Q-Edge: Symmetry-Reduced Quantum Simulation of Structured Extreme Dependence

High-dimensional simulation of multivariate extremes is fundamentally limited by the combinatorial complexity of dependence, often more than by the scarcity of extreme observations. We show that symmetry admits a lossless orbit-space representation that preserves structured extreme dependence while replacing an exponentially large dependence space with a compact set of symmetry classes. Based on this principle, we develop Q-Edge (Quantum Extreme Dependence Engine), a symmetry-reduced quantum framework that operates directly in orbit space, enabling scalable simulation and digital twins of structured extreme systems. By transferring symmetry into the data representation rather than the quantum circuit, Q-Edge allows unconstrained quantum generative models to exploit dramatically reduced state spaces. For a 30-dimensional problem, approximately 1.6 million angular states collapse to 256 orbit states, reducing the required quantum representation from about 21 qubits to 8. Our results establish a general computational principle for scalable quantum simulation of structured extreme dependence.

Physics-informed VAE-EVT for Tail Aware Radio Map Prediction

Ultra-reliable low-latency communication (URLLC) requires precise identification of spatial regions where the signal-to-noise ratio (SNR) falls below an outage threshold. In this context, an outage refers to instances in which SNR falls below a specified threshold, which, for URLLC, can be as stringent as the 0.1% quantile of the SNR distribution. Traditional generative radio map models tend to focus on reconstructing average signal levels, often overlooking the low SNR that is crucial for accurate outage prediction. To address this limitation, we introduce a physics- and tail-informed VAE-EVT (variational autoencoder-extreme value theory) framework that distinctly models both the bulk and tail distribution of SNR. Our approach begins with a physics-informed preprocessing stage that extracts deterministic features, including line-of-sight, shadowing, and distance, from the scene geometry. A dual-latent encoder then captures the bulk SNR using a Gaussian mixture and the tail using a generalized Pareto distribution (GPD). By employing a modified variational objective, the model is trained to jointly supervise both regimes, ensuring focused attention on extreme fading events. Evaluated on the RadioMapSeer dataset, our method achieves an SNR RMSE of 4.83 dB in the outage region defined by the low threshold of 0.1% SNR quantile. This significantly outperforms the state-of-the-art GAN-based model, which records an SNR RMSE of 21.90 dB, with the performance gap widening as the outage threshold becomes more stringent.

High Minima of Gaussian Processes: Overshoots and Minimizer Locations

Let $X(t)$, $t\in K$, be a centred Gaussian process with continuous sample paths on a compact metric space $K$, and let $M=\min_{t\in K}X(t)$. Let $σ_*^2$ denote the minimum covariance energy associated with $X$, and assume that $σ_*^2>0$. Motivated by the results of \cite{chakrabarty2018asymptotic} for smooth Gaussian processes, we show that, conditionally on $M>u$, the scaled overshoot $u(M-u)$ converges, as $u\to\infty$, to an exponential random variable with mean $σ_*^2$. Moreover, every weak subsequential limit of the conditional law of a measurable minimizer of $X$ is an optimal covariance-energy measure. In particular, if this measure is unique, then the conditional law converges weakly to it. The results are illustrated by stationary Gaussian processes, fractional Brownian motion, and fractional Brownian sheet.

An Extreme Value Perspective on Learning Stress Laws

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.

Gradient boosting for extremes: sampling theory and application to insurance

We develop a statistical learning theory for gradient boosting applied to the estimation of covariate-dependent Generalized Pareto (GP) distributions in the context of Peaks-over-Threshold modeling. After an orthogonal reparametrization of the GP likelihood that diagonalizes its Fisher information matrix, we cast the estimation problem within the Empirical Risk Minimization (ERM) framework and derive non-asymptotic error bounds for the boosting estimator. Our analysis accounts for three distinct sources of error in the process: statistical fluctuations, the approximation bias inherent to the asymptotic nature of the GP model-controlled under second-order regular variation-and the approximation error associated with the finite number of boosting iterates, making explicit the resulting bias-variance trade-off. We illustrate the practical benefits of the reparametrization through simulations, showing that it significantly reduces gradient correlation during training and improves convergence stability. The methodology is applied to a medical malpractice insurance dataset from the Texas Department of Insurance, comprising over 18 000 closed claims. The gradient boosting approach yields a good fit for the tail of settlement cost distributions and reveals that the number of days to settlement is the dominant predictor of tail heaviness, consistent with earlier findings in the reserving literature.

Improving Crash Frequency Prediction from Simulated Traffic Conflicts Using Machine Learning Based Microsimulation

Traffic microsimulation combined with surrogate safety measures has increasingly been used as a proactive alternative to historical crash data for predicting crash frequency for current or planned road infrastructure designs. However, existing microsimulation-based safety studies have adopted simplified rule-based behaviour models, which reproduce traffic flow reasonably well but often fail to generate realistic conflict dynamics, limiting crash prediction accuracy. Recent advances in machine learning (ML)-based behaviour models offer a promising opportunity to potentially improve microsimulation realism and crash frequency predictions by learning human driving behaviour directly from large-scale trajectory datasets. To investigate this possibility, traffic microsimulation was conducted for five real-world signalised intersections in Leeds, UK, using both a standard rule-based model and a state-of-the-art ML model. Simulated vehicle trajectories were analysed using a two-dimensional Time-to-Collision metric to identify simulated conflicts, which were then modelled using Extreme Value Theory to predict crash frequency. Results show that conflicts from the ML model yielded crash predictions in line with the real-world crash data, whereas the rule-based model did not permit meaningful predictions, presumably due to a lack of model calibration to the specific simulated intersections. Directly using ML-generated simulated crashes to predict real-world crash frequency also yielded poor results, suggesting that while current ML models can realistically reproduce conflicts, they are not yet able to generate realistic crashes. Overall, the findings demonstrate that ML-based behaviour models are promising for improving crash prediction from simulated conflicts, without a need for location-specific model calibration, and suggest clear future directions for ML-based traffic microsimulation.

Principal Component Analysis for Multivariate Extremes

This chapter explores ways to reduce the dimensionality of the data while preserving key information relevant to the analysis of multivariate extreme values.

Extreme bandits

In many areas of medicine, security, and life sciences, we want to allocate limited resources to different sources in order to detect extreme values. In this paper, we study an efficient way to allocate these resources sequentially under limited feedback. While sequential design of experiments is well studied in bandit theory, the most commonly optimized property is the regret with respect to the maximum mean reward. However, in other problems such as network intrusion detection, we are interested in detecting the most extreme value output by the sources. Therefore, in our work we study extreme regret which measures the efficiency of an algorithm compared to the oracle policy selecting the source with the heaviest tail. We propose the ExtremeHunter algorithm, provide its analysis, and evaluate it empirically on synthetic and real-world experiments.