Allerton 2015 Paper Abstract


Paper ThA2.3

Moustakides, George (University of Patras, Greece)

Optimum Shewhart Tests for Markovian Data

Scheduled for presentation during the Invited Session "Sequential and Quickest Change Detection" (ThA2), Thursday, October 1, 2015, 09:10−09:30, Solarium

53rd Annual Allerton Conference on Communication, Control, and Computing, Sept 29-Oct 2, 2015, Allerton Park and Retreat Center, Monticello, IL, USA

This information is tentative and subject to change. Compiled on December 5, 2021

Keywords Intrusion/Anomaly Detection and Diagnosis, Detection and Estimation, Statistical Signal Processing


We consider the sequential change detection problem for Markovian processes. Adopting a Lorden-like criterion where expected delays are replaced with detection probabilities we end up with a well defined constrained optimization problem which is possible to solve, exactly, in the Markovian case. The optimum scheme turns out to be a modified version of the Shewhart test (known to be optimum in the i.i.d. case) that involves two unknown functions. These functions can be identified by solving a system of two equation which is the result of applying optimal stopping theory and the need for the optimum scheme to be an equalizer rule.



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