arXiv subjects

Vincent Runge

Publications and source records attributed to Vincent Runge.

11 recordsLinked to original sources

arXiv2026

focus and focus-cpt: Fast Online Changepoint Detection in R and Python

We present an R and Python package for fast online changepoint detection in univariate and multivariate data streams for a variety of models. The package implements the focus family of algorithms, which compute the Generalised Likelihood Ratio test for a single changepoint exactly and efficiently, with a per-iteration cost of approximately $\log(n)^d$ for a d-dimensional sequence, without introducing approximations. This is achieved by exploiting a connection between the location of the changepoint candidates and the geometry of the data. The package supports a broad range of models from the natural exponential family, including Gaussian, Poisson, Binomial, Exponential and Gamma distributions, as well as a non-parametric detector based on the empirical cumulative distribution function and a detector for autoregressive data.

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arXiv2026

Exact Multiple Change-Point Detection Via Smallest Valid Partitioning

We introduce smallest valid partitioning (SVP), a segmentation method for multiple change-point detection in time-series. SVP relies on a local notion of segment validity: a candidate segment is retained only if it passes a user-chosen validity test (e.g., a single change-point test). From the collection of valid segments, we propose a coherent aggregation procedure that constructs a global segmentation which is the exact solution of an optimization problem. Our main contribution is the use of a lexicographic order for the optimization problem that prioritizes parsimony. We analyze the computational complexity of the resulting procedure, which ranges from linear to cubic time depending on the chosen cost and validity functions, the data regime and the number of detected changes. Finally, we assess the quality of SVP through comparisons with standard optimal partitioning algorithms, showing that SVP yields competitive segmentations while explicitly enforcing segment validity. The flexibility of SVP makes it applicable to a broad class of problems; as an illustration, we demonstrate robust change-point detection by encoding robustness in the validity criterion.

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arXiv2025

DUST: A Duality-Based Pruning Method For Exact Multiple Change-Point Detection

We tackle the challenge of detecting multiple change points in large time series by optimising a penalised likelihood derived from exponential family models. Dynamic programming algorithms can solve this task exactly with at most quadratic time complexity. In recent years, the development of pruning strategies has drastically improved their computational efficiency. However, the two existing approaches have notable limitations: PELT struggles with pruning efficiency in sparse-change scenarios, while FPOP's structure is not adapted to multi-parametric settings. To address these issues, we introduce the DUal Simple Test (DUST) framework, which prunes candidate changes by evaluating a dual function against a threshold. This approach is highly flexible and broadly applicable to parametric models of any dimension. Under mild assumptions, we establish strong duality for the underlying non-convex pruning problem. We demonstrate DUST's effectiveness across various change-point regimes and models. In particular, for one-parametric models, DUST matches the simplicity of PELT with the efficiency of FPOP. Its use is especially advantageous for non-Gaussian models. Finally, we apply DUST to mouse monitoring time series under a change-in-variance model, illustrating its ability to recover the optimal change-point structure efficiently.

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arXiv2023

Online Multivariate Changepoint Detection: Leveraging Links With Computational Geometry

The increasing volume of data streams poses significant computational challenges for detecting changepoints online. Likelihood-based methods are effective, but a naive sequential implementation becomes impractical online due to high computational costs. We develop an online algorithm that exactly calculates the likelihood ratio test for a single changepoint in $p$-dimensional data streams by leveraging a fascinating connection with computational geometry. This connection straightforwardly allows us to exactly recover sparse likelihood ratio statistics: that is assuming only a subset of the dimensions are changing. Our algorithm is straightforward, fast, and apparently quasi-linear. A dyadic variant of our algorithm is provably quasi-linear, being $\mathcal{O}(n\log(n)^{p+1})$ for $n$ data points and $p$ less than $3$, but slower in practice. These algorithms are computationally impractical when $p$ is larger than $5$, and we provide an approximate algorithm suitable for such $p$ which is $\mathcal{O}(np\log(n)^{\tilde{p}+1}), $ for some user-specified $\tilde{p} \leq 5$. We derive statistical guarantees for the proposed procedures in the Gaussian case, and confirm the good computational and statistical performance, and usefulness, of the algorithms on both empirical data and NBA data.

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arXiv2023

Geometric-Based Pruning Rules For Change Point Detection in Multiple Independent Time Series

We consider the problem of detecting multiple changes in multiple independent time series. The search for the best segmentation can be expressed as a minimization problem over a given cost function. We focus on dynamic programming algorithms that solve this problem exactly. When the number of changes is proportional to data length, an inequality-based pruning rule encoded in the PELT algorithm leads to a linear time complexity. Another type of pruning, called functional pruning, gives a close-to-linear time complexity whatever the number of changes, but only for the analysis of univariate time series. We propose a few extensions of functional pruning for multiple independent time series based on the use of simple geometric shapes (balls and hyperrectangles). We focus on the Gaussian case, but some of our rules can be easily extended to the exponential family. In a simulation study we compare the computational efficiency of different geometric-based pruning rules. We show that for small dimensions (2, 3, 4) some of them ran significantly faster than inequality-based approaches in particular when the underlying number of changes is small compared to the data length.

