An innovative approach to deal with heteroscedastic processes

It has been published, on Water Resources Research, my first paper:
Dynamic modelling of predictive uncertainty by regression on absolute errors

This work is the follow-up of my master thesis, in which I developed, under the supervision of Francesca Pianosi, a model for the predictive uncertainty of the inflow to the Verbano Lake.
In fact, the inflow forecast is very often an heteroscedastic process, which means that the variance changes on time. The key idea is considering the variance itself as an hydrological process. Then you can build up a dynamic model of the variance.
The innovation, worth a publication, has been the use of absolute error to estimate the variance, instead of squared error, as typically done.
I will present this research at the 3rd Workshop on Statistical Methods for Hydrology and Water Resources Management, during the Non-stationarity and reservoir management session, on the 1st of October, in Tunisia.

That day I will also turn 30!

Hydroinformatic conference, 14th-18th July

From 14th to 18th July, the Hydroinformatic conference will be held in Hamburg, Germany.

I will be there with two presentation: the first is an application of MPC to Salto Grande, a reservoir for energy production located in Uruguay. This test case use real weather forecasts for anticipatory water management. If we get the results on time, i will also show how to use ensemble forecasts for control, in the Tree-Based MPC algorithm. The second presentation will be an application of Stochastic Approximation Algorithm (SAA). SAA is a promising technique to solve stochastic optimization in a short time, which is a requirement of real time control application, as MPC is.
The conference will be a good occasion to meet people working on arguments close to the theme of this blog, which is : "how to use information for decisions in the water sector". I will be there together with Dirk Schwanenberg, my supervisor at Deltares, P.J. van Overloop, daily supervisor at TU Delft, and many others, among which: Jan Talsma from Deltares, and Francesca Pianosi, from Politecnico di Milano. The list of colleagues and friends joining the conference is probably to be extended...