Ensembles of offline changepoint detection methods

In this repository we provide Jupyter Notebooks to reproduce the results from the paper.

Instructions and code for the extending search methods (CPD algorithms) from ruptures python library to the ensemble case can be found here.

Leaderboard for TEP benchmark

Sorted by NAB (standard); for all metrics bigger is better.
The current leaderboard is obtained with the window size for the NAB detection algorithm equal to 10% of the dataset length
| Algorithm | NAB (standard) | NAB (lowFP) | NAB (LowFN) | |---|---|---|---| Perfect detector | 100 | 100 | 100 Opt (Mahalanobis) | 36.88 | 35.82 | 37.29 Win (Mahalanobis) | 27.79 | 27 | 28.05 BinSeg (Mahalanobis) | 36.88 | 35.82 | 37.29 OptEnsemble (Min+MinMax/Rank) | 41.81 | 41 | 42.16 WinEnsemble (WeightedSum+MinAbs) | 25.14 | 24.33 | 26.29 BinSegEnsemble (Min+MinMax/Rank) | 41.81 | 41 | 42.16 Null detector | 0 | 0 | 0

Leaderboard for SKAB

Sorted by NAB (standard); for all metrics bigger is better.
The current leaderboard is obtained with the window size for the NAB detection algorithm equal to 30 sec.
| Algorithm | NAB (standard) | NAB (lowFP) | NAB (LowFN) | |---|---|---|---| Perfect detector | 100 | 100 | 100 Opt (Mahalanobis) | 22.37 | 19.9 | 23.37 Win (l1) | 18.4 | 16.22 | 19.19 BinSeg (Mahalanobis) | 24.1 | 21.69 | 25.04 OptEnsemble (WeightedSum+Rank) | 23.07 | 20.52 | 24.35 WinEnsemble (Sum+MinAbs) | 19.38 | 17.03 | 20.35 BinSegEnsemble (WeightedSum+Rank) | 18.1 | 15.36 | 19.51 Null detector | 0 | 0 | 0

Citation

To cite this work in your publications (APA format):

Katser, I., Kozitsin, V., Lobachev, V., & Maksimov, I. (2021). Unsupervised Offline Changepoint Detection Ensembles. Applied Sciences, 11(9), 4280.

Or in BibTeX format:

@article{katser2021unsupervised,
  title={Unsupervised Offline Changepoint Detection Ensembles},
  author={Katser, Iurii and Kozitsin, Viacheslav and Lobachev, Victor and Maksimov, Ivan},
  journal={Applied Sciences},
  volume={11},
  number={9},
  pages={4280},
  year={2021},
  publisher={Multidisciplinary Digital Publishing Institute}
}

Used materials and 3rd party code

The experiment is based on the ruptures library (Copyright (c) 2017, ENS Paris-Saclay, CNRS. All rights reserved.) and the paper "Selective review of offline change point detection methods. Signal Processing" by C. Truong, L. Oudre, N. Vayatis. [paper]

The ruptures python package is distributed under the following conditions:

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