Papers › Adversarial Attacks on Probabilistic Autoregressive Forecasting Models

Adversarial Attacks on Probabilistic Autoregressive Forecasting Models

8 Mar 2020ICML 2020 1arXiv:2003.03778archive 2025-07-28

Raphaël Dang-Nhu, Gagandeep Singh, Pavol Bielik, Martin Vechev

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.

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