Monte Carlo methods for adaptive disorder problems

DOI10.1007/978-3-642-25746-9_3MaRDI QIDQ2917426zbMATH OpenOpenAlexFDO

Authors Michael Ludkovski

Publication date 28 September 2012

Published in Springer Proceedings in Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-25746-9_3

zbMATH Keywords

adaptive disorderBayes riskdisorder detectionnumerical examplesoptimal stoppingparticle filteringregression Monte Carlostatistical signal processingstochastic filteringWiener and Poisson observation processes

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stopping times; optimal stopping problems; gambling theory (60G40) Bayesian problems; characterization of Bayes procedures (62C10) Optimal stopping in statistics (62L15) Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05) Filtering in stochastic control theory (93E11) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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Cited in

(3)

• Optimal control problems with disorder
• Sequential Bayesian inference in hidden Markov stochastic kinetic models with application to detection and response to seasonal epidemics
• Bayesian quickest detection in sensor arrays

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