Diffusion-Based Scenario Tree Generation for Multivariate Time Series Prediction and Multistage Stochastic Optimization
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Abstract (arXiv)
Stochastic forecasting is critical for efficient decision-making in uncertain systems, such as energy markets and finance, where estimating the full distribution of future scenarios is essential. We propose Diffusion Scenario Tree (DST), a general framework for constructing scenario trees using diffusion-based probabilistic forecasting models to provide a structured model of system evolution for control tasks. DST recursively samples future trajectories and organizes them into a tree via clustering, ensuring non-anticipativity (decisions depending only on observed history) at each stage, offering a superior representation of uncertainty compared to using predictive models solely for forecasting system evolution. We integrate DST into Model Predictive Control (MPC) and evaluate it on energy arbitrage in New York State's day-ahead electricity market. Experimental results show that our approach significantly outperforms the same optimization algorithms that use scenario trees generated by more conventional models. Furthermore, using DST for stochastic optimization yields more efficient decision policies by better handling uncertainty than deterministic and stochastic MPC variants using the same diffusion-based forecaster, and simple Model-Free Reinforcement Learning (RL) baselines.
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References · 14
- 2020Denoising Diffusion Probabilistic Modelscited by 21,076
- 2020Denoising Diffusion Implicit Modelscited by 9,781
- 2022Planning with Diffusion for Flexible Behavior Synthesiscited by 1,061
- 2022DPM-Solver++: Fast Solver for Guided Sampling of Diffusion Probabilistic Modelscited by 938
- 2022Diffusion Policies as an Expressive Policy Class for Offline Reinforcement Learningcited by 562
- 2021Autoregressive Denoising Diffusion Models for Multivariate Probabilistic Time Series Forecastingcited by 337
- 2014From Predictive to Prescriptive Analyticscited by 143
- 2023Synthetic Experience Replaycited by 101
- 2024TimeDiT: General-purpose Diffusion Transformers for Time Series Foundation Modelcited by 33
- 2021Reinforcement Learning based on Scenario-tree MPC for ASVscited by 8
- 2021Problem-Driven Scenario Clustering in Stochastic Optimizationcited by 6
- 2024A Financial Time Series Denoiser Based on Diffusion Modelcited by 6
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- 2026Control-Oriented Scenario Tree Construction through Reinforcement Learning
- 2026Diff2SP: Diffusion Models for Correlated Scenario Generation in Stochastic Programming
- 2025The day-ahead scenario generation method for new energy based on an improved conditional generative diffusion model
- 2026DynG-Diff: A State-Aware Dynamic Guidance Diffusion Framework for Probabilistic Time Series Forecasting
- 2022Denoising diffusion probabilistic models for probabilistic energy forecasting
- 2023The Bayesian Context Trees State Space Model for time series modelling and forecasting
- 2025Elucidated Rolling Diffusion Models for Probabilistic Forecasting of Complex Dynamics
- 2026Quantile-Guided Diffusion for Probabilistic Time-Series Forecasting