A new algorithm combines deep Gaussian process predictions, sliding-window spectral analysis, and an acquisition function that balances spectral change and uncertainty to detect change points while actively choosing where to sample.
Active Learning for Abrupt Shifts Change-point Detection via Derivative-Aware Gaussian Processes
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abstract
Change-point detection (CPD) is crucial for identifying abrupt shifts in data, which influence decision-making and efficient resource allocation across various domains. To address the challenges posed by the costly and time-intensive data acquisition in CPD, we introduce the Derivative-Aware Change Detection (DACD) method. It leverages the derivative process of a Gaussian process (GP) for Active Learning (AL), aiming to pinpoint change-point locations effectively. DACD balances the exploitation and exploration of derivative processes through multiple data acquisition functions (AFs). By utilizing GP derivative mean and variance as criteria, DACD sequentially selects the next sampling data point, thus enhancing algorithmic efficiency and ensuring reliable and accurate results. We investigate the effectiveness of DACD method in diverse scenarios and show it outperforms other active learning change-point detection approaches.
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Active Learning for Multiple Change Point Detection in Non-stationary Time Series with Deep Gaussian Processes
A new algorithm combines deep Gaussian process predictions, sliding-window spectral analysis, and an acquisition function that balances spectral change and uncertainty to detect change points while actively choosing where to sample.