Asymptotically optimal quickest change detection in distributed sensor systems

Alexander G. Tartakovsky, Venugopal V. Veeravalli

Research output: Contribution to journalArticlepeer-review

Abstract

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 available for decision-making is distributed across a set of geographically separated sensors, and only a compressed version of observations in sensors may be used for final decision-making due to communication bandwidth constraints. We consider the minimax, uniform, and Bayesian versions of the optimization problem, and we present asymptotically optimal decentralized quickest change detection procedures for two scenarios. In the first scenario, the sensors send quantized versions of their observations to a fusion center where the change detection is performed based on all the sensor messages. In the second scenario, the sensors perform local change detection and send their final decisions to the fusion center for combining. We show that our decentralized procedures for the latter scenario have the same first-order asymptotic performance as the corresponding centralized procedures that have access to all of the sensor observations. We also present simulation results for examples involving Gaussian and Poisson observations. These examples show that although the procedures with local decisions are globally asymptotically optimal as the false alarm rate (or probability) goes to zero, they perform worse than the corresponding decentralized procedures with binary quantization at the sensors, unless the false alarm rate (or probability) is unreasonably small.

Original languageEnglish (US)
Pages (from-to)441-475
Number of pages35
JournalSequential Analysis
Volume27
Issue number4
DOIs
StatePublished - Oct 2008

Keywords

  • CUSUM procedure
  • Change-point detection
  • Distributed decision-making
  • Optimal fusion
  • Shiryaev procedure
  • Shiryaev-Roberts procedure

ASJC Scopus subject areas

  • Statistics and Probability
  • Modeling and Simulation

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