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Deep Archimedean Copulas
Chun Kai Ling · Fei Fang · J. Zico Kolter

Thu Dec 10 09:00 PM -- 11:00 PM (PST) @ Poster Session 6 #1754

A central problem in machine learning and statistics is to model joint densities of random variables from data. Copulas are joint cumulative distribution functions with uniform marginal distributions and are used to capture interdependencies in isolation from marginals. Copulas are widely used within statistics, but have not gained traction in the context of modern deep learning. In this paper, we introduce ACNet, a novel differentiable neural network architecture that enforces structural properties and enables one to learn an important class of copulas--Archimedean Copulas. Unlike Generative Adversarial Networks, Variational Autoencoders, or Normalizing Flow methods, which learn either densities or the generative process directly, ACNet learns a generator of the copula, which implicitly defines the cumulative distribution function of a joint distribution. We give a probabilistic interpretation of the network parameters of ACNet and use this to derive a simple but efficient sampling algorithm for the learned copula. Our experiments show that ACNet is able to both approximate common Archimedean Copulas and generate new copulas which may provide better fits to data.

Author Information

Chun Kai Ling (Carnegie Mellon University)
Fei Fang (Carnegie Mellon University)
J. Zico Kolter (Carnegie Mellon University / Bosch Center for AI)

Zico Kolter is an Assistant Professor in the School of Computer Science at Carnegie Mellon University, and also serves as Chief Scientist of AI Research for the Bosch Center for Artificial Intelligence. His work focuses on the intersection of machine learning and optimization, with a large focus on developing more robust, explainable, and rigorous methods in deep learning. In addition, he has worked on a number of application areas, highlighted by work on sustainability and smart energy systems. He is the recipient of the DARPA Young Faculty Award, and best paper awards at KDD, IJCAI, and PESGM.

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