Online detection of cascading change-points

Abstract: We propose an online detection procedure for cascading failures in the network from sequential data, which can be modeled as multiple correlated change-points happening during a short period. We consider a temporal diffusion network model to capture the temporal dynamic structure of multiple change-points and develop a sequential Shewhart procedure based on the generalized likelihood ratio statistics based on the diffusion network model assuming unknown post-change distribution parameters. We also tackle the computational complexity posed by the unknown propagation. Numerical experiments demonstrate the good performance for detecting cascade failures.