Quickest Detection in High-Dimensional Linear Regression Models via Implicit Regularization
Qunzhi Xu, Georgia Institute of Technology, United States; Yi Yu, University of Warwick, United Kingdom; Yajun Mei, Georgia Institute of Technology and New York University, United States
Session:
Change Point Detection
Track:
11: Information Theory and Statistics
Location:
Omikron II
Presentation Time:
Tue, 9 Jul, 12:10 - 12:30
Session Chair:
Yajun Mei,
Abstract
In this paper, we consider the quickest detection problem in high-dimensional streaming data, where the unknown regression coefficients might change at some unknown time. We propose a quickest detection algorithm based on the implicit regularization algorithm via gradient descent, and provide theoretical guarantees on the average run length to false alarm and detection delay. Numerical studies are conducted to validate the theoretical results.