相关论文: Tracking Stopping Times Through Noisy Observations

In order to minimize the generalization error in neural networks, a novel technique to identify overfitting phenomena when training the learner is formally introduced. This enables support of a reliable and trustworthy early stopping…

We suggest a novel procedure for online change point detection. Our approach expands an idea of maximizing a discrepancy measure between points from pre-change and post-change distributions. This leads to flexible algorithms suitable for…

We consider a change-point detection problem for a simple class of Piecewise Deterministic Markov Processes (PDMPs). A continuous-time PDMP is observed in discrete time and through noise, and the aim is to propose a numerical method to…

We develop a theory of optimal stopping problems under G-expectation framework. We first define a new kind of random times, called G-stopping times, which is suitable for this problem. For the discrete time case with finite horizon, the…

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…

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…

We extend the recently introduced regularization/Bayesian System Identification procedures to the estimation of time-varying systems. Specifically, we consider an online setting, in which new data become available at given time steps. The…

We study the optimal multiple stopping time problem defined for each stopping time $S$ by $v(S)=\operatorname {ess}\sup_{\tau_1,...,\tau_d\geq S}E[\psi(\tau_1,...,\tau_d)|\mathcal{F}_S]$. The key point is the construction of a new reward…

Let \xi_0,\xi_1,...,\xi_{\omega-1} be observations from the hidden Markov model with probability distribution P^{\theta_0}, and let \xi_{\omega},\xi_{\omega+1},... be observations from the hidden Markov model with probability distribution…

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…

Given a times series ${\bf Y}$ in $\mathbb{R}^n$, with a piece-wise contant mean and independent components, the twin problems of change-point detection and change-point localization respectively amount to detecting the existence of times…

This work provides a novel convergence analysis for stochastic optimization in terms of stopping times, addressing the practical reality that algorithms are often terminated adaptively based on observed progress. Unlike prior approaches,…

The problem of sequentially detecting a moving anomaly which affects different parts of a sensor network with time is studied. Each network sensor is characterized by a non-anomalous and anomalous distribution, governing the generation of…

Let $(B_t)_{0\leq t\leq T}$ be either a Bernoulli random walk or a Brownian motion with drift, and let $M_t:=\max\{B_s: 0\leq s\leq t\}$, $0\leq t\leq T$. This paper solves the general optimal prediction problem \sup_{0\leq\tau\leq…

This article introduces a novel Bayesian method for asynchronous change-point detection in multivariate time series. This method allows for change-points to occur earlier in some (leading) series followed, after a short delay, by…

We consider the optimal stopping problem $v^{(\eps)}:=\sup_{\tau\in\mathcal{T}_{0,T}}\mathbb{E}B_{(\tau-\eps)^+}$ posed by Shiryaev at the International Conference on Advanced Stochastic Optimization Problems organized by the Steklov…

In this paper, we aim at solving a class of multiple testing problems under the Bayesian sequential decision framework. Our motivating application comes from binary labeling tasks in crowdsourcing, where the requestor needs to…

Many discrete-time optimal stopping problems are known to have more tractable limit forms based on a planar Poisson process. Using this tool we find a solution to the optimal stopping problem for i.i.d. sequence of $n$ discrete uniform…

We present a new method to locate the starting points in time of an arbitrary number of (damped) delayed signals. For a finite data sequence, the method permits to first locate the starting point of the component with the longest delay, and…

The problem of sequential anomaly detection is considered, where multiple data sources are monitored in real time and the goal is to identify the "anomalous" ones among them, when it is not possible to sample all sources at all times. A…