用生成式深度学习模拟高维角度数据,比传统方法更灵活有效。
Generative Machine Learning for Multivariate Angular Simulation
- 采用GAN、归一化流等生成模型捕捉高维角度数据复杂结构
- 在真实海洋气象数据上表现优异,优于经典混合vMF模型
- 适合处理高维极端事件模拟,对风险建模者有实用价值
随着多变量极值几何与角向-径向框架的发展,可靠地在中高维空间模拟角度变量变得愈发重要。经验方法虽简单,在低维下表现尚可,但维度增加时灵活性和可扩展性不足。传统参数化角度模型如von Mises-Fisher分布(vMF)提供替代方案,通过有限混合vMF可提升灵活性,但在固定成分数下仍难以捕捉数据中的复杂特征。生成式深度学习因其强表达能力,具备模拟多变量角度变量的潜力。本文引入多种深度学习方法,包括生成对抗网络、归一化流与流匹配,并通过多种指标评估其性能,对比经典有限混合vMF方法。方法应用于真实海洋气象数据集,诊断结果表明表现良好,验证了其在复杂现实数据中的适用性。
原文摘要 · Abstract (English)
With the recent development of new geometric and angular-radial frameworks for multivariate extremes, reliably simulating from angular variables in moderate-to-high dimensions is of increasing importance. Empirical approaches have the benefit of simplicity, and work reasonably well in low dimensions, but as the number of variables increases, they can lack the required flexibility and scalability. Classical parametric models for angular variables, such as the von Mises--Fisher distribution (vMF), provide an alternative. Exploiting finite mixtures of vMF distributions increases their flexibility, but there are cases where, without letting the number of mixture components grow considerably, a mixture model with a fixed number of components is not sufficient to capture the intricate features that can arise in data. Owing to their flexibility, generative deep learning methods are able to capture complex data structures; they therefore have the potential to be useful in the simulation of multivariate angular variables. In this paper, we introduce a range of deep learning approaches for this task, including generative adversarial networks, normalizing flows and flow matching. We assess their performance via a range of metrics, and make comparisons to the more classical approach of using a finite mixture of vMF distributions. The methods are also applied to a metocean data set, with diagnostics indicating strong performance, demonstrating the applicability of such techniques to real-world, complex data structures.
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