Exactly optimal Bayesian quickest change detection for hidden Markov models

DOI10.1016/J.AUTOMATICA.2023.111232MaRDI QIDQ6073031zbMATH OpenFDO

Authors Jason J. Ford, Jasmin James, Timothy L. Molloy

Publication date 15 September 2023

Published in Automatica (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2009.00150

zbMATH Keywords

Bayesian quickest change detectiondetection algorithmsMarkov modelsShiryaev test

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Applications of statistics in engineering and industry; control charts (62P30)

Abstract: This paper considers the quickest detection problem for hidden Markov models (HMMs) in a Bayesian setting. We construct an augmented HMM representation of the problem that allows the application of a dynamic programming approach to prove that Shiryaev's rule is an (exact) optimal solution. This augmented representation highlights the problem's fundamental information structure and suggests possible relaxations to more exotic change event priors not appearing in the literature. Finally, this augmented representation also allows us to present an efficient computational method for implementing the optimal solution.

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Cited in

(3)

• On the informativeness of measurements in Shiryaev's Bayesian quickest change detection
• Bayesian Quickest Change-Point Detection With Sampling Right Constraints
• Exactly optimal Bayesian quickest change detection for general dependent processes

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