Fast generation of high-dimensional spatial extremes

Widespread extreme climate events cause many fatalities, economic losses and have a huge impact on critical infrastructure. It is therefore of utmost importance to estimate the frequency and associated consequences of spatially concurrent extremes. Impact studies of climate extremes are severely hampered by the lack of extreme observations, and even large ensembles of climate simulations often do not include enough extreme or record-breaking climate events for robust analysis. On the other hand, weather generators specifically fitted to extreme observations can quickly generate many physically or statistically plausible extreme events, even with intensities that have never been observed before. We propose a Fourier-based algorithm for generating high-resolution synthetic datasets of rare events, using essential concepts of classical modelling of (spatial) extremes. Here, the key feature is that the stochastically generated datasets have the same spatial dependence as the observed extreme events. Using high-resolution gridded precipitation and temperature datasets, we show that the new algorithm produces realistic spatial patterns, and is particularly attractive compared to other existing methods for spatial extremes. It is exceptionally fast, easy to implement, scalable to high dimensions and, in principle, applicable for any spatial resolution. We generated datasets with 10,000 gridpoints, a number that can be increased without difficulty. Since current impact models often require high-resolution climate inputs, the new algorithm is particularly useful for improved impact and vulnerability assessment.