Merge pull request #223 from IFCA/feature-bocd

Add Bayesian Online Changepoint Detection method

Author: Jaime Céspedes Sisniega

README.md

@@ -207,12 +207,19 @@ The currently implemented detectors are listed in the following table.
   </thead>
   <tbody>
   <tr>
-    <td rowspan="12" style="text-align: center; border: 1px solid grey; padding: 8px;">Concept drift</td>
-    <td rowspan="12" style="text-align: center; border: 1px solid grey; padding: 8px;">Streaming</td>
-    <td rowspan="3" style="text-align: center; border: 1px solid grey; padding: 8px;">CUMSUM</td>
+    <td rowspan="13" style="text-align: center; border: 1px solid grey; padding: 8px;">Concept drift</td>
+    <td rowspan="13" style="text-align: center; border: 1px solid grey; padding: 8px;">Streaming</td>
+    <td rowspan="1" style="text-align: center; border: 1px solid grey; padding: 8px;">Change detection</td>
     <td style="text-align: center; border: 1px solid grey; padding: 8px;">U</td>
     <td style="text-align: center; border: 1px solid grey; padding: 8px;">N</td>
-    <td style="text-align: center; border: 1px solid grey; padding: 8px;">CUMSUM</td>
+    <td style="text-align: center; border: 1px solid grey; padding: 8px;">BOCD</td>
+    <td style="text-align: center; border: 1px solid grey; padding: 8px;"><a href="https://doi.org/10.48550/arXiv.0710.3742">Adams and MacKay (2007)</a></td>
+  </tr>
+  <tr>
+    <td rowspan="3" style="text-align: center; border: 1px solid grey; padding: 8px;">CUSUM</td>
+    <td style="text-align: center; border: 1px solid grey; padding: 8px;">U</td>
+    <td style="text-align: center; border: 1px solid grey; padding: 8px;">N</td>
+    <td style="text-align: center; border: 1px solid grey; padding: 8px;">CUSUM</td>
     <td style="text-align: center; border: 1px solid grey; padding: 8px;"><a href="https://doi.org/10.2307/2333009">Page (1954)</a></td>
   </tr>
   <tr>

docs/source/api_reference/detectors/concept_drift/streaming.md

@@ -11,6 +11,23 @@ The {mod}`frouros.detectors.concept_drift.streaming` module contains streaming c
 ```{currentmodule} frouros.detectors.concept_drift.streaming
 ```
 
+## Change Detection
+
+```{eval-rst}
+.. automodule:: frouros.detectors.concept_drift.streaming.change_detection
+    :no-members:
+    :no-inherited-members:
+```
+
+```{eval-rst}
+.. autosummary::
+    :toctree: auto_generated/
+    :template: class.md
+
+    BOCD
+    BOCDConfig
+```
+
 ## CUSUM Test
 
 ```{eval-rst}

frouros/detectors/concept_drift/__init__.py

@@ -3,6 +3,8 @@
 from .streaming import (
     ADWIN,
     ADWINConfig,
+    BOCD,
+    BOCDConfig,
     CUSUM,
     CUSUMConfig,
     DDM,
@@ -30,6 +32,8 @@
 __all__ = [
     "ADWIN",
     "ADWINConfig",
+    "BOCD",
+    "BOCDConfig",
     "CUSUM",
     "CUSUMConfig",
     "DDM",

frouros/detectors/concept_drift/streaming/__init__.py

@@ -1,6 +1,11 @@
 """Concept drift streaming detection methods init."""
 # FIXME: Remove pylint disable if batch methods are added
 # pylint: skip-file
+from .change_detection import (
+    BOCD,
+    BOCDConfig,
+)
+
 from .cusum_based import (
     CUSUM,
     CUSUMConfig,
@@ -35,6 +40,8 @@
 __all__ = [
     "ADWIN",
     "ADWINConfig",
+    "BOCD",
+    "BOCDConfig",
     "CUSUM",
     "CUSUMConfig",
     "DDM",

frouros/detectors/concept_drift/streaming/change_detection/__init__.py

@@ -0,0 +1,8 @@
+"""Concept drift change detection methods' init."""
+
+from .bocd import BOCD, BOCDConfig
+
+__all__ = [
+    "BOCD",
+    "BOCDConfig",
+]

frouros/detectors/concept_drift/streaming/change_detection/base.py

@@ -0,0 +1,23 @@
+"""Base concept drift ChangeDetection based module."""
+
+import abc
+from typing import Union
+
+from frouros.detectors.concept_drift.streaming.base import (
+    BaseConceptDriftStreaming,
+    BaseConceptDriftStreamingConfig,
+)
+
+
+class BaseChangeDetectionConfig(BaseConceptDriftStreamingConfig):
+    """Class representing a ChangeDetection based configuration class."""
+
+
+class BaseChangeDetection(BaseConceptDriftStreaming):
+    """ChangeDetection based algorithm class."""
+
+    config_type = BaseChangeDetectionConfig
+
+    @abc.abstractmethod
+    def _update(self, value: Union[int, float], **kwargs) -> None:
+        pass