Online Structural Change-point Detection of High-dimensional Streaming Data via Dynamic Sparse Subspace Learning

09/24/2020
by   Ruiyu Xu, et al.
0

High-dimensional streaming data are becoming increasingly ubiquitous in many fields. They often lie in multiple low-dimensional subspaces, and the manifold structures may change abruptly on the time scale due to pattern shift or occurrence of anomalies. However, the problem of detecting the structural changes in a real-time manner has not been well studied. To fill this gap, we propose a dynamic sparse subspace learning (DSSL) approach for online structural change-point detection of high-dimensional streaming data. A novel multiple structural change-point model is proposed and it is shown to be equivalent to maximizing a posterior under certain conditions. The asymptotic properties of the estimators are investigated. The penalty coefficients in our model can be selected by AMDL criterion based on some historical data. An efficient Pruned Exact Linear Time (PELT) based method is proposed for online optimization and change-point detection. The effectiveness of the proposed method is demonstrated through a simulation study and a real case study using gesture data for motion tracking.

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