Quickest detection with discretely controlled observations

DOI10.1080/07474946.2015.995993MaRDI QIDQ4982004zbMATH OpenOpenAlexFDO

Authors Erhan Bayraktar, Ross Kravitz

Publication date 23 March 2015

Published in Sequential Analysis (Search for Journal in Brave)

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

zbMATH Keywords

Bayesian change point detectioncontinuous timefinitely many sampling rights

Mathematics Subject Classification ID

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

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.

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Cited in

(9)

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

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