Quickest detection in coupled systems

DOI10.1137/100810423MaRDI QIDQ3192134zbMATHOpenAlexFDO

Authors Hongzhong Zhang, Olympia Hadjiliadis, Tobias Schäfer, H. Vincent Poor

Publication date 26 September 2014

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1403.3931

zbMATH Keywords

CUSUMKullback-Leibler divergencequickest detection

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Minimax procedures in statistical decision theory (62C20) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Abstract: This work considers the problem of quickest detection of signals in a coupled system of $N$ sensors, which receive continuous sequential observations from the environment. It is assumed that the signals, which are modeled by general It^{o} processes, are coupled across sensors, but that their onset times may differ from sensor to sensor. Two main cases are considered; in the first one signal strengths are the same across sensors while in the second one they differ by a constant. The objective is the optimal detection of the first time at which any sensor in the system receives a signal. The problem is formulated as a stochastic optimization problem in which an extended minimal Kullback-Leibler divergence criterion is used as a measure of detection delay, with a constraint on the mean time to the first false alarm. The case in which the sensors employ cumulative sum (CUSUM) strategies is considered, and it is proved that the minimum of $N$ CUSUMs is asymptotically optimal as the mean time to the first false alarm increases without bound. In particular, in the case of equal signal strengths across sensors, it is seen that the difference in detection delay of the $N$-CUSUM stopping rule and the unknown optimal stopping scheme tends to a constant related to the number of sensors as the mean time to the first false alarm increases without bound. Alternatively, in the case of unequal signal strengths, it is seen that this difference tends to zero.

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Cited in

(6)

• On the reaction time of moving sum detectors
• Robustness of the \(N\)-CUSUM stopping rule in a Wiener disorder problem
• COUPLED DETECTION RATES: AN INTRODUCTION
• Analysis of a drawdown-based regime-switching Lévy insurance model
• Sequential sensor installation for Wiener disorder detection
• Occupation times, drawdowns, and drawups for one-dimensional regular diffusions

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