arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 2004.11934cs.LGstat.ML
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基于图神经网络的相关性感知无监督变点检测

Correlation-aware Unsupervised Change-point Detection via Graph Neural Networks

Carnegie Mellon University(卡内基梅隆大学)

Ruohong Zhang, Yu Hao, Donghan Yu, Wei-Cheng Chang, Guokun Lai, Yiming Yang

摘要:

变点检测(CPD)旨在检测时间序列数据的突变。直观的,有效的CPD多变量时间序列应该需要明确的建模的依赖关系,跨输入变量。然而,现有的CPD方法要么完全忽略依赖结构,要么依赖于(不切实际的)假设,即相关结构随时间是静态的。在本文中,我们提出了一个相关感知的CPD动力学模型,显式模型的相关结构和动态的变量,将图神经网络到一个编码器-解码器框架。在合成数据集和真实数据集上的大量实验表明,所提出的模型在强基线上对CPD任务的优越性能,以及将变点分类为相关变化或独立变化的能力。关键词:多元时间序列,变点检测,图神经网络

英文摘要:

Change-point detection (CPD) aims to detect abrupt changes over time series data. Intuitively, effective CPD over multivariate time series should require explicit modeling of the dependencies across input variables. However, existing CPD methods either ignore the dependency structures entirely or rely on the (unrealistic) assumption that the correlation structures are static over time. In this paper, we propose a Correlation-aware Dynamics Model for CPD, which explicitly models the correlation structure and dynamics of variables by incorporating graph neural networks into an encoder-decoder framework. Extensive experiments on synthetic and real-world datasets demonstrate the advantageous performance of the proposed model on CPD tasks over strong baselines, as well as its ability to classify the change-points as correlation changes or independent changes. Keywords: Multivariate Time Series, Change-point Detection, Graph Neural Networks

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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