Related papers: Quickest Detection with Discretely Controlled Obse…
In this paper, Bayesian quickest change detection problems with sampling right constraints are considered. Specifically, there is a sequence of random variables whose probability density function will change at an unknown time. The goal is…
The problem of detecting changes in the statistical properties of a stochastic system and time series arises in various branches of science and engineering. It has a wide spectrum of important applications ranging from machine monitoring to…
In this paper we extend the Shiryaev's quickest change detection formulation by also accounting for the cost of observations used before the change point. The observation cost is captured through the average number of observations used in…
We study the Bayesian problems of detecting a change in the drift rate of an observable diffusion process with linear and exponential penalty costs for a detection delay. The optimal times of alarms are found as the first times at which the…
In the classical quickest detection problem, one must detect as quickly as possible when a Brownian motion without drift "changes" into a Brownian motion with positive drift. The change occurs at an unknown "disorder" time with exponential…
In this paper, we study a continuous-time discounted jump Markov decision process with both controlled actions and observations. The observation is only available for a discrete set of time instances. At each time of observation, one has to…
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.…
We formulate and solve a variant of the quickest detection problem which features false negatives. A standard Brownian motion acquires a drift at an independent exponential random time which is not directly observable. Based on the…
The classical problem of quickest change detection is studied with an additional constraint on the cost of observations used in the detection process. The change point is modeled as an unknown constant, and minimax formulations are proposed…
This paper considers the quickest detection problem for hidden Markov models (HMMs) in a Bayesian setting. We construct an augmented HMM representation of the problem that allows the application of a dynamic programming approach to prove…
The problem of quickest detection of a change in the distribution of a sequence of random variables is studied. The objective is to detect the change with the minimum possible delay, subject to constraints on the rate of false alarms and…
In the classical quickest change detection problem, an observer performs a single experiment to monitor a stochastic process. The goal in the classical problem is to detect a change in the statistical properties of the process, with the…
We investigate the problem of covert quickest change detection in a Bayesian and infinite-horizon setting. A legitimate entity seeks to detect a change in the state of a discrete memoryless channel as quickly as possible by actively probing…
We provide a bird's eye view onto the area of sequential change-point detection. We focus on the discrete-time case with known pre- and post-change data distributions and offer a summary of the forefront asymptotic results established in…
We consider the quickest change-point detection problem in pointwise and minimax settings for general dependent data models. Two new classes of sequential detection procedures associated with the maximal "local" probability of a false alarm…
In this chapter, we explain how quickest detection algorithms can be useful for risk management in presence of seasonality. We investigate the problem of detecting fast enough cases when a call center will need extra staff in a near future…
In this paper, we consider the problem of quickest change point detection and identification over a linear array of $N$ sensors, where the change pattern could first reach any of these sensors, and then propagate to the other sensors. Our…
The problem of quickest detection of dynamic events in networks is studied. At some unknown time, an event occurs, and a number of nodes in the network are affected by the event, in that they undergo a change in the statistics of their…
We consider how local and global decision policies interact in stopping time problems such as quickest time change detection. Individual agents make myopic local decisions via social learning, that is, each agent records a private…
Quickest change point detection is concerned with the detection of statistical change(s) in sequences while minimizing the detection delay subject to false alarm constraints. In this paper, the problem of change point detection is studied…