Real Time Learning of Non-stationary Processes with Dynamic Bayesian Networks
Dynamic Bayesian Networks (DBNs) provide a principled scheme for modeling and learning conditional dependencies from complex multivariate time-series data and have been used in a wide scope. However, in most cases, the underlying generative Markov model is assumed to be homogeneous, meaning that neither its topology nor its parameters evolve over time. Therefore, learning a DBN to model a non-stationary process under this assumption will amount to poor predictions capabilities. To account for non-stationary processes, we build on a framework to identify, in a streamed manner, transition times between underlying models and a framework to learn them in real time, without assumptions about their evolution. We show the method performances on simulated datasets. The goal of the system is to model and predict incongruities for an Intrusion Dectection System (IDS) in near real-time, so great care is attached to the ability to correctly identify transitions times. Our preliminary results reveal the precision of our algorithm in the choice of transitions and consequently the quality of the discovered networks. We finally suggest future works.
KeywordsDBN ns-DBN tv-DBN Non-stationnary Learning Real time Change point
This work was supported by Akheros S.A.S./ANRT CIFRE grant #2014/0268, and the European project SCISSOR H2020-ICT-2014-1 #644425.
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