In the standard formulation of the quickest change-point detection problem, a sequence of observations, whose distribution changes at some unknown point in time, is available to a decision maker, and the goal is to detect this change as quickly as possible, subject to false alarm constraints. In this paper, we study the quickest change detection problem in the setting where the information avai...

The choice of a particular algorithm for solving a given class of constraint satisfaction problems is often confused by exceptional behaviour of algorithms. One method of reducing the impact of this exceptional behaviour is to adopt an adaptive philosophy to constraint satisfaction problem solving. In this paper we describe one such adaptive algorithm based on the principle of chaining and desi...

Quickest detection is a fascinating area of sequential analysis that spans across various branches of science and engineering. It is a pleasure to welcome Professor Albert Shiryaev’s article, which provides a comprehensive overview (both scientific and historic) of this area. In this discussion, we expand on some of the issues raised in the article that we believe require further elaboration.

In this report quickest detection of an abrupt distribution change with unknown time varying parameters is considered. A novel adaptive approach, Adaptive CUSUM Test, is proposed to tackle this problem, which is shown to outperform the celebrated Parallel CUSUM Test. Performance is evaluated through theoretical analysis and numerical simulations.

We provide a brief overview of the state-of-the-art in quickest (sequential) changepoint detection and present some new results on asymptotic and numerical analysis of main competitors such as the CUSUM, Shiryaev–Roberts, and Shiryaev detection procedures in a Bayesian context.

When a large group of pedestrians moves around a corner, most pedestrians do not follow the shortest path, which is to stay as close as possible to the inner wall, but try to minimize the travel time. For this they accept to move on a longer path with some distance to the corner, to avoid large densities and by this succeed in maintaining a comparatively high speed. In many models of pedestrian...

We consider the quickest detection of idle periods in multiple on-off processes. At each time, only one process can be observed, and the observations are random realizations drawn from two different distributions depending on the current state (on or off) of the chosen process. The objective is to catch an idle period in any of the on-off processes as quickly as possible subject to a reliabilit...