Sequential detection of transient changes in stochastic systems under a sampling constraint

Ebrahimzadeh, Ehsan; Tchamkerten, Aslan

doi:10.1109/isit.2015.7282436

Cited by 16 publications

(9 citation statements)

References 10 publications

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“…This procedure has the salient feature of skipping samples in the event that a change is unlikely to have occurred. As it turns out, this method can be adapted for detecting transient changes yielding a procedure that is optimal in terms of detection delay and sampling rate, as was recently established in [15]. These latter results can be seen as analogous to those related to the detection procedure presented in this paper where a Bayesian setup with a uniform prior on the change point is consideredin [14], [15] there is no prior on ν which yields different (minimax) type performance criteria.…”

Section: Related Worksupporting

confidence: 52%

Asynchronous capacity per unit cost under a receiver sampling constraint

Chandar

Tchamkerten

2015

2015 IEEE International Symposium on Information Theory (ISIT)

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In a recently proposed asynchronous communication setup, the receiver observes mostly pure background noise except for a brief and a priori unknown period of time when data is transmitted. Capacity per unit cost and minimum communication delay were characterized and shown to be unaffected by a sparse sampling at the receiver as long as the number of samples represents a constant fraction of the total channel outputs.This paper strengthens this result and shows that it continues to hold even if the sampling rate tends to zero. More specifically, if the sampling rate is ω(1/B), where B denotes the number of transmitted message bits, capacity per unit cost and minimum decoding delay are the same as under full output sampling. Conversely, if the sampling rate decreases as o(1/B), reliable communication is impossible.The main ingredient in the achievability argument is a time series sampling/detection procedure that detects transient changes in distribution. This procedure has the property of simultaneously minimizing detection delay and sampling rate, in the regime of vanishing false-alarm probability.

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Section: Related Worksupporting

confidence: 52%

Asynchronous capacity per unit cost under a receiver sampling constraint

Chandar

Tchamkerten

2015

2015 IEEE International Symposium on Information Theory (ISIT)

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“…We first stress that the QCD problem under transient post-change dynamics that we study in this work is different from the problem of detecting transient changes, studied in [9] and [10], in which the system goes back to its pre-change mode after a single transient phase, and where it is only possible to detect the change within the transient phase. Moreover, the setup in this paper is fundamentally different from the model selection setup in [11,12], where the minimum description length (MDL) principle is used to estimate the number of transient phases and the location of the change-points, with a fixed number of observations.…”

Section: Related Workmentioning

confidence: 99%

Quickest Change Detection Under Transient Dynamics: Theory and Asymptotic Analysis

Zou

Fellouris

Veeravalli

2019

IEEE Trans. Inform. Theory

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The problem of quickest change detection (QCD) under transient dynamics is studied, where the change from the initial distribution to the final persistent distribution does not happen instantaneously, but after a series of transient phases. The observations within the different phases are generated by different distributions. The objective is to detect the change as quickly as possible, while controlling the average run length (ARL) to false alarm, when the durations of the transient phases are completely unknown. Two algorithms are considered, the dynamic Cumulative Sum (CuSum) algorithm, proposed in earlier work, and a newly constructed weighted dynamic CuSum algorithm. Both algorithms admit recursions that facilitate their practical implementation, and they are adaptive to the unknown transient durations. Specifically, their asymptotic optimality is established with respect to both Lorden's and Pollak's criteria as the ARL to false alarm and the durations of the transient phases go to infinity at any relative rate. Numerical results are provided to demonstrate the adaptivity of the proposed algorithms, and to validate the theoretical results.

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“…However, the issue of optimality or asymptotic optimality is still open. The problem of detection of transient and moving anomalies has also been considered in papers [5], [23], [26], [27], [39] but in terms of quickest change detection.…”

Section: Introductionmentioning

confidence: 99%

Optimal Sequential Detection of Signals with Unknown Appearance and Disappearance Points in Time

Tartakovsky,

Berenkov,

Kolessa

et al. 2021

Preprint

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The paper addresses a sequential changepoint detection problem, assuming that the duration of change may be finite and unknown. This problem is of importance for many applications, e.g., for signal and image processing where signals appear and disappear at unknown points in time or space. In contrast to the conventional optimality criterion in quickest change detection that requires minimization of the expected delay to detection for a given average run length to a false alarm, we focus on a reliable maximin change detection criterion of maximizing the minimal probability of detection in a given time (or space) window for a given local maximal probability of false alarm in the prescribed window. We show that the optimal detection procedure is a modified CUSUM procedure. We then compare operating characteristics of this optimal procedure with popular in engineering the Finite Moving Average (FMA) detection algorithm and the ordinary CUSUM procedure using Monte Carlo simulations, which show that typically the later algorithms have almost the same performance as the optimal one. At the same time, the FMA procedure has a substantial advantage -independence to the intensity of the signal, which is usually unknown. Finally, the FMA algorithm is applied to detecting faint streaks of satellites in optical images.

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Sequential detection of transient changes in stochastic systems under a sampling constraint

Cited by 16 publications

References 10 publications

Asynchronous capacity per unit cost under a receiver sampling constraint

Asynchronous capacity per unit cost under a receiver sampling constraint

Quickest Change Detection Under Transient Dynamics: Theory and Asymptotic Analysis

Optimal Sequential Detection of Signals with Unknown Appearance and Disappearance Points in Time

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