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

Abstract

Forecasting a stochastic dynamical system rarely means a single number: one wants several observables---future state, threshold event, regime label---each with its own likelihood. Standard multi-task recipes balance per-task losses, tuned or learned. We instead compose the observables' likelihoods in per-task free-routed last-layer beliefs on a shared backbone; this absorbs unit-dependent loss scaling into likelihood parameters learned in the same gradient pass. Stochastic dynamics supply what static benchmarks cannot: computable ground truth for the predictive variance. Results land where theory puts them: on the well-specified, homoscedastic Ornstein--Uhlenbeck process the learned predictive law recovers the analytic kernel and correctly specified baselines tie. On heteroscedastic systems (stochastic Lorenz-63, real air-quality data) the belief's input-dependent variance separates: best single-run NLL on the state and regime tasks, calibration matched only by arms whose NLL it beats, at a fraction of the tuned grids' cost. On the real series the state margin holds across five rolling origins.