2,964 research outputs found
Optimal change point detection and localization in sparse dynamic networks
We study the problem of change point localization in dynamic networks models. We assume that we observe a sequence of independent adjacency matrices of the same size, each corresponding to a realization of an unknown inhomogeneous Bernoulli model. The underlying distribution of the adjacency matrices are piecewise constant, and may change over a subset of the time points, called change points. We are concerned with recovering the unknown number and positions of the change points. In our model setting, we allow for all the model parameters to change with the total number of time points, including the network size, the minimal spacing between consecutive change points, the magnitude of the smallest change and the degree of sparsity of the networks. We first identify a region of impossibility in the space of the model parameters such that no change point estimator is provably consistent if the data are generated according to parameters falling in that region. We propose a computationally-simple algorithm for network change point localization, called network binary segmentation, that relies on weighted averages of the adjacency matrices. We show that network binary segmentation is consistent over a range of the model parameters that nearly cover the complement of the impossibility region, thus demonstrating the existence of a phase transition for the problem at hand. Next, we devise a more sophisticated algorithm based on singular value thresholding, called local refinement, that delivers more accurate estimates of the change point locations. Under appropriate conditions, local refinement guarantees a minimax optimal rate for network change point localization while remaining computationally feasible
Univariate Mean Change Point Detection: Penalization, CUSUM and Optimality
The problem of univariate mean change point detection and localization based
on a sequence of independent observations with piecewise constant means has
been intensively studied for more than half century, and serves as a blueprint
for change point problems in more complex settings. We provide a complete
characterization of this classical problem in a general framework in which the
upper bound on the noise variance, the minimal spacing
between two consecutive change points and the minimal magnitude of the
changes, are allowed to vary with . We first show that consistent
localization of the change points, when the signal-to-noise ratio , is impossible. In contrast, when
diverges with at the rate of at least
, we demonstrate that two computationally-efficient change
point estimators, one based on the solution to an -penalized least
squares problem and the other on the popular wild binary segmentation
algorithm, are both consistent and achieve a localization rate of the order
. We further show that such rate is minimax
optimal, up to a term
Relax and Localize: From Value to Algorithms
We show a principled way of deriving online learning algorithms from a
minimax analysis. Various upper bounds on the minimax value, previously thought
to be non-constructive, are shown to yield algorithms. This allows us to
seamlessly recover known methods and to derive new ones. Our framework also
captures such "unorthodox" methods as Follow the Perturbed Leader and the R^2
forecaster. We emphasize that understanding the inherent complexity of the
learning problem leads to the development of algorithms.
We define local sequential Rademacher complexities and associated algorithms
that allow us to obtain faster rates in online learning, similarly to
statistical learning theory. Based on these localized complexities we build a
general adaptive method that can take advantage of the suboptimality of the
observed sequence.
We present a number of new algorithms, including a family of randomized
methods that use the idea of a "random playout". Several new versions of the
Follow-the-Perturbed-Leader algorithms are presented, as well as methods based
on the Littlestone's dimension, efficient methods for matrix completion with
trace norm, and algorithms for the problems of transductive learning and
prediction with static experts
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