Interactive Change Point Detection using optimisation approach and Bayesian statistics applied to real world applications

Abstract

Change point detection becomes more and more important as datasets increase in size, where unsupervised detection algorithms can help users process data. To detect change points, a number of unsupervised algorithms have been developed which are based on different principles. One approach is to define an optimisation problem and minimise a cost function along with a penalty function. In the optimisation approach, the choice of the cost function affects the predictions made by the algorithm. In extension to the existing studies, a new type of cost function using Tikhonov regularisation is introduced. Another approach uses Bayesian statistics to calculate the posterior probability distribution of a specific point being a change point. It uses a priori knowledge on the distance between consecutive change points and a likelihood function with information about the segments. The optimisation and Bayesian approaches for offline change point detection are studied and applied to simulated datasets as well as a real world multi-phase dataset. The approaches have previously been studied separately and a novelty lies in comparing the predictions made by the two approaches in a specific setting, consisting of simulated datasets and a real world example. The study has found that the performance of the change point detection algorithms are affected by the features in the data.