# On Multi-entity, Multivariate Quickest Change Point Detection

arXiv: https://arxiv.org/abs/2509.18310 · HTML: https://mlsanity.com/paper/2509.18310/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 6 of its 39 references that are in the map.
- First posted on arXiv 22 Sep 2025.

## Builds on (most cited first, 6 of 6)

- [Adam: A Method for Stochastic Optimization](https://mlsanity.com/paper/1412.6980/) (2014)
- [Unsupervised Anomaly Detection via Variational Auto-Encoder for Seasonal KPIs in Web Applications](https://mlsanity.com/paper/1802.03903/) (2018)
- [TranAD: Deep Transformer Networks for Anomaly Detection in Multivariate Time Series Data](https://mlsanity.com/paper/2201.07284/) (2022)
- [A Tutorial on Kernel Density Estimation and Recent Advances](https://mlsanity.com/paper/1704.03924/) (2017)
- [Time Series Change Point Detection with Self-Supervised Contrastive Predictive Coding](https://mlsanity.com/paper/2011.14097/) (2020)
- [AD-DMKDE: Anomaly Detection through Density Matrices and Fourier Features](https://mlsanity.com/paper/2210.14796/) (2022)

## Abstract (arXiv)

We propose a framework for online Change Point Detection (CPD) from multi-entity, multivariate time series data, motivated by applications in crowd monitoring where traditional sensing methods (e.g., video surveillance) may be infeasible. Our approach addresses the challenge of detecting system-wide behavioral shifts in complex, dynamic environments where the number and behavior of individual entities may be uncertain or evolve. We introduce the concept of Individual Deviation from Normality (IDfN), computed via a reconstruction-error-based autoencoder trained on normal behavior. We aggregate these individual deviations using mean, variance, and Kernel Density Estimates (KDE) to yield a System-Wide Anomaly Score (SWAS). To detect persistent or abrupt changes, we apply statistical deviation metrics and the Cumulative Sum (CUSUM) technique to these scores. Our unsupervised approach eliminates the need for labeled data or feature extraction, enabling real-time operation on streaming input. Evaluations on both synthetic datasets and crowd simulations, explicitly designed for anomaly detection in group behaviors, demonstrate that our method accurately detects significant system-level changes, offering a scalable and privacy-preserving solution for monitoring complex multi-agent systems. In addition to this methodological contribution, we introduce new, challenging multi-entity multivariate time series datasets generated from crowd simulations in Unity and coupled nonlinear oscillators. To the best of our knowledge, there is currently no publicly available dataset of this type designed explicitly to evaluate CPD in complex collective and interactive systems, highlighting an essential gap that our work addresses.