Quickest change detection of a markov process across a sensor array

Vasanthan Raghavan, Venugopal V. Veeravalli

Research output: Contribution to journalArticlepeer-review


Recent attention in quickest change detection in the multisensor setting has been on the case where the densities of the observations change at the same instant at all the sensors due to the disruption. In this work, a more general scenario is considered where the change propagates across the sensors, and its propagation can be modeled as a Markov process. A centralized, Bayesian version of this problem is considered, with a fusion center that has perfect information about the observations and a priori knowledge of the statistics of the change process. The problem of minimizing the average detection delay subject to false alarm constraints is formulated in a dynamic programming framework. Insights into the structure of the optimal stopping rule are presented. In the limiting case of rare disruptions, it is shown that the structure of the optimal test reduces to thresholding the a posteriori probability of the hypothesis that no change has happened. Under a certain condition on the Kullback-Leibler (K-L) divergence between the post- and the pre-change densities, it is established that the threshold test is asymptotically optimal (in the vanishing false alarm probability regime). It is shown via numerical studies that this low-complexity threshold test results in a substantial improvement in performance over naive tests such as a single-sensor test or a test that incorrectly assumes that the change propagates instantaneously.

Original languageEnglish (US)
Article number5437414
Pages (from-to)1961-1981
Number of pages21
JournalIEEE Transactions on Information Theory
Issue number4
StatePublished - Apr 2010


  • Change-point problems
  • Distributed decision-making
  • Optimal fusion
  • Quickest change detection
  • Sensor networks
  • Sequential detection

ASJC Scopus subject areas

  • Information Systems
  • Computer Science Applications
  • Library and Information Sciences


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