Quickest Detection of a Minimum of Two Poisson Disorder Times

DOI10.1137/050630933MaRDI QIDQ5444237zbMATH OpenOpenAlexFDO

Authors Erhan Bayraktar, H. Vincent Poor

Publication date 25 February 2008

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

Full work available at URL https://arxiv.org/abs/cs/0509029

zbMATH Keywords

change detectionoptimal stoppingPoisson processes

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15) Applications of statistics in engineering and industry; control charts (62P30)

Abstract: A multi-source quickest detection problem is considered. Assume there are two independent Poisson processes $X^1$ and $X^2$ with disorder times $het{a}_1$ and $het{a}_2$, respectively; that is, the intensities of $X^1$ and $X^2$ change at random unobservable times $het{a}_1$ and $het{a}_2$, respectively. $het{a}_1$ and $het{a}_2$ are independent of each other and are exponentially distributed. Define $hetariangleqhet{a}_{1}wedgehet{a}_2=minhet{a}_1,het{a}_2$ . For any stopping time $au$ that is measurable with respect to the filtration generated by the observations define a penalty function of the form [ R_{ au}=mathbb{P}( au< heta)+c mathbb{E}[( au- heta)^{+}], ] where $c>0$ and $(au-heta{)}^{+}$ is the positive part of $au-heta$. It is of interest to find a stopping time $au$ that minimizes the above performance index. Since both observations $X^1$ and $X^2$ reveal information about the disorder time $heta$, even this simple problem is more involved than solving the disorder problems for $X^1$ and $X^2$ separately. This problem is formulated in terms of a three dimensional sufficient statistic, and the corresponding optimal stopping problem is examined. A two dimensional optimal stopping problem whose optimal stopping time turns out to coincide with the optimal stopping time of the original problem for some range of parameters is also solved. The value function of this problem serves as a tight upper bound for the original problem's value function. The two solutions are characterized by iterating suitable functional operators.

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Cited in

(10)

• Quickest real-time detection of a Brownian coordinate drift
• Change-level detection for Lévy subordinators
• Multisource Bayesian sequential change detection
• Quickest search over Brownian channels
• On some functionals of the first passage times in models with switching stochastic volatility
• Bayesian quickest detection in sensor arrays
• Multi-dimensional sequential testing and detection
• On some functionals of the first passage times in jump models of stochastic volatility
• Quickest change-point detection problems for multidimensional Wiener processes
• Robustness of the \(N\)-CUSUM stopping rule in a Wiener disorder problem

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