通过最优传输理论构建风险驱动的最坏情况生成模型,提升系统鲁棒性评估效率。
Worst-case generation via minimax optimization in Wasserstein space
- 基于Wasserstein空间的极小极大优化,用连续传输映射刻画最坏分布。
- 提出单循环梯度下降-上升算法,实现全局收敛且无需凸凹假设。
- 神经网络参数化传输映射,可免模拟生成最坏情况样本,适合安全评估场景。
最坏情况生成在机器学习模型、电网和医疗预测系统的鲁棒性评估与压力测试中至关重要。本文提出一种基于预设风险的最坏情况生成框架,通过在连续概率分布空间(Wasserstein空间)上进行极小极大优化。不同于传统离散分布鲁棒优化方法存在的可扩展性差、泛化能力有限及最坏情况推断成本高等问题,本方法利用Brenier定理将最不利分布表征为参考测度经连续传输映射的像,从而实现超越经典离散DRO的连续且丰富的风险诱导生成。基于该极小极大形式,提出一种梯度下降上升(GDA)型算法,在单一循环中同步更新决策模型与传输映射,并在温和正则性条件下建立全局收敛性,可能无需凸凹性假设。进一步地,采用神经网络参数化传输映射,通过匹配传输后的训练样本实现联合训练,达成无需模拟的生成方式。在合成数据与图像数据上的数值实验验证了该方法作为风险驱动最坏情况生成器的有效性。
原文摘要 · Abstract (English)
Worst-case generation plays a critical role in evaluating robustness and stress-testing systems under distribution shifts, in applications ranging from machine learning models to power grids and medical prediction systems. We develop a generative modeling framework for worst-case generation for a pre-specified risk, based on min-max optimization over continuous probability distributions, namely the Wasserstein space. Unlike traditional discrete distributionally robust optimization approaches, which often suffer from scalability issues, limited generalization, and costly worst-case inference, our framework exploits the Brenier theorem to characterize the least favorable (worst-case) distribution as the pushforward of a transport map from a continuous reference measure, enabling a continuous and expressive notion of risk-induced generation beyond classical discrete DRO formulations. Based on the min-max formulation, we propose a Gradient Descent Ascent (GDA)-type scheme that updates the decision model and the transport map in a single loop, establishing global convergence guarantees under mild regularity assumptions and possibly without convexity-concavity. We also propose to parameterize the transport map using a neural network that can be trained simultaneously with the GDA iterations by matching the transported training samples, thereby achieving a simulation-free approach. The efficiency of the proposed method as a risk-induced worst-case generator is validated by numerical experiments on synthetic and image data.
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