Extreme Event Aware (η-) Learning

Quantifying and predicting rare and extreme events is challenging because such events are infrequent, severe, and expensive to simulate. Existing data-driven methods often require multiple extremes in the training data or sampling process, leading to accurate predictions in quiescent regimes but high epistemic uncertainty in extreme-event regions. To overcome this limitation, we introduce Extreme Event Aware (η-) Learning, which does not require extreme events in the available data. The method reduces uncertainty even in uncharted extreme regimes by enforcing during training the statistics of an observable indicative of extremeness, obtained from qualitative knowledge or unlabeled data. This statistical regularization results in models that fit observed data while remaining consistent with prescribed observable statistics, enabling the generation of unprecedented extreme events. Optimal-transport-based theoretical results offer rigorous justification and establish key optimality properties. Numerical experiments on prototype systems and real-world precipitation downscaling problems demonstrate the effectiveness of the η-learning framework.