Bayesian Quickest Change-Point Detection With Sampling Right Constraints

DOI10.1109/TIT.2014.2341607MaRDI QIDQ2986113zbMATH OpenOpenAlexFDO

Authors Jun Geng, Erhan Bayraktar, Lifeng Lai

Publication date 16 May 2017

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

Full work available at URL https://arxiv.org/abs/1309.5396

Mathematics Subject Classification ID

Detection theory in information and communication theory (94A13)

Abstract: In this paper, Bayesian quickest change detection problems with sampling right constraints are considered. Specifically, there is a sequence of random variables whose probability density function will change at an unknown time. The goal is to detect this change in a way such that a linear combination of the average detection delay and the false alarm probability is minimized. Two types of sampling right constrains are discussed. The first one is a limited sampling right constraint, in which the observer can take at most $N$ observations from this random sequence. Under this setup, we show that the cost function can be written as a set of iterative functions, which can be solved by Markov optimal stopping theory. The optimal stopping rule is shown to be a threshold rule. An asymptotic upper bound of the average detection delay is developed as the false alarm probability goes to zero. This upper bound indicates that the performance of the limited sampling right problem is close to that of the classic Bayesian quickest detection for several scenarios of practical interest. The second constraint discussed in this paper is a stochastic sampling right constraint, in which sampling rights are consumed by taking observations and are replenished randomly. The observer cannot take observations if there are no sampling rights left. We characterize the optimal solution, which has a very complex structure. For practical applications, we propose a low complexity algorithm, in which the sampling rule is to take observations as long as the observer has sampling rights left and the detection scheme is a threshold rule. We show that this low complexity scheme is first order asymptotically optimal as the false alarm probability goes to zero.

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• The optimal CUSUM control chart with a dynamic non-random control limit and a given sampling strategy for small samples sequence

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