Extreme Event Aware ($η$-) Learning
This addresses a crucial problem for researchers and practitioners in fields like climate science and engineering by providing a method to predict extreme events more reliably, though it appears incremental as it builds on existing data-driven approaches with a novel regularization technique.
The paper tackles the challenge of predicting rare and extreme events in complex dynamical systems, where existing methods fail due to high uncertainty in extreme regions, and introduces Extreme Event Aware (η-) learning, which reduces uncertainty and generates unprecedented extreme events even without such events in training data, as demonstrated through numerical experiments on prototype and real-world problems.
Quantifying and predicting rare and extreme events persists as a crucial yet challenging task in understanding complex dynamical systems. Many practical challenges arise from the infrequency and severity of these events, including the considerable variance of simple sampling methods and the substantial computational cost of high-fidelity numerical simulations. Numerous data-driven methods have recently been developed to tackle these challenges. However, a typical assumption for the success of these methods is the occurrence of multiple extreme events, either within the training dataset or during the sampling process. This leads to accurate models in regions of quiescent events but with high epistemic uncertainty in regions associated with extremes. To overcome this limitation, we introduce Extreme Event Aware (e2a or eta) or $η$-learning which does not assume the existence of extreme events in the available data. $η$-learning reduces the uncertainty even in `uncharted' extreme event regions, by enforcing the extreme event statistics of an observable indicative of extremeness during training, which can be available through qualitative arguments or estimated with unlabeled data. This type of statistical regularization results in models that fit the observed data, while enforcing consistency with the prescribed observable statistics, enabling the generation of unprecedented extreme events even when the training data lack extremes therein. Theoretical results based on optimal transport offer a rigorous justification and highlight the optimality of the introduced method. Additionally, extensive numerical experiments illustrate the favorable properties of the $η$-learning framework on several prototype problems and real-world precipitation downscaling problems.