Extreme value theory (EVT) is well suited to model extreme events, such as floods, heatwaves, or mechanical failures, which is required for reliability assessment of systems across multiple domains for risk management and loss prevention. The block maxima (BM) method, a particular approach within EVT, starts by dividing the historical observations into blocks. Then the sample of the maxima for each block can be shown, under some assumptions, to converge to a known class of distributions, which can then be used for analysis. The question of automatic (i.e., without explicit expert input) selection of the block size remains an open challenge. This work proposes a novel Bayesian framework, namely, multi-objective Bayesian optimization (MOBO-D*), to optimize BM blocking for accurate modeling and prediction of extremes in EVT. MOBO-D* formulates two objectives: goodness-of-fit of the distribution of extreme events and the accurate prediction of extreme events to construct an estimated Pareto front for optimal blocking choices. The efficacy of the proposed framework is illustrated by applying it to a real-world case study from the domain of additive manufacturing as well as a synthetic dataset. MOBO-D* outperforms a number of benchmarks and can be naturally extended to high-dimensional cases. The computational experiments show that it can be a promising approach in applications that require repeated automated block size selection, such as optimization or analysis of many datasets at once.
翻译:极值理论(EVT)非常适合对洪水、热浪或机械故障等极端事件进行建模,这些建模对于跨多个领域的系统可靠性评估、风险管理和损失预防至关重要。块最大值(BM)方法是EVT中的一种特定方法,首先将历史观测数据划分为多个块。随后,在满足某些假设条件下,可以证明每个块的最大值样本会收敛到一类已知的分布,进而可用于分析。如何自动(即无需明确的专家输入)选择块大小仍然是一个悬而未决的挑战。本研究提出了一种新颖的贝叶斯框架,即多目标贝叶斯优化(MOBO-D*),用于优化BM分块,以实现EVT中极端事件的精确建模与预测。MOBO-D*设定了两个优化目标:极端事件分布的良好拟合度与极端事件的准确预测能力,以此构建一个估计的帕累托前沿,从而确定最优分块方案。通过将其应用于增材制造领域的真实案例研究以及一个合成数据集,证明了所提框架的有效性。MOBO-D*在多项基准测试中表现优异,并且可以自然地扩展到高维情况。计算实验表明,对于需要重复自动选择块大小的应用场景(例如一次性对多个数据集进行优化或分析),该方法是一种颇具前景的途径。