High-dimensional change-point detection: kernel-based method and sketching

Stochastics Seminar
Thursday, January 21, 2016 - 3:05pm
1 hour (actually 50 minutes)
Skiles 006
Georgia Inst. of Technology, ISYE
Detecting change-points from high-dimensional streaming data is a fundamental problem that arises in many big-data applications such as video processing, sensor networks, and social networks. Challenges herein include developing algorithms that have low computational complexity and good statistical power, that can exploit structures to detecting weak signals, and that can provide reliable results over larger classes of data distributions. I will present two aspects of our recent work that tackle these challenges: (1) developing kernel-based methods based on nonparametric statistics; and (2) using sketching of high-dimensional data vectors to reduce data dimensionality. We also provide theoretical performance bounds and demonstrate the performance of the algorithms using simulated and real data.