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  • 學位論文

結構變動之易辛模型的最快速變化偵測

Quickest Change Detection for Structural Changing Ising Model

指導教授 : 王奕翔
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摘要


本篇碩士論文在探討具有相關性的高維機率分布發生結構變異的最快速變化偵測問題。我們假設網路上蒐集的資料是基於易辛模型且在發生變化前後,資料的機率分布唯一的差異是易辛模型中的結構。在這樣的假設底下,我們發現此問題與伯努利的最快速變化偵測問題高度相關,甚至當我們適當強化易辛模型的假設,相應的伯努利最快速變化偵測問題將被大大簡化。正因如此,我們能夠提出了一個在新增多條邊的簡化易辛模型問題上,只需要知道變化前網路結構,就能夠達到最佳的最壞平均檢測延遲與平均時間至錯誤警告平衡的方法。在減少一條邊的簡化易辛模型問題上,我們雖然沒能夠在只知曉變化前網路結構下,做到最佳的最壞平均檢測延遲與平均時間至錯誤警告平衡,但是我們的方法從文獻中另一個評量標標準來看,已經達到最優。由於上述提出的方法在實際執行上複雜度較高,我們進一步利用了易辛模型的關聯性傳播特性,提出只需從網路上蒐集少數幾個節點的資料,就能夠順利偵測變化的方法。由於節點的選擇將會影響偵測的表現,我們將選擇解點的問題寫成一個最佳化問題,並提出解決此問題的演算法。

並列摘要


The problem of quickest change detection for structural changes within correlated, structured distribution is studied. Precisely, we assume that data collected over a network follows a specific instance of undirected graphical models, the Ising model and that the Ising model before and after the change differs only in their structures. We show that for both types of structural change, edge appearance and disappearance, the problem can be suitably transformed into that of Bernoulli random variables. When further restricting the Ising model to have zero mean-­field vectors and forest interaction structure, the transformed Bernoulli problem becomes drastically simpler to solve. Consequently, under the multiple edge appearance setting in Ising forests, our proposed algorithm equipped with only the pre­change structure knowledge is capable of achieving the optimal worst average detection delay and average run length to false alarm trade-off at the large average run length to false alarm regime. Under the one edge disappearance setting in Ising forests, we present an algorithm with sub­optimal worst average detection delay and average run length to false alarm trade-off. We explain the reason for sub­optimality and point out that our method is already optimal under a less strict criteria from the literature. We then turn to improve the runtime complexity of the proposed algorithms. By taking advantage of the correlation propagation nature of correlated networks, we show that instead of doing brute force search for all possible locations of the structural change, monitoring only a few chosen nodes in the network suffice for decent statistical performance. To get the most out of the new procedure, we formulate a node selection optimization problem and provide a simple algorithm to solve it.

參考文獻


References
[1] B. L. Bars, P. Humbert, A. Kalogeratos, and N. Vayatis. Learning the piece­wise constant graph structure of a varying Ising model. In International Conference of Machine Learning. 2020.
[2] J. Bento and A. Montanari. Which graphical models are difficult to learn? In Advances in Neural Information Processing Systems, pages 1303–1311. 2009.
[3] G. Bresler and M. Karzand. Learning a tree­structured Ising model in order to make predictions. In Annals of Statistics, pages 713–737. 2020.
[4] C. Daskalakis, N. Dikkala, and G. Kamath. Testing Ising models. In IEEE Transaction of Information Theory, pages 6829–6852. 2019.

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