Information-Geometric First-Passage Monitoring of Distributional Stability in Stochastic Systems
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Abstract (arXiv)
Runtime monitoring of stochastic systems must distinguish nominal distributional relaxation from regime departure while controlling repeated-test false alarms under explicit validity assumptions. This paper links relative-entropy dissipation, information geometry, and sequential inference in a bounded first-passage monitoring architecture. For reversible Fokker--Planck dynamics, relative entropy to an invariant density is non-increasing; under exogenous forcing, its derivative decomposes into nominal dissipation and an information-space forcing term. The runtime layer uses Gaussian window surrogates, nominal-relative covariance shrinkage, a coordinate-consistent relative precision diagnostic, and randomized conformal ranks aggregated by a mixture power-martingale process. Analytical Ornstein--Uhlenbeck validation gives zero positive nominal Kullback--Leibler increments, forcing-identity residuals below 3.31 x 10^-6, and coordinate-invariance errors at numerical roundoff. On NSL-KDD, the monitor yields 0/100 alarms on internal nominal streams but 63/100 on official test-normal streams; post-change detection is 99.0% for seen and 98.53% for test-only attack types with median one-window delay. On UNSW-NB15, internal-null alarms are 0/100, whereas official test-normal alarms rise to 90/100; post-change detection is 81.33%, with 18.67% pre-change alarms. In these evaluations, calibration transport emerges as a major deployment constraint. No universal benchmark superiority, causal inference, or physical-work interpretation is claimed.
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References · 8
- 2018Time-uniform, nonparametric, nonasymptotic confidence sequencescited by 220
- 2022Game-theoretic statistics and safe anytime-valid inferencecited by 145
- 2018An elementary introduction to information geometrycited by 76
- 2019Testing randomnesscited by 32
- 2025WATCH: Adaptive Monitoring for AI Deployments via Weighted-Conformal Martingalescited by 13
- 2025Improving Out-of-Distribution Detection via Dynamic Covariance Calibrationcited by 4
- 2023Distributionally Robust LQG control under Distributed Uncertaintycited by 2
- 2024A communication-efficient, online changepoint detection method for monitoring distributed sensor networkscited by 2
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