Analysis and simulation of extremes and rare events in complex systems
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Publication:5131679
DOI10.1007/978-3-030-51264-4_7zbMATH Open1454.37079arXiv2005.07573OpenAlexW3093100483MaRDI QIDQ5131679FDOQ5131679
Authors: Meagan Carney, Holger Kantz, Matthew Nicol 
Publication date: 9 November 2020
Published in: Advances in Dynamics, Optimization and Computation (Search for Journal in Brave)
Abstract: Rare weather and climate events, such as heat waves and floods, can bring tremendous social costs. Climate data is often limited in duration and spatial coverage, and climate forecasting has often turned to simulations of climate models to make better predictions of rare weather events. However very long simulations of complex models, in order to obtain accurate probability estimates, may be prohibitively slow. It is an important scientific problem to develop probabilistic and dynamical techniques to estimate the probabilities of rare events accurately from limited data. In this paper we compare four modern methods of estimating the probability of rare events: the generalized extreme value (GEV) method from classical extreme value theory; two importance sampling techniques, genealogical particle analysis (GPA) and the Giardina-Kurchan-Lecomte-Tailleur (GKLT) algorithm; as well as brute force Monte Carlo (MC). With these techniques we estimate the probabilities of rare events in three dynamical models: the Ornstein-Uhlenbeck process, the Lorenz '96 system and PlaSim (a climate model). We keep the computational effort constant and see how well the rare event probability estimation of each technique compares to a gold standard afforded by a very long run control. Somewhat surprisingly we find that classical extreme value theory methods outperform GPA, GKLT and MC at estimating rare events.
Full work available at URL: https://arxiv.org/abs/2005.07573
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Extreme value theory; extremal stochastic processes (60G70) Climate science and climate modeling (86A08) Simulation of dynamical systems (37M05)
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Cited In (7)
- Effects of stochastic parametrization on extreme value statistics
- Anatomy of extreme events in a complex adaptive system
- The likely determines the unlikely
- Scalable methods for computing sharp extreme event probabilities in infinite-dimensional stochastic systems
- Computing return times or return periods with rare event algorithms
- Computation of extreme heat waves in climate models using a large deviation algorithm
- Computation of extreme values of time averaged observables in climate models with large deviation techniques
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