Second-Order Asymptotic Optimality in Multisensor Sequential Change Detection

DOI10.1109/TIT.2016.2549042MaRDI QIDQ2976814zbMATH OpenFDO

Authors Georgios Fellouris, Grigory Sokolov

Publication date 28 April 2017

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1410.3815

Mathematics Subject Classification ID

Detection theory in information and communication theory (94A13)

Abstract: A generalized multisensor sequential change detection problem is considered, in which a number of (possibly correlated) sensors monitor an environment in real time, the joint distribution of their observations is determined by a global parameter vector, and at some unknown time there is a change in an unknown subset of components of this parameter vector. In this setup, we consider the problem of detecting the time of the change as soon as possible, while controlling the rate of false alarms. We establish the second-order asymptotic optimality (with respect to Lorden's criterion) of various generalizations of the CUSUM rule; that is, we show that their additional expected worst-case detection delay (relative to the one that could be achieved if the affected subset was known) remains bounded as the rate of false alarm goes to 0, for any possible subset of affected components. This general framework incorporates the traditional multisensor setup in which only an unknown subset of sensors is affected by the change. The latter problem has a special structure which we exploit in order to obtain feasible representations of the proposed schemes. We present the results of a simulation study where we compare the proposed schemes with scalable detection rules that are only first-order asymptotically optimal. Finally, in the special case that the change affects exactly one sensor, we consider the scheme that runs in parallel the local CUSUM rules and study the problem of specifying the local thresholds.

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• Discussion on ``Sequential detection/isolation of abrupt changes by Igor V. Nikiforov
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• Quickest changepoint detection in general multistream stochastic models: recent results, applications and future challenges
• A latent variable model with change-points and its application to time pressure effects in educational assessment

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