Generative Machine Learning for Multivariate Angular Simulation

Abstract

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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