arXiv Machine Learning
Aug 27

Forecasting Multiple Observables with SCROLL: Score-Trained Uncertainty for Stochastic Dynamics

The paper introduces SCROLL, a method for forecasting multiple observables in stochastic dynamical systems by composing each observable’s likelihood into per‑task free‑routed last‑layer beliefs on a shared backbone. This approach learns unit‑dependent loss scaling directly from data, enabling accurate predictive variance estimation without separate tuning. Experiments on the Ornstein–Uhlenbeck process, stochastic Lorenz‑63, and real air‑quality data show that SCROLL recovers analytic kernels, achieves superior negative log‑likelihood on state and regime tasks, and maintains calibration while reducing hyper‑parameter search costs.

By Pavel Prochazka