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arXiv · 1901.07987

Stein Variational Online Changepoint Detection with Applications to Hawkes Processes and Neural Networks

Gianluca Detommaso·Hanne Hoitzing·Tiangang Cui·Ardavan Alamir
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Abstract

Bayesian online changepoint detection (BOCPD) (Adams & MacKay, 2007) offers a rigorous and viable way to identify changepoints in complex systems. In this work, we introduce a Stein variational online changepoint detection (SVOCD) method to provide a computationally tractable generalization of BOCPD beyond the exponential family of probability distributions. We integrate the recently developed Stein variational Newton (SVN) method (Detommaso et al., 2018) and BOCPD to offer a full online Bayesian treatment for a large number of situations with significant importance in practice. We apply the resulting method to two challenging and novel applications: Hawkes processes and long short-term memory (LSTM) neural networks. In both cases, we successfully demonstrate the efficacy of our method on real data.

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Gianluca Detommaso, Hanne Hoitzing, Tiangang Cui, Ardavan Alamir. 2019-05-25. Stein Variational Online Changepoint Detection with Applications to Hawkes Processes and Neural Networks. https://arxiv.org/abs/1901.07987

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