A Bayesian Theory of Change Detection in Statistically Periodic Random Processes

DOI10.1109/TIT.2021.3053149MaRDI QIDQ5001651zbMATH OpenOpenAlexFDO

Authors Taposh Banerjee, Prudhvi Gurram, Gene T. Whipps

Publication date 22 July 2021

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1904.03530

zbMATH Keywords

Bayesian change point problemMarkov decision process (MDP)optimal control problem

Mathematics Subject Classification ID

Bayesian inference (62F15) Optimal stopping in statistics (62L15) Non-Markovian processes: hypothesis testing (62M07) Inference from stochastic processes and spectral analysis (62M15)

Abstract: A new class of stochastic processes called independent and periodically identically distributed (i.p.i.d.) processes is defined to capture periodically varying statistical behavior. A novel Bayesian theory is developed for detecting a change in the distribution of an i.p.i.d. process. It is shown that the Bayesian change point problem can be expressed as a problem of optimal control of a Markov decision process (MDP) with periodic transition and cost structures. Optimal control theory is developed for periodic MDPs for discounted and undiscounted total cost criteria. A fixed-point equation is obtained that is satisfied by the optimal cost function. It is shown that the optimal policy for the MDP is nonstationary but periodic in nature. A value iteration algorithm is obtained to compute the optimal cost function. The results from the MDP theory are then applied to detect changes in i.p.i.d. processes. It is shown that while the optimal change point algorithm is a stopping rule based on a periodic sequence of thresholds, a single-threshold policy is asymptotically optimal, as the probability of false alarm goes to zero. Numerical results are provided to demonstrate that the asymptotically optimal policy is not strictly optimal.

Cited in

(6)

• Exactly optimal Bayesian quickest change detection for hidden Markov models
• Modeling and quickest detection of a rapidly approaching object
• Quickest change detection in statistically periodic processes with unknown post-change distribution
• Robust quickest change detection in nonstationary processes
• Modified Wald formulation for sequential binary hypothesis testing in statistically periodic processes
• Exactly optimal Bayesian quickest change detection for general dependent processes

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