Bayesian quickest detection with unknown post-change parameter

In this paper, Bayesian quickest change-point detection problem with incomplete post-change information is considered. In particular, the observer knows that the post-change distribution belongs to a parametric distribution family, but he does not know the true value of the post-change parameter. Tw...

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Veröffentlicht in:Proceedings of the ... IEEE International Conference on Acoustics, Speech and Signal Processing (1998) S. 4169 - 4173
Hauptverfasser: Geng, Jun, Lai, Lifeng
Format: Tagungsbericht Journal Article
Sprache:Englisch
Veröffentlicht: IEEE 01.03.2016
Schlagworte:
Algorithm design and analysis
Algorithms
Asymptotic properties
Atmospheric measurements
Bayes methods
Bayesian analysis
Bayesian quickest change detection
Change detection algorithms
Conferences
Delay
Delays
Detection algorithms
False alarms
Formulations
M-Shiryaev procedure
Observers
Optimization
sequential detection
unknown postchange parameter
ISSN:2379-190X
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Zusammenfassung:In this paper, Bayesian quickest change-point detection problem with incomplete post-change information is considered. In particular, the observer knows that the post-change distribution belongs to a parametric distribution family, but he does not know the true value of the post-change parameter. Two problem formulations are considered in this paper. In the first formulation, we assume no additional prior information about the post-change parameter. In this case, the observer aims to design a detection algorithm to minimize the average (over the change-point) detection delay for all possible post-change parameters simultaneously subject to a worst case false alarm constraint. In the second formulation, we assume that there is a prior distribution on the possible value of the unknown parameter. For this case, we propose another formulation that minimizes the average (over both the change-point and the post-change parameter) detection delay subject to an average false alarm constraint. We propose a noval algorithm, which is termed as M-Shiryaev procedure, and show that the proposed algorithm is first order asymptotically optimal for both formulations considered in this paper.
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ISSN:2379-190X
DOI:10.1109/ICASSP.2016.7472462