Change-Point Detection in Industrial Data Streams based on Online Dynamic Mode Decomposition with Control

TL;DR

This paper introduces an online change-point detection method using dynamic mode decomposition with control, effectively identifying shifts in complex industrial data streams by adapting to system changes and noise.

Contribution

It presents a novel online detection approach based on ODMDwC, incorporating control effects and higher-order embeddings for robust, real-time change detection in industrial systems.

Findings

Outperforms SVD-based methods in detection accuracy

Effective on synthetic and real-world industrial data

Provides practical guidelines for hyperparameter tuning

Abstract

We propose a novel change-point detection method based on online Dynamic Mode Decomposition with control (ODMDwC). Leveraging ODMDwC's ability to find and track linear approximation of a non-linear system while incorporating control effects, the proposed method dynamically adapts to its changing behavior due to aging and seasonality. This approach enables the detection of changes in spatial, temporal, and spectral patterns, providing a robust solution that preserves correspondence between the score and the extent of change in the system dynamics. We formulate a truncated version of ODMDwC and utilize higher-order time-delay embeddings to mitigate noise and extract broad-band features. Our method addresses the challenges faced in industrial settings where safety-critical systems generate non-uniform data streams while requiring timely and accurate change-point detection to protect profit and life. Our results demonstrate that this method yields intuitive and improved detection results compared to the Singular-Value-Decomposition-based method. We validate our approach using synthetic and real-world data, showing its competitiveness to other approaches on complex systems' benchmark datasets. Provided guidelines for hyperparameters selection enhance our method's practical applicability.