用深度学习建模海洋气象变量极端值联合分布,提升预测精度与灵活性。
Deep learning joint extremes of metocean variables using the SPAR model
- 基于极坐标转换,用核密度估计角度,神经网络拟合径向尾部参数。
- 在5个变量上验证,能有效捕捉极端事件的联合分布特征。
- 减少分布假设,支持外推,适合海上工程风险评估场景。
本文提出一种基于半参数角-径向(SPAR)模型的深度学习框架,用于估计多变量海洋气象极端值的联合分布。在极坐标下,该问题转化为建模角度密度和给定角度下径向变量尾部的条件分布。SPAR方法中,径向尾部采用广义帕累托(GP)分布,自然扩展了单变量极值理论至多变量情形。本研究将该方法应用于高维情况,以风速、风向、波高、波周期和波向五个变量为例。角度变量使用核密度估计,而GP模型参数通过全连接深度神经网络近似。该方法具有强依赖结构表达能力,训练计算高效。相比现有方法,其对基础分布的假设更少,并具备渐近合理的外推机制。通过多种诊断图,表明拟合模型能良好描述所考虑变量的联合极端特性。
原文摘要 · Abstract (English)
This paper presents a novel deep learning framework for estimating multivariate joint extremes of metocean variables, based on the Semi-Parametric Angular-Radial (SPAR) model. When considered in polar coordinates, the problem of modelling multivariate extremes is transformed to one of modelling an angular density, and the tail of a univariate radial variable conditioned on angle. In the SPAR approach, the tail of the radial variable is modelled using a generalised Pareto (GP) distribution, providing a natural extension of univariate extreme value theory to the multivariate setting. In this work, we show how the method can be applied in higher dimensions, using a case study for five metocean variables: wind speed, wind direction, wave height, wave period, and wave direction. The angular variable is modelled using a kernel density method, while the parameters of the GP model are approximated using fully-connected deep neural networks. Our approach provides great flexibility in the dependence structures that can be represented, together with computationally efficient routines for training the model. Furthermore, the application of the method requires fewer assumptions about the underlying distribution(s) compared to existing approaches, and an asymptotically justified means for extrapolating outside the range of observations. Using various diagnostic plots, we show that the fitted models provide a good description of the joint extremes of the metocean variables considered.
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