Quickest Detection with Discretely Controlled Observations

DOI10.1080/07474946.2015.995993zbMATH Open1309.62142arXiv1212.4717OpenAlexW2038292930MaRDI QIDQ4982004FDOQ4982004

Ross Kravitz, Erhan Bayraktar

Publication date: 23 March 2015

Published in: Sequential Analysis (Search for Journal in Brave)

Abstract: We study a continuous time Bayesian quickest detection problem in which observation times are a scarce resource. The agent, limited to making a finite number of discrete observations, must adaptively decide his observation strategy to minimize detection delay and the probability of false alarm. Under two different models of observation rights, we establish the existence of optimal strategies, and formulate an algorithmic approach to the problem via jump operators. We describe algorithms for these problems, and illustrate them with some numerical results. As the number of observation rights tends to infinity, we also show convergence to the classical continuous observation problem of Shiryaev.

Full work available at URL: https://arxiv.org/abs/1212.4717

zbMATH Keywords

continuous timeBayesian change point detectionfinitely many sampling rights

Mathematics Subject Classification ID

Bayesian inference (62F15) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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Cited In (6)

• A quickest detection problem with an observation cost
• Multiple stopping time POMDPs: structural results \& application in interactive advertising on social media
• Disorder detection with costly observations
• Quickest Change Detection With Observation Scheduling
• Asset liquidation under drift uncertainty and regime-switching volatility
• A remark on the quickest detection problems

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