Speaker:
Slides: ( TBA )
ABSTRACT
In this works we consider the problem N-dimensional quickest detection in correlated and coupled systems. The objective is to detect the first time that the system of N sensors undergoes a change
With a one shot communication to the central fusion center.
In both cases it is seen that the minimum of N - cumulative sum tests with appropriately chosen thresholds is asymptotically optimal in managing the trade off between a small detection delay and a large mean time to first False alarm as the mean time to the first false alarm increases without bound. In the former case a Linear penalty is used for detection delay while in the latter a Kulback- Leibler distance of the measure before and after regime switching is used.
In the care of uncertainty in the post change drift it is seen that s new family of composite cusum stopping rules that also use a new statistic known as the Cusum reaction period enjoy third order asymptotic optimality properties.