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Researcher profile

Yannig Goude

Yannig Goude contributes to research discovery and scholarly infrastructure.

ResearcherAffiliation not importedOpen to collaborate
Machine LearningApplicationsMethodologyComputationmath.STNeural and Evolutionary ComputingStatistics Theory

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Published work

8 published item(s)

preprint2026arXiv

Hedging Memory Horizons for Non-Stationary Prediction via Online Aggregation

We study online prediction under distribution shift, where inputs arrive chronologically and outcomes are revealed only after prediction. In this setting, predictors must remain stable in quiet regimes yet adapt when regimes shift, and the right adaptation memory is unknown in advance. We propose MELO (Memory-hedged Exponentially Weighted Least-Squares Online aggregation), a model-agnostic method that hedges across adaptation scales: it wraps any non-anticipating base-predictor pool with exponentially weighted least-squares (EWLS) adaptation experts at multiple forgetting factors, and aggregates raw and EWLS-adapted forecasts with MLpol, a parameter-free online aggregation rule. Under boundedness conditions, we establish deterministic oracle inequalities showing that it competes with both the best raw predictor and the best bounded, time-varying affine combinations of the base predictions, up to a path-length-dependent tracking cost and a sublinear aggregation overhead. We evaluate MELO on French national electricity-load forecasting through the COVID-19 lockdown using no regime indicators, lockdown dates, or policy covariates. MELO reduces overall RMSE by 34.7\% relative to base-only MLpol and achieves lower overall RMSE than a TabICL reference supplied with an external COVID policy-response covariate. Moreover, MELO requires only lightweight per-step recursive updates without model retraining.

0 citations0 reviewsNo code linkedOpen access
preprint2026arXiv

SerpentFlow: Generative Unpaired Domain Alignment via Shared-Structure Decomposition

Domain alignment refers broadly to learning correspondences between data distributions from distinct domains. In this work, we focus on a setting where domains share underlying structural patterns despite differences in their specific realizations. The task is particularly challenging in the absence of paired observations, which removes direct supervision across domains. We introduce a generative framework, called SerpentFlow (SharEd-structuRe decomPosition for gEnerative domaiN adapTation), for unpaired domain alignment. SerpentFlow decomposes data within a latent space into a shared component common to both domains and a domain-specific one. By isolating the shared structure and replacing the domain-specific component with stochastic noise, we construct synthetic training pairs between shared representations and target-domain samples, thereby enabling the use of conditional generative models that are traditionally restricted to paired settings. We apply this approach to super-resolution tasks, where the shared component naturally corresponds to low-frequency content while high-frequency details capture domain-specific variability. The cutoff frequency separating low- and high-frequency components is determined automatically using a classifier-based criterion, ensuring a data-driven and domain-adaptive decomposition. By generating pseudo-pairs that preserve low-frequency structures while injecting stochastic high-frequency realizations, we learn the conditional distribution of the target domain given the shared representation. We implement SerpentFlow using Flow Matching as the generative pipeline, although the framework is compatible with other conditional generative approaches. Experiments on synthetic images, physical process simulations, and a climate downscaling task demonstrate that the method effectively reconstructs high-frequency structures consistent with underlying low-frequency patterns, supporting shared-structure decomposition as an effective strategy for unpaired domain alignment.

0 citations0 reviewsNo code linkedOpen access
preprint2022arXiv

Adaptive Conformal Predictions for Time Series

Uncertainty quantification of predictive models is crucial in decision-making problems. Conformal prediction is a general and theoretically sound answer. However, it requires exchangeable data, excluding time series. While recent works tackled this issue, we argue that Adaptive Conformal Inference (ACI, Gibbs and Cand{è}s, 2021), developed for distribution-shift time series, is a good procedure for time series with general dependency. We theoretically analyse the impact of the learning rate on its efficiency in the exchangeable and auto-regressive case. We propose a parameter-free method, AgACI, that adaptively builds upon ACI based on online expert aggregation. We lead extensive fair simulations against competing methods that advocate for ACI's use in time series. We conduct a real case study: electricity price forecasting. The proposed aggregation algorithm provides efficient prediction intervals for day-ahead forecasting. All the code and data to reproduce the experiments is made available.

0 citations0 reviewsNo code linkedOpen access
preprint2021arXiv

Transfer Learning for Linear Regression: a Statistical Test of Gain

Transfer learning, also referred as knowledge transfer, aims at reusing knowledge from a source dataset to a similar target one. While many empirical studies illustrate the benefits of transfer learning, few theoretical results are established especially for regression problems. In this paper a theoretical framework for the problem of parameter transfer for the linear model is proposed. It is shown that the quality of transfer for a new input vector $x$ depends on its representation in an eigenbasis involving the parameters of the problem. Furthermore a statistical test is constructed to predict whether a fine-tuned model has a lower prediction quadratic risk than the base target model for an unobserved sample. Efficiency of the test is illustrated on synthetic data as well as real electricity consumption data.

