相关论文: On the Informativeness of Measurements in Shiryaev…
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…
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…
We consider a sequential Bayesian changepoint detection problem for a general stochastic model, assuming that the observed data may be dependent and non-identically distributed and the prior distribution of the change point is arbitrary,…
In the 1960s, Shiryaev developed a Bayesian theory of change-point detection in the i.i.d. case, which was generalized in the beginning of the 2000s by Tartakovsky and Veeravalli for general stochastic models assuming a certain stability of…
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 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…
Recent attention in quickest change detection in the multi-sensor setting has been on the case where the densities of the observations change at the same instant at all the sensors due to the disruption. In this work, a more general…
Assume that there are multiple data streams (channels, sensors) and in each stream the process of interest produces generally dependent and non-identically distributed observations. When the process is in a normal mode (in-control), the…
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…
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…
The gist of the quickest change-point detection problem is to detect the presence of a change in the statistical behavior of a series of sequentially made observations, and do so in an optimal detection-speed-vs.-"false-positive"-risk…
We consider the quickest change detection problem where both the parameters of pre- and post- change distributions are unknown, which prevents the use of classical simple hypothesis testing. Without additional assumptions, optimal solutions…
The paper addresses a sequential changepoint detection problem for a general stochastic model, assuming that the observed data may be non-i.i.d. (i.e., dependent and non-identically distributed) and the prior distribution of the change…
We consider the problem of quickest change-point detection in data streams. Classical change-point detection procedures, such as CUSUM, Shiryaev-Roberts and Posterior Probability statistics, are optimal only if the change-point model is…
We study a continuous time Bayesian quickest detection problem in which observation times are a scarce resource. The agent, limited to making a finite number of discrete observations, must adaptively decide his observation strategy to…
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 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,…
A finite-horizon variant of the quickest change detection (QCD) problem that is of relevance to learning in non-stationary environments is studied. The metric characterizing false alarms is the probability of a false alarm occurring before…
We consider the classical Shiryaev--Roberts martingale diffusion, $(R_t)_{t\ge0}$, restricted to the interval $[0,A]$, where $A>0$ is a preset absorbing boundary. We take yet another look at the well-known phenomenon of quasi-stationarity…