Neural Predictive Control to Coordinate Discrete- and Continuous-Time Models for Time-Series Analysis with Control-Theoretical Improvements

TL;DR

This paper introduces a control-theoretic approach to time-series analysis using neural ODEs, optimizing control actions for improved robustness and generalization across diverse datasets.

Contribution

It recasts time-series modeling as an optimal control problem, integrating discrete and continuous models with model predictive control for enhanced performance.

Findings

Outperforms state-of-the-art methods in generalization and adaptability

Guarantees exponential convergence to optimal solutions

Demonstrates robustness under distributional shifts

Abstract

Deep sequence models have achieved notable success in time-series analysis, such as interpolation and forecasting. Recent advances move beyond discrete-time architectures like Recurrent Neural Networks (RNNs) toward continuous-time formulations such as the family of Neural Ordinary Differential Equations (Neural ODEs). Generally, they have shown that capturing the underlying dynamics is beneficial for generic tasks like interpolation, extrapolation, and classification. However, existing methods approximate the dynamics using unconstrained neural networks, which struggle to adapt reliably under distributional shifts. In this paper, we recast time-series problems as the continuous ODE-based optimal control problem. Rather than learning dynamics solely from data, we optimize control actions that steer ODE trajectories toward task objectives, bringing control-theoretical performance guarantees. To achieve this goal, we need to (1) design the appropriate control actions and (2) apply effective optimal control algorithms. As the actions should contain rich context information, we propose to employ the discrete-time model to process past sequences and generate actions, leading to a coordinate model to extract long-term temporal features to modulate short-term continuous dynamics. During training, we apply model predictive control to plan multi-step future trajectories, minimize a task-specific cost, and greedily select the optimal current action. We show that, under mild assumptions, this multi-horizon optimization leads to exponential convergence to infinite-horizon solutions, indicating that the coordinate model can gain robust and generalizable performance. Extensive experiments on diverse time-series datasets validate our method's superior generalization and adaptability compared to state-of-the-art baselines.