0 citations0 reviewsNo code linkedOpen access
preprint2020arXiv

Adaptive Methods for Short-Term Electricity Load Forecasting During COVID-19 Lockdown in France

The coronavirus disease 2019 (COVID-19) pandemic has urged many governments in the world to enforce a strict lockdown where all nonessential businesses are closed and citizens are ordered to stay at home. One of the consequences of this policy is a significant change in electricity consumption patterns. Since load forecasting models rely on calendar or meteorological information and are trained on historical data, they fail to capture the significant break caused by the lockdown and have exhibited poor performances since the beginning of the pandemic. This makes the scheduling of the electricity production challenging, and has a high cost for both electricity producers and grid operators. In this paper we introduce adaptive generalized additive models using Kalman filters and fine-tuning to adjust to new electricity consumption patterns. Additionally, knowledge from the lockdown in Italy is transferred to anticipate the change of behavior in France. The proposed methods are applied to forecast the electricity demand during the French lockdown period, where they demonstrate their ability to significantly reduce prediction errors compared to traditional models. Finally expert aggregation is used to leverage the specificities of each predictions and enhance results even further.

0 citations0 reviewsNo code linkedOpen access
preprint2020arXiv

Additive stacking for disaggregate electricity demand forecasting

Future grid management systems will coordinate distributed production and storage resources to manage, in a cost effective fashion, the increased load and variability brought by the electrification of transportation and by a higher share of weather dependent production. Electricity demand forecasts at a low level of aggregation will be key inputs for such systems. We focus on forecasting demand at the individual household level, which is more challenging than forecasting aggregate demand, due to the lower signal-to-noise ratio and to the heterogeneity of consumption patterns across households. We propose a new ensemble method for probabilistic forecasting, which borrows strength across the households while accommodating their individual idiosyncrasies. In particular, we develop a set of models or 'experts' which capture different demand dynamics and we fit each of them to the data from each household. Then we construct an aggregation of experts where the ensemble weights are estimated on the whole data set, the main innovation being that we let the weights vary with the covariates by adopting an additive model structure. In particular, the proposed aggregation method is an extension of regression stacking (Breiman, 1996) where the mixture weights are modelled using linear combinations of parametric, smooth or random effects. The methods for building and fitting additive stacking models are implemented by the gamFactory R package, available at https://github.com/mfasiolo/gamFactory.

0 citations0 reviewsNo code linkedOpen access
preprint2020arXiv

Kalman Recursions Aggregated Online

In this article, we aim at improving the prediction of expert aggregation by using the underlying properties of the models that provide expert predictions. We restrict ourselves to the case where expert predictions come from Kalman recursions, fitting state-space models. By using exponential weights, we construct different algorithms of Kalman recursions Aggregated Online (KAO) that compete with the best expert or the best convex combination of experts in a more or less adaptive way. We improve the existing results on expert aggregation literature when the experts are Kalman recursions by taking advantage of the second-order properties of the Kalman recursions. We apply our approach to Kalman recursions and extend it to the general adversarial expert setting by state-space modeling the errors of the experts. We apply these new algorithms to a real dataset of electricity consumption and show how it can improve forecast performances comparing to other exponentially weighted average procedures.

0 citations0 reviewsNo code linkedOpen access
preprint2020arXiv

qgam: Bayesian non-parametric quantile regression modelling in R

Generalized additive models (GAMs) are flexible non-linear regression models, which can be fitted efficiently using the approximate Bayesian methods provided by the mgcv R package. While the GAM methods provided by mgcv are based on the assumption that the response distribution is modelled parametrically, here we discuss more flexible methods that do not entail any parametric assumption. In particular, this article introduces the qgam package, which is an extension of mgcv providing fast calibrated Bayesian methods for fitting quantile GAMs (QGAMs) in R. QGAMs are based on a smooth version of the pinball loss of Koenker (2005), rather than on a likelihood function, hence jointly achieving satisfactory accuracy of the quantile point estimates and coverage of the corresponding credible intervals requires adopting the specialized Bayesian fitting framework of Fasiolo, Wood, Zaffran, Nedellec, and Goude (2020b). Here we detail how this framework is implemented in qgam and we provide examples illustrating how the package should be used in practice.

0 citations0 reviewsNo code linkedOpen access