Related papers: Tracking Stopping Times Through Noisy Observations
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…
In this work we consider optimal stopping problems with conditional convex risk measures called optimised certainty equivalents. Without assuming any kind of time-consistency for the underlying family of risk measures, we derive a novel…
The objective in this paper is to obtain fast converging reinforcement learning algorithms to approximate solutions to the problem of discounted cost optimal stopping in an irreducible, uniformly ergodic Markov chain, evolving on a compact…
The problem of sequentially detecting an abrupt change in a sequence of independent and identically distributed (IID) random variables is addressed. Whereas previous approaches assume a known probability density function (PDF) at the start…
Quantitative analysis of the dynamics of tiny cellular and sub-cellular structures, known as particles, in time-lapse cell microscopy sequences requires the development of a reliable multi-target tracking method capable of tracking numerous…
The forecasting problem for a stationary and ergodic binary time series $\{X_n\}_{n=0}^{\infty}$ is to estimate the probability that $X_{n+1}=1$ based on the observations $X_i$, $0\le i\le n$ without prior knowledge of the distribution of…
A weighted Shiryaev-Roberts change detection procedure is shown to approximately minimize the expected delay to detection as well as higher moments of the detection delay among all change-point detection procedures with the given low…
We generalize the classic change-point problem to a "change-set" framework: a spatial Poisson process changes its intensity on an unobservable random set. Optimal detection of the set is defined by maximizing the expected value of a gain…
We introduce the notion of adaptive synchronisation for pushdown automata, in which there is an external observer who has no knowledge about the current state of the pushdown automaton, but can observe the contents of the stack. The…
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…
In the regime of change-point detection, a nonparametric framework based on scan statistics utilizing graphs representing similarities among observations is gaining attention due to its flexibility and good performances for high-dimensional…
Randomized experiments are the gold standard for evaluating the effects of changes to real-world systems. Data in these tests may be difficult to collect and outcomes may have high variance, resulting in potentially large measurement error.…
We consider a class of time-inhomogeneous optimal stopping problems and we provide sufficient conditions on the data of the problem that guarantee monotonicity of the optimal stopping boundary. In our setting, time-inhomogeneity stems not…
Suppose $N$ independent Bernoulli trials are observed sequentially at random times of a mixed binomial process. The task is to maximise, by using a nonanticipating stopping strategy, the probability of stopping at the last success. We focus…
Consider a target moving at a constant velocity on a unit-circumference circle, starting at an arbitrary location. To acquire the target, any region of the circle can be probed to obtain a noisy measurement of the target's presence, where…
This paper combines data-driven and model-driven methods for real-time misinformation detection. Our algorithm, named QuickStop, is an optimal stopping algorithm based on a probabilistic information spreading model obtained from labeled…
Graph planning gives rise to fundamental algorithmic questions such as shortest path, traveling salesman problem, etc. A classical problem in discrete planning is to consider a weighted graph and construct a path that maximizes the sum of…
In this paper, we study the problem of map matching with travel time constraints. Given a sequence of $k$ spatio-temporal measurements and an embedded path graph with travel time costs, the goal is to snap each measurement to a close-by…
Consider the following distance query for an $n$-node graph $G$ undergoing edge insertions and deletions: given two sets of nodes $I$ and $J$, return the distances between every pair of nodes in $I\times J$. This query is rather general and…
This paper establishes a stochastic maximum principle for optimal control problems governed by time-changed forward-backward stochastic differential equations with L\'evy noise. The system incorporates a random, non-decreasing operational…