• Corpus ID: 249151758

Probabilistic Forecasting with Generative Networks via Scoring Rule Minimization

@inproceedings{Pacchiardi2021ProbabilisticFW,
  title={Probabilistic Forecasting with Generative Networks via Scoring Rule Minimization},
  author={Lorenzo Pacchiardi and Rilwan Adewoyin and Peter Dominik Dueben and Ritabrata Dutta},
  year={2021}
}
Generative networks are often trained to minimize a statistical divergence between the reference distribution and the generative one in an adversarial setting. Some works trained instead generative networks to minimize Scoring Rules, functions assessing how well the generative distribution matches each training sample in-dividually. We show how the Scoring Rule formulation easily extends to the so-called prequential (predictive-sequential) score, whose minimization allows performing… 
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