Sorry, you need to enable JavaScript to visit this website.

facebooktwittermailshare

BAYESIAN QUICKEST CHANGE POINT DETECTION WITH MULTIPLE CANDIDATES OF POST-CHANGE MODELS

Abstract: 

We study the quickest change point detection for systems with multiple possible post-change models. A change point is the time instant at which the distribution of a random process changes. We consider the case that the post-change model is from a finite set of possible models. Under the Bayesian setting, the objective is to minimize the average detection delay (ADD), subject to upper bounds on the probability of false alarm (PFA). The proposed algorithm is a threshold-based sequential test. With asymptotic analysis, the analytical ADD of the proposed algorithm is expressed as closed-form functions of the PFA, prior probabilities of change points and models, and the Kullback-Leibler divergences among various models. The proposed algorithm is shown to be asymptotically optimum in terms of ADD when the PFA tends to zero.

up
0 users have voted:

Paper Details

Authors:
Samrat Nath, Jingxian Wu
Submitted On:
24 November 2018 - 2:22pm
Short Link:
Type:
Presentation Slides
Event:
Presenter's Name:
Samrat Nath
Paper Code:
1245
Document Year:
2018
Cite

Document Files

Change_Detection_GlobalSIP18.pdf

(65)

Subscribe

[1] Samrat Nath, Jingxian Wu, "BAYESIAN QUICKEST CHANGE POINT DETECTION WITH MULTIPLE CANDIDATES OF POST-CHANGE MODELS", IEEE SigPort, 2018. [Online]. Available: http://sigport.org/3771. Accessed: Aug. 17, 2019.
@article{3771-18,
url = {http://sigport.org/3771},
author = {Samrat Nath; Jingxian Wu },
publisher = {IEEE SigPort},
title = {BAYESIAN QUICKEST CHANGE POINT DETECTION WITH MULTIPLE CANDIDATES OF POST-CHANGE MODELS},
year = {2018} }
TY - EJOUR
T1 - BAYESIAN QUICKEST CHANGE POINT DETECTION WITH MULTIPLE CANDIDATES OF POST-CHANGE MODELS
AU - Samrat Nath; Jingxian Wu
PY - 2018
PB - IEEE SigPort
UR - http://sigport.org/3771
ER -
Samrat Nath, Jingxian Wu. (2018). BAYESIAN QUICKEST CHANGE POINT DETECTION WITH MULTIPLE CANDIDATES OF POST-CHANGE MODELS. IEEE SigPort. http://sigport.org/3771
Samrat Nath, Jingxian Wu, 2018. BAYESIAN QUICKEST CHANGE POINT DETECTION WITH MULTIPLE CANDIDATES OF POST-CHANGE MODELS. Available at: http://sigport.org/3771.
Samrat Nath, Jingxian Wu. (2018). "BAYESIAN QUICKEST CHANGE POINT DETECTION WITH MULTIPLE CANDIDATES OF POST-CHANGE MODELS." Web.
1. Samrat Nath, Jingxian Wu. BAYESIAN QUICKEST CHANGE POINT DETECTION WITH MULTIPLE CANDIDATES OF POST-CHANGE MODELS [Internet]. IEEE SigPort; 2018. Available from : http://sigport.org/3771