GenFormer: A Deep-Learning-Based Approach for Generating Multivariate Stochastic Processes

• URL: http://arxiv.org/abs/2402.02010v1
• Date: Sat, 3 Feb 2024 03:50:18 GMT
• Title: GenFormer: A Deep-Learning-Based Approach for Generating Multivariate Stochastic Processes
• Authors: Haoran Zhao, Wayne Isaac Tan Uy
• Abstract summary: We propose a Transformer-based deep learning model that learns a mapping between a Markov state sequence and time series values. The GenFormer model is applied to simulate synthetic wind speed data at various stations in Florida to calculate exceedance probabilities for risk management.
• Score: 5.679243827959339
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Stochastic generators are essential to produce synthetic realizations that preserve target statistical properties. We propose GenFormer, a stochastic generator for spatio-temporal multivariate stochastic processes. It is constructed using a Transformer-based deep learning model that learns a mapping between a Markov state sequence and time series values. The synthetic data generated by the GenFormer model preserves the target marginal distributions and approximately captures other desired statistical properties even in challenging applications involving a large number of spatial locations and a long simulation horizon. The GenFormer model is applied to simulate synthetic wind speed data at various stations in Florida to calculate exceedance probabilities for risk management.

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