Sequential controlled sensing for composite multihypothesis testing

DOI10.1080/07474946.2021.1912525MaRDI QIDQ4959347zbMATH OpenOpenAlexFDO

Authors Aditya Deshmukh, Srikrishna Bhashyam, Venugopal V. Veeravalli

Publication date 13 September 2021

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1910.12697

zbMATH Keywords

active hypothesis testingcomposite hypothesis testingobservation controlsequential hypothesis testing

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Sequential statistical design (62L05) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Abstract: The problem of multi-hypothesis testing with controlled sensing of observations is considered. The distribution of observations collected under each control is assumed to follow a single-parameter exponential family distribution. The goal is to design a policy to find the true hypothesis with minimum expected delay while ensuring that the probability of error is below a given constraint. The decision-maker can control the delay by intelligently choosing the control for observation collection in each time slot. We derive a policy that satisfies the given constraint on the error probability. We also show that the policy is asymptotically optimal in the sense that it asymptotically achieves an information-theoretic lower bound on the expected delay.

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Cites work

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(3)

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