Exactly Optimal Quickest Change Detection of Markov Chains

被引：1

作者：

Ford, Jason J. ^{[1
]}

Kennedy, Justin M. ^{[1
]}

Tompkins, Caitlin ^{[1
]}

James, Jasmin ^{[2
]}

McFadyen, Aaron ^{[1
]}

机构：

[1] Queensland Univ Technol, Sch Elect Engn & Robot, Brisbane, Qld 4000, Australia

[2] Univ Queensland, Sch Mech & Min Engn, Brisbane, Qld 4072, Australia

来源：

IEEE CONTROL SYSTEMS LETTERS | 2023年 / 7卷

关键词：

Information theory and control; fault detection; estimation; SEQUENTIAL DETECTION; SIGNALS;

D O I：

10.1109/LCSYS.2023.3288933

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This letter establishes that an exactly optimal rule for Bayesian Quickest Change Detection (QCD) of Markov chains is an optimal stopping rule in the form of a threshold test on the no change posterior. We also provide a computationally efficient scalar filter for the no change posterior whose effort is independent of the dimension of the chains. We establish that an (undesirable) weak practical super-martingale phenomenon can be exhibited by the no change posterior when the before and after chains are too close in a relative entropy rate sense. The proposed detector is examined in simulation studies.

引用

页码：2749 / 2754

页数：6

共 19 条

[1] DETECTING CHANGES IN SIGNALS AND SYSTEMS - A SURVEY [J].

BASSEVILLE, M .

AUTOMATICA, 1988, 24 (03) :309-326

[2]

Basseville M., 1993, DETECTION ABRUPT CHA, V15

[3]

Cover T.M., 2006, Elements of information theory. Wiley series in telecommunications and signal processing, DOI DOI 10.1002/047174882X

[4] Sequential Detection and Identification of a Change in the Distribution of a Markov-Modulated Random Sequence [J].

Dayanik, Savas ;

Goulding, Christian .

IEEE TRANSACTIONS ON INFORMATION THEORY, 2009, 55 (07) :3323-3345

[5] A general Markov chain approach for disease and rumour spreading in complex networks [J].

de Arruda, Guilherme Ferraz ;

Rodrigues, Francisco Aparecido ;

Rodriguez, Pablo Martin ;

Cozzo, Emanuele ;

Moreno, Yamir .

JOURNAL OF COMPLEX NETWORKS, 2018, 6 (02) :215-242

[6]

Elliott R.J., 1995, HIDDEN MARKOV MODELS

[7]

Faulkner L, 2019, IEEE INT C INTELL TR, P4483, DOI 10.1109/ITSC.2019.8916921

[8]

Ford JJ, 2022, Arxiv, DOI arXiv:2009.00150

[9] On the informativeness of measurements in Shiryaev's Bayesian quickest change detection [J].

Ford, Jason J. ;

James, Jasmin ;

Molloy, Timothy L. .

AUTOMATICA, 2020, 111

[10] Asymptotic Bayesian Theory of Quickest Change Detection for Hidden Markov Models [J].

Fuh, Cheng-Der ;

Tartakovsky, Alexander G. .

IEEE TRANSACTIONS ON INFORMATION THEORY, 2019, 65 (01) :511-529

← 1 2 →