Bayesian sequential change diagnosis
From MaRDI portal
Abstract: Sequential change diagnosis is the joint problem of detection and identification of a sudden and unobservable change in the distribution of a random sequence. In this problem, the common probability law of a sequence of i.i.d. random variables suddenly changes at some disorder time to one of finitely many alternatives. This disorder time marks the start of a new regime, whose fingerprint is the new law of observations. Both the disorder time and the identity of the new regime are unknown and unobservable. The objective is to detect the regime-change as soon as possible, and, at the same time, to determine its identity as accurately as possible. Prompt and correct diagnosis is crucial for quick execution of the most appropriate measures in response to the new regime, as in fault detection and isolation in industrial processes, and target detection and identification in national defense. The problem is formulated in a Bayesian framework. An optimal sequential decision strategy is found, and an accurate numerical scheme is described for its implementation. Geometrical properties of the optimal strategy are illustrated via numerical examples. The traditional problems of Bayesian change-detection and Bayesian sequential multi-hypothesis testing are solved as special cases. In addition, a solution is obtained for the problem of detection and identification of component failure(s) in a system with suspended animation.
Recommendations
- Asymptotically optimal Bayesian sequential change detection and identification rules
- A generalized change detection problem
- Optimal detection of changing properties of random sequences. II: Sequential detection
- Optimal detection of changing properties of random sequences. I: Nonsequential detection
- Multisource Bayesian sequential change detection
Cited in
(10)- Detection and identification of changes of hidden Markov chains: asymptotic theory
- Robust control of partially observable failing systems
- Optimal Control of a Partially Observable Failing System with Costly Multivariate Observations
- Asymptotic optimized CUSUM and EWMA multi-charts for jointly detecting and diagnosing unknown change
- Multistate Bayesian control chart over a finite horizon
- Asymptotically optimal Bayesian sequential change detection and identification rules
- Optimal sequential multiclass diagnosis
- American step-up and step-down default swaps under Lévy models
- Model misspecification in discrete time Bayesian online change detection
- Sequential change diagnosis revisited and the Adaptive Matrix CuSum
This page was built for publication: Bayesian sequential change diagnosis
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3168978)
