We study Transformers through the perspective of optimal control theory, using tools from continuous-time formulations to derive actionable insights into training and architecture design. This framework improves the performance of existing Transformer models while providing desirable theoretical guarantees, including generalization and robustness. Our framework is designed to be plug-and-play, enabling seamless integration with established Transformer models and requiring only slight changes to the implementation. We conduct seven extensive experiments on tasks motivated by text generation, sentiment analysis, image classification, and point cloud classification. Experimental results show that the framework improves the test performance of the baselines, while being more parameter-efficient. On character-level text generation with nanoGPT, our framework achieves a 46\% reduction in final test loss while using 42\% fewer parameters. On GPT-2, our framework achieves a 9.3\% reduction in final test loss, demonstrating scalability to larger models. To the best of our knowledge, this is the first work that applies optimal control theory to both the training and architecture of Transformers. It offers a new foundation for systematic, theory-driven improvements and moves beyond costly trial-and-error approaches.

We propose Multivariate Quantile Function Forecaster (MQF2), a global probabilistic forecasting method constructed using a multivariate quantile function and investigate its application to multi-horizon forecasting. Prior approaches are either autoregressive, implicitly capturing the dependency structure across time but exhibiting error accumulation with increasing forecast horizons, or multi-horizon sequence-to-sequence models, which do not exhibit error accumulation, but also do typically not model the dependency structure across time steps. MQF2 combines the benefits of both approaches, by directly making predictions in the form of a multivariate quantile function, defined as the gradient of a convex function which we parametrize using input-convex neural networks. By design, the quantile function is monotone with respect to the input quantile levels and hence avoids quantile crossing. We provide two options to train MQF2: with energy score or with maximum likelihood. Experimental results on real-world and synthetic datasets show that our model has comparable performance with state-of-the-art methods in terms of single time step metrics while capturing the time dependency structure.

Quantile regression is an effective technique to quantify uncertainty, fit challenging underlying distributions, and often provide full probabilistic predictions through joint learnings over multiple quantile levels. A common drawback of these joint quantile regressions, however, is quantile crossing, which violates the desirable monotone property of the conditional quantile function. In this work, we propose the Incremental (Spline) Quantile Functions I(S)QF, a flexible and efficient distribution-free quantile estimation framework that resolves quantile crossing with a simple neural network layer. Moreover, I(S)QF inter/extrapolate to predict arbitrary quantile levels that differ from the underlying training ones. Equipped with the analytical evaluation of the continuous ranked probability score of I(S)QF representations, we apply our methods to NN-based times series forecasting cases, where the savings of the expensive re-training costs for non-trained quantile levels is particularly significant. We also provide a generalization error analysis of our proposed approaches under the sequence-to-sequence setting. Lastly, extensive experiments demonstrate the improvement of consistency and accuracy errors over other baselines.