On the informativeness of measurements in Shiryaev’s Bayesian quickest change detection
نویسندگان
چکیده
منابع مشابه
Bayesian Quickest Transient Change Detection
We consider the problem of quickest transient change detection under a Bayesian setting. The change occurs at a random time Γ1 and disappears at a random time Γ2 > Γ1. Thus, at any time k, the system can be in one of the following states, i) prechange, ii) in–change, and iii) out–of–change. We model the evolution of the state by a Markov chain. The state of the system can only be observed parti...
متن کاملGeneral Asymptotic Bayesian Theory of Quickest Change Detection
The optimal detection procedure for detecting changes in independent and identically distributed (i.i.d.) sequences in a Bayesian setting was derived by Shiryaev in the 1960s. However, the analysis of the performance of this procedure in terms of the average detection delay and false alarm probability has been an open problem. In this paper, we develop a general asymptotic change-point detectio...
متن کاملDecentralized quickest change detection
A decentralized formulation of the quickest change detection problem is studied, where the distributions of the observations at all of the sensors in the system change at the time of disruption, and the sensors communicate with a common fusion center. A Bayesian setting is considered in which a priori knowledge of the change time distribution is available. The observations are assumed to be ind...
متن کاملQuickest Change Detection
The problem of detecting changes in the statistical properties of a stochastic system and time series arises in various branches of science and engineering. It has a wide spectrum of important applications ranging from machine monitoring to biomedical signal processing. In all of these applications the observations being monitored undergo a change in distribution in response to a change or anom...
متن کاملMulti-Chart Detection Procedure for Bayesian Quickest Change-Point Detection with Unknown Post-Change Parameters
In this paper, the problem of quickly detecting an abrupt change on a stochastic process under Bayesian framework is considered. Different from the classic Bayesian quickest change-point detection problem, this paper considers the case where there is uncertainty about the post-change distribution. Specifically, the observer only knows that the post-change distribution belongs to a parametric di...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Automatica
سال: 2020
ISSN: 0005-1098
DOI: 10.1016/j.automatica.2019.108645