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Flexible Tails for Normalizing Flows
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Normalizing flows are a flexible class of probability distributions, expressed as transformations of a simple base distribution. A limitation of standard normalizing flows is representing distributions with heavy tails, which arise in applications to both density estimation and variational inference. A popular current solution to this problem is to use a heavy tailed base distribution. We argue this can lead to poor performance due to the difficulty of optimising neural networks, such as normalizing flows, under heavy tailed input. We propose an alternative, "tail transform flow" (TTF), which uses a Gaussian base distribution and a final transformation layer which can produce heavy tails. Experimental results show this approach outperforms current methods, especially when the target distribution has large dimension or tail weight.
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Cited by 1 Pith paper
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Comparing Normalizing Flows with Kernel Density Estimation in Estimating Risk of Automated Driving Systems
Normalizing flows fit scenario parameter densities better than KDE on held-out data, but produce roughly 40 times lower collision risk estimates, with no ground truth to decide which is correct.
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