On sequential hypotheses testing via convex optimization

DOI10.1134/S0005117915050070zbMATH Open1323.62081arXiv1412.1605OpenAlexW1517588581WikidataQ57392881 ScholiaQ57392881MaRDI QIDQ747232FDOQ747232

Anatoli Juditsky, Arkadi Nemirovski

Publication date: 23 October 2015

Published in: Automation and Remote Control (Search for Journal in Brave)

Abstract: We propose a new approach to sequential testing which is an adaptive (on-line) extension of the (off-line) framework developed in [10]. It relies upon testing of pairs of hypotheses in the case where each hypothesis states that the vector of parameters underlying the dis- tribution of observations belongs to a convex set. The nearly optimal under appropriate conditions test is yielded by a solution to an efficiently solvable convex optimization prob- lem. The proposed methodology can be seen as a computationally friendly reformulation of the classical sequential testing.

Full work available at URL: https://arxiv.org/abs/1412.1605

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Convex programming (90C25) Sequential statistical analysis (62L10)

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Cited In (4)

• Hypothesis testing via Euclidean separation
• On sequential hypotheses testing via convex optimization
• Change detection via affine and quadratic detectors
• Optimal sequential testing for an inverse Gaussian process

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