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arXiv2022

Exponential Integral Solutions for Fixation Time in Wright-Fisher Model With Selection

In this work we derive new analytic expressions for fixation time in Wright-Fisher model with selection. The three standard cases for fixation are considered: fixation to zero, to one or both. Second order differential equations for fixation time are obtained by a simplified approach using only the law of total probability and Taylor expansions. The obtained solutions are given by a combination of exponential integral functions with elementary functions. We then state approximate formulas involving only elementary functions valid for small selection effects. The quality of our results are explored throughout an extensive simulation study. We show that our results approximate the discrete problem very accurately even for small population size (a few hundreds) and large selection coefficients.

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arXiv2020

Change-in-Slope Optimal Partitioning Algorithm in a Finite-Size Parameter Space

We consider the problem of detecting change-points in univariate time series by fitting a continuous piecewise linear signal using the residual sum of squares. Values of the inferred signal at slope breaks are restricted to a finite set of size $m$. Using this finite parameter space, we build a dynamic programming algorithm with a controlled time complexity of $O(m^2n^2)$ for $n$ data points. Some accelerating strategies can be used to reduce the constant before $n^2$. The adapted classic inequality-based pruning is outperformed by a simpler "channel" method on simulations. Besides, our finite parameter space setting allows an easy introduction of constraints on the inferred signal. For example, imposing a minimal angle between consecutive segment slopes provides robustness to model misspecification and outliers. We test our algorithm with an isotonic constraint on an antibiogram image analysis problem for which algorithmic efficiency is a cornerstone in the emerging context of mobile-health and embedded medical devices. For this application, a finite state approach can be a valid compromise.

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arXiv2020

Detecting Abrupt Changes in the Presence of Local Fluctuations and Autocorrelated Noise

Whilst there are a plethora of algorithms for detecting changes in mean in univariate time-series, almost all struggle in real applications where there is autocorrelated noise or where the mean fluctuates locally between the abrupt changes that one wishes to detect. In these cases, default implementations, which are often based on assumptions of a constant mean between changes and independent noise, can lead to substantial over-estimation of the number of changes. We propose a principled approach to detect such abrupt changes that models local fluctuations as a random walk process and autocorrelated noise via an AR(1) process. We then estimate the number and location of changepoints by minimising a penalised cost based on this model. We develop a novel and efficient dynamic programming algorithm, DeCAFS, that can solve this minimisation problem; despite the additional challenge of dependence across segments, due to the autocorrelated noise, which makes existing algorithms inapplicable. Theory and empirical results show that our approach has greater power at detecting abrupt changes than existing approaches. We apply our method to measuring gene expression levels in bacteria.

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arXiv2020

gfpop: an R Package for Univariate Graph-Constrained Change-Point Detection

In a world with data that change rapidly and abruptly, it is important to detect those changes accurately. In this paper we describe an R package implementing a generalized version of an algorithm recently proposed by Hocking et al. [2020] for penalized maximum likelihood inference of constrained multiple change-point models. This algorithm can be used to pinpoint the precise locations of abrupt changes in large data sequences. There are many application domains for such models, such as medicine, neuroscience or genomics. Often, practitioners have prior knowledge about the changes they are looking for. For example in genomic data, biologists sometimes expect peaks: up changes followed by down changes. Taking advantage of such prior information can substantially improve the accuracy with which we can detect and estimate changes. Hocking et al. [2020] described a graph framework to encode many examples of such prior information and a generic algorithm to infer the optimal model parameters, but implemented the algorithm for just a single scenario. We present the gfpop package that implements the algorithm in a generic manner in R/C++. gfpop works for a user-defined graph that can encode prior assumptions about the types of change that are possible and implements several loss functions (Gauss, Poisson, binomial, biweight and Huber). We then illustrate the use of gfpop on isotonic simulations and several applications in biology. For a number of graphs the algorithm runs in a matter of seconds or minutes for 10^5 data points.

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arXiv2018

Is a Finite Intersection of Balls Covered by a Finite Union of Balls in Euclidean Spaces ?

Considering a finite intersection of balls and a finite union of other balls in an Euclidean space, we propose an exact method to test whether the intersection is covered by the union. We reformulate this problem into quadratic programming problems. For each problem, we study the intersection between a sphere and a Voronoi-like polyhedron. That way we get information about a possible overlap between the frontier of the union and the intersection of balls. If the polyhedra are non-degenerate, the initial nonconvex geometric problem, which is NP-hard in general, is tractable in polynomial time by convex optimization tools and vertex enumeration. Under some mild conditions the vertex enumeration can be skipped. Simulations highlight the accuracy and efficiency of our approach compared with competing algorithms in Python for nonconvex quadratically constrained quadratic programming. This work is motivated by an application in statistics to the problem of multidimensional changepoint detection using pruned dynamic programming algorithms.

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arXiv2017

On the Limit Imbalanced Logistic Regression by Binary Predictors

In this work, we introduce a modified (rescaled) likelihood for imbalanced logistic regression. This new approach makes easier the use of exponential priors and the computation of lasso regularization path. Precisely, we study a limiting behavior for which class imbalance is artificially increased by replication of the majority class observations. If some strong overlap conditions are satisfied, the maximum likelihood estimate converges towards a finite value close to the initial one (intercept excluded) as shown by simulations with binary predictors. This solution corresponds to the extremum of a concave function that we refer to as "rescaled" likelihood. In this context, the use of exponential priors has a clear interpretation as a shift on the predictor means for the minority class. Thanks to the simple binary structure, some random designs give analytic path estimators for the lasso regularization problem. An effective approximate path algorithm by piecewise logarithmic functions based on matrix inversions is also presented. This work was motivated by its potential application to spontaneous reports databases in a pharmacovigilance context.

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