Related papers: Data-Efficient Quickest Change Detection with On-O…
In the problem of quickest change detection, a change occurs at some unknown time in the distribution of a sequence of random vectors that are monitored in real time, and the goal is to detect this change as quickly as possible subject to a…
We propose a quickest change detection problem over sensor networks where both the subset of sensors undergoing a change and the local post-change distributions are unknown. Each sensor in the network observes a local discrete time random…
We study a monitoring system in which the distributions of sensors' observations change from a nominal distribution to an abnormal distribution in response to an adversary's presence. The system uses the quickest change detection procedure,…
In the quickest change detection problem in which both nuisance and critical changes may occur, the objective is to detect the critical change as quickly as possible without raising an alarm when either there is no change or a nuisance…
We consider the quickest change-point detection problem where the aim is to detect the onset of a pre-specified drift in "live"-monitored standard Brownian motion; the change-point is assumed unknown (nonrandom). The object of interest is…
High-dimensional data has become popular due to the easy accessibility of sensors in modern industrial applications. However, one specific challenge is that it is often not easy to obtain complete measurements due to limited sensing powers…
This paper deals with the problem of asymptotically optimal detection of changes in regime-switching stochastic models. We need to divide the whole obtained sample of data into several sub-samples with observations belonging to different…
Autonomous control systems use various sensors to decrease the amount of uncertainty under which they operate. While providing partial observation of the current state of the system, sensors require resources such as energy, time and…
Many offline unsupervised change point detection algorithms rely on minimizing a penalized sum of segment-wise costs. We extend this framework by proposing to minimize a sum of discrepancies between segments. In particular, we propose to…
The paper investigates the problems of quickest change detection in Markov models and hidden Markov models (HMMs). Sequential observations are taken from a (hidden) Markov model. At some unknown time, an event occurs in the system and…
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…
In many real-world problems of real-time monitoring high-dimensional streaming data, one wants to detect an undesired event or change quickly once it occurs, but under the sampling control constraint in the sense that one might be able to…
This paper investigates a novel offline change-point detection problem from an information-theoretic perspective. In contrast to most related works, we assume that the knowledge of the underlying pre- and post-change distributions are not…
This paper investigates change point detection in state space models, in which the pre-change distribution $f^{\theta_0}$ is given, while the poster distribution $f^{\theta}$ after change is unknown. The problem is to raise an alarm as soon…
Change-of-measure is a powerful technique used across statistics, probability and analysis. Particularly known as Wald's likelihood ratio identity, the technique enabled the proof of a number of exact and asymptotic optimality results…
A quickest change detection problem is considered in a sensor network with observations whose statistical dependency structure across the sensors before and after the change is described by a decomposable graphical model (DGM). Distributed…
The problem of quickest growing dynamic anomaly detection in sensor networks is studied. Initially, the observations at the sensors, which are sampled sequentially by the decision maker, are generated according to a pre-change distribution.…
In several applications such as databases, planning, and sensor networks, parameters such as selectivity, load, or sensed values are known only with some associated uncertainty. The performance of such a system (as captured by some…
We investigate the problem of covert quickest change detection in a continuous-time setting, where a Brownian motion experiences a drift change at an unknown time. Unlike classical formulations, we consider a covert adversary who adjusts…
This work examines the problem of sequential detection of a change in the drift of a Brownian motion in the case of two-sided alternatives. Applications to real life situations in which two-sided changes can occur are discussed.…