Data-efficient quickest change detection with unknown post-change distribution

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

Abstract

The problem of quickest change detection is studied, where there is an additional constraint on the cost of observations used before the change point and where the post-change distribution is unknown. An algorithm is proposed for the case where there are finite number of possibilities for the unknown post-change distribution. It is shown that if the post-change family of distributions satisfies some additional conditions, then the proposed algorithm is asymptotically optimal uniformly for all possible post-change distributions.

Original languageEnglish (US)
Title of host publication2014 IEEE International Symposium on Information Theory, ISIT 2014
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages741-745
Number of pages5
ISBN (Print)9781479951864
DOIs
StatePublished - Jan 1 2014
Event2014 IEEE International Symposium on Information Theory, ISIT 2014 - Honolulu, HI, United States
Duration: Jun 29 2014Jul 4 2014

Publication series

NameIEEE International Symposium on Information Theory - Proceedings
ISSN (Print)2157-8095

Other

Other2014 IEEE International Symposium on Information Theory, ISIT 2014
CountryUnited States
CityHonolulu, HI
Period6/29/147/4/14

ASJC Scopus subject areas

  • Theoretical Computer Science
  • Information Systems
  • Modeling and Simulation
  • Applied Mathematics

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  • Cite this

    Banerjee, T., & Veeravalli, V. V. (2014). Data-efficient quickest change detection with unknown post-change distribution. In 2014 IEEE International Symposium on Information Theory, ISIT 2014 (pp. 741-745). [6874931] (IEEE International Symposium on Information Theory - Proceedings). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/ISIT.2014.6874931