Data-efficient minimax quickest change detection

Taposh Banerjee, Venugopal V. Veeravalli

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

In [1], a Bayesian two-threshold algorithm was obtained for quickest detection of a change in the distribution of a sequence of random variables, subject to constraints of probability of false alarm and observation cost. This algorithm was shown to be asymptotically optimal and to have good trade-off curves. In this paper, the results in [1] are extended to the more practically relevant minimax setting. Motivated by the structure of the algorithm developed in [1], a CUSUM based algorithm, called DE-CUSUM is proposed, which can be used for on-off observation control and to detect change as quickly as possible subject to a false alarm constraint. It is shown that the DE-CUSUM algorithm inherits the good qualities of the algorithm in [1], i.e., it is also asymptotically optimal and has good trade-off curves. Numerical results show that the DE-CUSUM algorithm provides a substantial savings in the observation cost over the naive approach of fractional sampling.

Original languageEnglish (US)
Title of host publication2012 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2012 - Proceedings
Pages3937-3940
Number of pages4
DOIs
StatePublished - Oct 23 2012
Event2012 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2012 - Kyoto, Japan
Duration: Mar 25 2012Mar 30 2012

Publication series

NameICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
ISSN (Print)1520-6149

Other

Other2012 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2012
CountryJapan
CityKyoto
Period3/25/123/30/12

Keywords

  • CUSUM
  • Change point detection
  • energy-efficient sensing
  • observation control

ASJC Scopus subject areas

  • Software
  • Signal Processing
  • Electrical and Electronic Engineering

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    Banerjee, T., & Veeravalli, V. V. (2012). Data-efficient minimax quickest change detection. In 2012 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2012 - Proceedings (pp. 3937-3940). [6288779] (ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings). https://doi.org/10.1109/ICASSP.2012.6288779