A Bayesian Approach to Sequential Change Detection and Isolation Problems

被引：1
|
作者：
Chen, Jie [1 ,2 ]
Zhang, Wenyi [1 ,2 ]
Poor, H. Vincent [3 ]
机构：
[1] Univ Sci & Technol China, CAS Key Lab Wireless Opt Commun, Hefei 230027, Peoples R China
[2] Univ Sci & Technol China, Dept Elect Engn & Informat Sci, Hefei 230027, Peoples R China
[3] Princeton Univ, Dept Elect Engn, Princeton, NJ 08544 USA
来源：
IEEE TRANSACTIONS ON INFORMATION THEORY | 2021年 / 67卷 / 03期
基金：
美国国家科学基金会; 中国国家自然科学基金;
关键词：
Bayes methods; Delays; Upper bound; Change detection algorithms; Random variables; Stochastic systems; Probability distribution; Asymptotic behavior; average detection delay; Bayesian change detection; change detection and isolation; decision procedures;
D O I：
10.1109/TIT.2020.3042878
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
The problem of sequential change detection and isolation under the Bayesian setting is investigated, where the change point is a random variable with a known distribution. A recursive algorithm is proposed, which utilizes the prior distribution of the change point. We show that the proposed decision procedure is guaranteed to control the false alarm probability and the false isolation probability separately under certain regularity conditions, and it is asymptotically optimal with respect to a Bayesian criterion.
引用
收藏
页码：1796 / 1803
页数：8
相关论文
共 50 条
  • [1] An exact approach to Bayesian sequential change point detection
    Ruggieri, Eric
    Antonellis, Marcus
    COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2016, 97 : 71 - 86
  • [2] Multisource Bayesian sequential change detection
    Dayanik, Savas
    Poor, H. Vincent
    Sezer, Semih O.
    ANNALS OF APPLIED PROBABILITY, 2008, 18 (02): : 552 - 590
  • [3] Bayesian approach to change point problems
    Dey, DK
    Purkayastha, S
    COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 1997, 26 (08) : 2035 - 2047
  • [4] A False Discovery Rate Oriented Approach to Parallel Sequential Change Detection Problems
    Chen, Jie
    Zhang, Wenyi
    Poor, H. Vincent
    IEEE TRANSACTIONS ON SIGNAL PROCESSING, 2020, 68 (68) : 1823 - 1836
  • [5] A Bayesian Approach to Hybrid Fault Detection and Isolation
    Zhang, Shuo
    Baric, Miroslav
    2015 54TH IEEE CONFERENCE ON DECISION AND CONTROL (CDC), 2015, : 4468 - 4473
  • [6] Adaptive Partially Observed Sequential Change Detection and Isolation
    Zhao, Xinyu
    Hu, Jiuyun
    Mei, Yajun
    Yan, Hao
    TECHNOMETRICS, 2022, 64 (04) : 502 - 512
  • [7] Scalable Multichannel Joint Sequential Change Detection and Isolation
    Banerjee, Sourabh
    Fellouris, Georgios
    2017 IEEE INTERNATIONAL SYMPOSIUM ON INFORMATION THEORY (ISIT), 2017,
  • [8] Sequential Change Detection/Isolation With Stochastic Energy Constraints
    Thomas, Jomet
    Jacob, Tony
    2014 Annual IEEE India Conference (INDICON), 2014,
  • [9] A Bayesian Group Sequential Approach to Safety Signal Detection
    Chen, Wenfeng
    Zhao, Naiqing
    Qin, Guoyou
    Chen, Jie
    JOURNAL OF BIOPHARMACEUTICAL STATISTICS, 2013, 23 (01) : 213 - 230
  • [10] Asymptotically optimal Bayesian sequential change detection and identification rules
    Dayanik, Savas
    Powell, Warren B.
    Yamazaki, Kazutoshi
    ANNALS OF OPERATIONS RESEARCH, 2013, 208 (01) : 337 - 370
12345