2 research outputs found
Adversarial Attacks on Probabilistic Autoregressive Forecasting Models
We develop an effective generation of adversarial attacks on neural models
that output a sequence of probability distributions rather than a sequence of
single values. This setting includes the recently proposed deep probabilistic
autoregressive forecasting models that estimate the probability distribution of
a time series given its past and achieve state-of-the-art results in a diverse
set of application domains. The key technical challenge we address is
effectively differentiating through the Monte-Carlo estimation of statistics of
the joint distribution of the output sequence. Additionally, we extend prior
work on probabilistic forecasting to the Bayesian setting which allows
conditioning on future observations, instead of only on past observations. We
demonstrate that our approach can successfully generate attacks with small
input perturbations in two challenging tasks where robust decision making is
crucial: stock market trading and prediction of electricity consumption.Comment: 15 pages, 6 figure