Donald R. Brown III
The quickest change-point detection problems with sampling right constraints are considered. Specially, an observer sequentially takes observations from a random sequence, whose distribution will change at an unknown time. Based on the observation sequence, the observer wants to identify the change-point as quickly as possible. Unlike the classic quickest detection problem in which the observer can take an observation at each time slot, we impose a causal sampling right constraint to the observer. In particular, sampling rights are consumed when the observer takes an observation and are replenished randomly by a stochastic process. The observer cannot take observations if there is no sampling right left. The causal sampling right constraint is motivated by several practical applications. For example, in the application of sensor network for monitoring the abrupt change of its ambient environment, the sensor can only take observations if it has energy left in its battery. With this additional constraint, we design and analyze the optimal detection and sampling right allocation strategies to minimize the detection delay under various problem setups. As one of our main contributions, a greedy sampling right allocation strategy, by which the observer spends sampling rights in taking observations as long as there are sampling rights left, is proposed. This strategy possesses a low complexity structure, and leads to simple but (asymptotically) optimal detection algorithms for the problems under consideration. Specially, our main results include: 1) Non-Bayesian quickest change-point detection: we consider non-Bayesian quickest detection problem with stochastic sampling right constraint. Two criteria, namely the algorithm level average run length (ARL) and the system level ARL, are proposed to control the false alarm rate. We show that the greedy sampling right allocation strategy combined with the cumulative sum (CUSUM) algorithm is optimal for Lorden's setup with the algorithm level ARL constraint and is asymptotically optimal for both Lorden's and Pollak's setups with the system level ARL constraint. 2) Bayesian quickest change-point detection: both limited sampling right constraint and stochastic sampling right constraint are considered in the Bayesian quickest detection problem. The limited sampling right constraint can be viewed as a special case of the stochastic sampling right constraint with a zero sampling right replenishing rate. The optimal solutions are derived for both sampling right constraints. However, the structure of the optimal solutions are rather complex. For the problem with the limited sampling right constraint, we provide asymptotic upper and lower bounds for the detection delay. For the problem with the stochastic sampling right constraint, we show that the greedy sampling right allocation strategy combined with Shiryaev's detection rule is asymptotically optimal. 3) Quickest change-point detection with unknown post-change parameters: we extend previous results to the quickest detection problem with unknown post-change parameters. Both non-Bayesian and Bayesian setups with stochastic sampling right constraints are considered. For the non-Bayesian problem, we show that the greedy sampling right allocation strategy combined with the M-CUSUM algorithm is asymptotically optimal. For the Bayesian setups, we show that the greedy sampling right allocation strategy combined with the proposed M-Shiryaev algorithm is asymptotically optimal.
Worcester Polytechnic Institute
Electrical & Computer Engineering
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Geng, J. (2015). Quickest Change-Point Detection with Sampling Right Constraints. Retrieved from https://digitalcommons.wpi.edu/etd-dissertations/440
Quikckest Detection, Samping Right Constraint, Sequential Analysis