TY - GEN
T1 - Scalable multichannel joint sequential change detection and isolation
AU - Banerjee, Sourabh
AU - Fellouris, Georgios
PY - 2017/8/9
Y1 - 2017/8/9
N2 - The problem of joint sequential change detection and isolation in a multichannel system is considered. It is assumed that a disruption occurs at some unknown time, and changes the distributions of the observations in an unknown subset of channels. The problem is to quickly detect the change, and at the same time to reliably isolate the affected channels. A novel scheme is proposed for this task, which admits a recursive structure, is scalable with respect to the number of channels, and does not require any prior information about the change-point. Its performance is analyzed in the special case that the number of affected channels is known. Specifically, explicit critical values are obtained for the control of the false alarm rate and the conditional probability of wrong isolation below arbitrary levels to be prescribed by the practitioner. Finally, the asymptotic optimality of the average detection delay of the proposed scheme is established as the error probabilities go to 0 and the effect of the prior distribution for the change point vanishes in the limit.
AB - The problem of joint sequential change detection and isolation in a multichannel system is considered. It is assumed that a disruption occurs at some unknown time, and changes the distributions of the observations in an unknown subset of channels. The problem is to quickly detect the change, and at the same time to reliably isolate the affected channels. A novel scheme is proposed for this task, which admits a recursive structure, is scalable with respect to the number of channels, and does not require any prior information about the change-point. Its performance is analyzed in the special case that the number of affected channels is known. Specifically, explicit critical values are obtained for the control of the false alarm rate and the conditional probability of wrong isolation below arbitrary levels to be prescribed by the practitioner. Finally, the asymptotic optimality of the average detection delay of the proposed scheme is established as the error probabilities go to 0 and the effect of the prior distribution for the change point vanishes in the limit.
UR - http://www.scopus.com/inward/record.url?scp=85034051153&partnerID=8YFLogxK
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U2 - 10.1109/ISIT.2017.8007099
DO - 10.1109/ISIT.2017.8007099
M3 - Conference contribution
AN - SCOPUS:85034051153
T3 - IEEE International Symposium on Information Theory - Proceedings
SP - 3095
EP - 3099
BT - 2017 IEEE International Symposium on Information Theory, ISIT 2017
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 2017 IEEE International Symposium on Information Theory, ISIT 2017
Y2 - 25 June 2017 through 30 June 2017
ER -