An Extreme Value Perspective on Learning Stress Laws
TL;DR
Self-Similar Generative Estimation (SS-GEN), a method for simulating multivariate tail events and estimating rare-event probabilities in both heavy and light-tailed settings, leverages asymptotic tail structure to enable standard generative models to generate representative extreme samples and estimate rare-event probabilities beyond the observed data.
Abstract
We introduce Self-Similar Generative Estimation (SS-GEN), a method for simulating multivariate tail events and estimating rare-event probabilities in both heavy and light-tailed settings. SS-GEN exploits asymptotic tail structure to decompose the tail distribution into an explicit radial component and a nonparametric angular component, reducing tail learning to a compact-domain problem that can be handled by off-the-shelf deep generative models. The resulting sampler generates representative extreme scenarios and supports probability estimation far beyond the observed data. Under mild nonparametric tail assumptions, we show that the SS-GEN density is asymptotically exact in the tail, with vanishing uniform relative error for regularly varying distributions and vanishing uniform log-relative error for Weibull-type distributions. Unlike existing approaches that rely on specialized architectures or parametric tail specifications, SS-GEN leverages asymptotic tail structure to enable standard generative models to generate representative extreme samples and estimate rare-event probabilities beyond the observed data.