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We consider the problem of sequential detection of a change in the statistical behavior of a hidden Markov model. By adopting a worst-case analysis with respect to the time of change and by taking into account the data that can be accessed…
In sequential change detection, existing performance measures differ significantly in the way they treat the time of change. By modeling this quantity as a random time, we introduce a general framework capable of capturing and better…
A novel sequential change detection problem is proposed, in which the goal is to not only detect but also accelerate the change. Specifically, it is assumed that the sequentially collected observations are responses to treatments selected…
This paper considers a sequence of random variables generated according to a common distribution. The distribution might undergo periods of transient changes at an unknown set of time instants, referred to as change-points. The objective is…
For the most popular sequential change detection rules such as CUSUM, EWMA, and the Shiryaev-Roberts test, we develop integral equations and a concise numerical method to compute a number of performance metrics, including average detection…
We consider the simple changepoint problem setting, where observations are independent, iid pre-change and iid post-change, with known pre- and post-change distributions. The Shiryaev-Roberts detection procedure is known to be…
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…
The problem of sequential change diagnosis is considered, where observations are obtained on-line, an abrupt change occurs in their distribution, and the goal is to quickly detect the change and accurately identify the post-change…
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…
For the classical continuous-time quickest change-point detection problem it is shown that the randomized Shiryaev-Roberts-Pollak procedure is asymptotically nearly minimax-optimal (in the sense of Pollak 1985) in the class of randomized…
We consider the problem of sequential change detection, where the goal is to design a scheme for detecting any changes in a parameter or functional $\theta$ of the data stream distribution that has small detection delay, but guarantees…
Oftentimes in practice, the observed process changes statistical properties at an unknown point in time and the duration of a change is substantially finite, in which case one says that the change is intermittent or transient. We provide an…
In the multisensor sequential change detection problem, a disruption occurs in an environment monitored by multiple sensors. This disruption induces a change in the observations of an unknown subset of sensors. In the Byzantine version of…
A generalized multisensor sequential change detection problem is considered, in which a number of (possibly correlated) sensors monitor an environment in real time, the joint distribution of their observations is determined by a global…
A Markov process is registered. At random moment $\theta$ the distribution of observed sequence changes. Using probability maximizing approach the optimal stopping rule for detecting the change is identified. Some explicit solution is…
This work considers the problem of detecting signals from multiple sequentially observed data streams, where only one stream can be observed at every time instant. The goal is to detect signals as quickly as possible while controlling the…
In 1960s Shiryaev developed Bayesian theory of change detection in independent and identically distributed (i.i.d.) sequences. In Shiryaev's classical setting the goal is to minimize an average detection delay under the constraint imposed…
This article develops a method to construct the optimal sequential test for monitoring the changes in the distribution of finite observation sequences with a general dependence structure. This method allows us to prove that different…
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…
The popular criteria of optimality for quickest change detection procedures are the Lorden criterion, the Shiryaev-Roberts-Pollak criterion, and the Bayesian criterion. In this paper a robust version of these quickest change detection…