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arXiv 1805.08061cs.LGstat.ML
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NEWMA:一种可扩展的无模型在线变点检测新方法

NEWMA: a new method for scalable model-free online change-point detection

CNRS(法国国家科学研究中心);GIPSA-lab(GIPSA实验室);Université Côte d’Azur(蔚蓝海岸大学);Inria(法国国家信息与自动化研究所);LJAD(让-亚历山大·迪厄多内实验室);LightOn

Nicolas Keriven, Damien Garreau, Iacopo Poli

摘要:

我们考虑的问题,检测突然变化的多维时间序列的分布,有限的计算能力和内存。在本文中,我们提出了一种新的,简单的方法,无模型的在线变化点检测,只依赖于快速和轻型递归统计,灵感来自经典的指数加权移动平均算法(EWMA)。所提出的想法是计算两个EWMA统计数据流与不同的遗忘因子,并比较它们。通过这样做,我们表明,我们隐式地比较最近的样本与旧的,而不需要显式地存储它们。此外,我们利用随机特征(RFs)来有效地使用最大平均离散度作为分布之间的距离,进一步利用最近的光学硬件在接近恒定的时间内计算高维RFs。我们表明,我们的方法是显着的速度比通常的非参数方法在给定的精度。

英文摘要:

We consider the problem of detecting abrupt changes in the distribution of a multi-dimensional time series, with limited computing power and memory. In this paper, we propose a new, simple method for model-free online change-point detection that relies only on fast and light recursive statistics, inspired by the classical Exponential Weighted Moving Average algorithm (EWMA). The proposed idea is to compute two EWMA statistics on the stream of data with different forgetting factors, and to compare them. By doing so, we show that we implicitly compare recent samples with older ones, without the need to explicitly store them. Additionally, we leverage Random Features (RFs) to efficiently use the Maximum Mean Discrepancy as a distance between distributions, furthermore exploiting recent optical hardware to compute high-dimensional RFs in near constant time. We show that our method is significantly faster than usual non-parametric methods for a given accuracy.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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