimated without making assumptions on the sparsity or continuity of the underlying object; III unsupervised inference is performed and converges to a stable solution with no user-dependent parameter tuning or iteration cutoff; IV deconvolution produces strictly positive solutions; and V implementation is amenable to fast, parallelizable computation.