TY - GEN
T1 - Quickest change detection under transient dynamics
AU - Rovatsos, Georgios
AU - Zou, Shaofeng
AU - Veeravalli, Venugopal V.
N1 - Publisher Copyright:
© 2017 IEEE.
PY - 2017/6/16
Y1 - 2017/6/16
N2 - The problem of transient quickest change detection (QCD) is studied, in which the change from the initial to the final phase does not happen instantaneously, but after a series of cascading transient phases of finite durations, each one corresponding to a different probability distribution. The goal is to design a stopping rule to detect the change as quickly as possible, subject to false alarm constraints. In previous work, the D-CuSum algorithm was proposed for such a QCD problem. The D-CuSum does not incorporate any prior statistical information about the durations of the transient periods. In this work, we develop an algorithm, the D-S-R algorithm, which incorporates geometric priors on the durations of the transient periods. We compare the D-CuSum and D-S-R algorithms in numerical examples to develop some insights about the role of the prior on the transient durations on the performance.
AB - The problem of transient quickest change detection (QCD) is studied, in which the change from the initial to the final phase does not happen instantaneously, but after a series of cascading transient phases of finite durations, each one corresponding to a different probability distribution. The goal is to design a stopping rule to detect the change as quickly as possible, subject to false alarm constraints. In previous work, the D-CuSum algorithm was proposed for such a QCD problem. The D-CuSum does not incorporate any prior statistical information about the durations of the transient periods. In this work, we develop an algorithm, the D-S-R algorithm, which incorporates geometric priors on the durations of the transient periods. We compare the D-CuSum and D-S-R algorithms in numerical examples to develop some insights about the role of the prior on the transient durations on the performance.
KW - Bayesian analysis
KW - dynamic CuSum
KW - dynamic Shiryaev-Roberts
KW - quickest change detection
KW - transient dynamics
UR - http://www.scopus.com/inward/record.url?scp=85023750589&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85023750589&partnerID=8YFLogxK
U2 - 10.1109/ICASSP.2017.7953065
DO - 10.1109/ICASSP.2017.7953065
M3 - Conference contribution
AN - SCOPUS:85023750589
T3 - ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
SP - 4785
EP - 4789
BT - 2017 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2017 - Proceedings
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 2017 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2017
Y2 - 5 March 2017 through 9 March 2017
ER -