Fast Change Point Detection for electricity market analysis

Electricity is a vital part of our daily life; therefore it is important to avoid irregularities such as the California Electricity Crisis of 2000 and 2001. In this work, we seek to predict anomalies using advanced machine learning algorithms, more specifically a Change Point Detection (CPD) algorithm on the electricity prices during the California Electricity Crisis. Such algorithms are effective, but computationally expensive when applied on a large amount of data. To address this challenge, we accelerate the Gaussian Process (GP) for 1-dimensional time series data. Since GP is at the core of many statistical learning techniques, this improvement could benefit many algorithms. In the specific Change Point Detection algorithm used in this study, we reduce the overall computational complexity from O(n⁵) to O(n²), where the amountized cost of solving a GP projet is O(1). Our efficient algorithm makes it possible to compute the Change Points using the hourly price data during the California Electricity Crisis. By comparing the detected Change Points with known events, we show that the Change Point Detection algorithm is indeed effective in detecting signals preceding major events.