Data-Efficient Quickest Change Detection in Minimax Settings

DOI10.1109/TIT.2013.2272313MaRDI QIDQ5346334zbMATH OpenOpenAlexFDO

Authors Taposh Banerjee, Venugopal V. Veeravalli

Publication date 8 June 2017

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

Full work available at URL https://arxiv.org/abs/1211.3729

Mathematics Subject Classification ID

Detection theory in information and communication theory (94A13)

Abstract: 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 for the problem. The objective in these formulations is to find a stopping time and an on-off observation control policy for the observation sequence, to minimize a version of the worst possible average delay, subject to constraints on the false alarm rate and the fraction of time observations are taken before change. An algorithm called DE-CuSum is proposed and is shown to be asymptotically optimal for the proposed formulations, as the false alarm rate goes to zero. Numerical results are used to show that the DE-CuSum algorithm has good trade-off curves and performs significantly better than the approach of fractional sampling, in which the observations are skipped using the outcome of a sequence of coin tosses, independent of the observation process. This work is guided by the insights gained from an earlier study of a Bayesian version of this problem.

Cited in

(8)

• A quickest detection problem with an observation cost
• An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach
• Quickest detection with discretely controlled observations
• Sequential algorithms for moving anomaly detection in networks
• Data-efficient minimax quickest change detection in a decentralized system
• Quickest Change Detection With Observation Scheduling
• Modeling and quickest detection of a rapidly approaching object
• 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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