Quickest Detection in High-Dimensional Linear Regression Models via Implicit Regularization

Qunzhi Xu, Yi Yu, 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.

External IDs:dblp:conf/isit/XuYM24