High-Dimensional Change-Point Detection

Georgia Tech

Thursday, September 5, 2013 - 3:30pm
Yao Xie joined Georgia Institute of Technology as an Assistant Professor in the H. Milton Stewart School of Industrial & Systems Engineering in August 2013. Prior to that, she worked as a Research Scientist at Duke University in the Department of Electrical and Computer Engineering, after receiving her Ph.D. in Electrical Engineering (minor in Mathematics) from Stanford University in 2011. She is interested in sequential statistical methods, statistical signal processing, big data analysis, compressed sensing, optimization, and has been involved in applications to wireless communications, sensor networks, medical and astronomical imaging.

How do we quickly detect small solar flares in a large video stream generated by NASA satellites? How do we improve detection by efficient representation of high-dimensional data that is time-varying? Besides astronomical imaging, high-dimensional change-point detection also arises in many other applications including computer network intrusion detection, sensor networks, medical imaging, and epidemiology. In these problems, each dimension of the data is obtained by a sensor, and there are multiple sensors monitoring the emergence of a signal---an abrupt change in the distribution of the observations. The goal is to detect such a signal as soon as possible after it occurs, and make as few false alarms as possible. 

Two key challenges in high-dimensional change-point detection are 1) how to extract useful statistics, 2) how to find an efficient representation of the data. Many high-dimensional data exhibit low-dimensional structures such as sparsity, or the data may lie on a low-dimensional manifold. The approach I take is to exploit these low-dimensional structures in change-point detection. I will describe a mixture procedure that exploits sparsity, and MOUSSE, an online algorithm for tracking the evolving data manifold and extracts efficient statistics for change-point detection. 

More information about Yao Xie may be found at http://www2.isye.gatech.edu/~yxie77/