Exactly Optimal Quickest Change Detection of Markov Chains
Systems and Control
2023-03-27 v1 Systems and Control
Statistics Theory
Statistics Theory
Abstract
This paper establishes that an exactly optimal rule for Bayesian Quickest Change Detection (QCD) of Markov chains is a threshold test on the no change posterior. We also provide a computationally efficient scalar filter for the no change posterior whose effort is independent of the dimension of the chains. We establish that an (undesirable) weak practical super-martingale phenomenon can be exhibited by the no change posterior when the before and after chains are too close in a relative entropy rate sense. The proposed detector is examined in simulation studies.
Cite
@article{arxiv.2303.13778,
title = {Exactly Optimal Quickest Change Detection of Markov Chains},
author = {Jason J. Ford and Justin M. Kennedy and Caitlin Tompkins and Jasmin James and Aaron McFadyen},
journal= {arXiv preprint arXiv:2303.13778},
year = {2023}
}
Comments
6 pages, 3 figures