Latent Neural Stochastic Differential Equations for Change Point Detection

The purpose of change point detection algorithms is to locate an abrupt change in the time evolution of a process. In this paper, we introduce an application of latent neural stochastic differential equations for change point detection problem. We demonstrate the detection capabilities and performance of our model on a range of synthetic and real-world datasets and benchmarks. Most of the studied scenarios show that the proposed algorithm outperforms the state-of-the-art algorithms. We also discuss the strengths and limitations of this approach and indicate directions for further improvements.