Related papers: Quickest Detection with Discretely Controlled Obse…
We consider a model of Bayesian observational learning in which a sequence of agents receives a private signal about an underlying binary state of the world. Each agent makes a decision based on its own signal and its observations of…
We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Under a qualification condition, we show that the problem is…
We show that "full-bang" control is optimal in a problem that combines features of (i) sequential least-squares {\it estimation} with Bayesian updating, for a random quantity observed in a bath of white noise; (ii) bounded {\it control} of…
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 consider the problem of efficient on-line anomaly detection in computer network traffic. The problem is approached statistically, as that of sequential (quickest) changepoint detection. A multi-cyclic setting of quickest change detection…
This paper considers the discrete convexity of a cross-layer on-off transmission control problem in wireless communications. In this system, a scheduler decides whether or not to transmit in order to optimize the long-term quality of…
In this paper, we focus on the statistical filtering problem in dynamical models with jumps. When a particular application relies on physical properties which are modeled by linear and Gaussian probability density functions with jumps, an…
Consider the problem on sequential change-point detection on multiple data streams. We provide the asymptotic lower bounds of the detection delays at all levels of change-point sparsity and we derive a smaller asymptotic lower bound of the…
To optimize efficiently over discrete data and with only few available target observations is a challenge in Bayesian optimization. We propose a continuous relaxation of the objective function and show that inference and optimization can be…
In mathematical psychology, recent models for human decision-making use Quantum Decision Theory to capture important human-centric features such as order effects and violation of the sure-thing principle (total probability law). We…
This paper addresses a UAV path planning task that seeks to observe a set of objects while satisfying the observation quality constraint. A dynamic programming algorithm is proposed that enables the UAV to observe the target objects with…
This paper proposes a method to construct an adaptive agent that is universal with respect to a given class of experts, where each expert is an agent that has been designed specifically for a particular environment. This adaptive control…
The field of quickest change detection (QCD) concerns design and analysis of algorithms to estimate in real time the time at which an important event takes place and identify properties of the post-change behavior. The goal is to devise a…
In this article, a general problem of sequential statistical inference for general discrete-time stochastic processes is considered. The problem is to minimize an average sample number given that Bayesian risk due to incorrect decision does…
For the problem of sequential detection of changes, we adopt the probability maximizing approach in place of the classical minimization of the average detection delay, and propose modified versions of the Shiryaev, Lorden and Pollak…
We address the problem of sequentially selecting and observing processes from a given set to find the anomalies among them. The decision-maker observes one process at a time and obtains a noisy binary indicator of whether or not the…
This paper provides the first description of a weak practical super-martingale phenomenon that can emerge in the test statistic in Shiryaev's Bayesian quickest change detection (QCD) problem. We establish that this super-martingale…
The maximum surveillance of a target which is holding course is considered, wherein an observer vehicle aims to maximize the time that a faster target remains within a fixed-range of the observer. This entails two coupled phases: an…
How to observe the state of a network from a limited number of measurements has become an important issue in complex networks, engineering, communication, epidemiology, etc. Under some scenarios, it is neither unfeasible nor unnecessary to…
In this paper, we discuss a class of distributed detection algorithms which can be viewed as implementations of Bayes' law in distributed settings. Some of the algorithms are proposed in the literature most recently, and others are first…