Please use this identifier to cite or link to this item:
https://hdl.handle.net/10356/152708
Title: | Asymptotically optimal sampling policy for quickest change detection with observation-switching cost | Authors: | Lau, Tze Siong Tay, Wee Peng |
Keywords: | Engineering::Electrical and electronic engineering | Issue Date: | 2021 | Source: | Lau, T. S. & Tay, W. P. (2021). Asymptotically optimal sampling policy for quickest change detection with observation-switching cost. IEEE Transactions On Signal Processing, 69, 1332-1346. https://dx.doi.org/10.1109/TSP.2021.3057258 | Project: | MOE2018-T2-2- 019 RIE2020 A19D6a0053 |
Journal: | IEEE Transactions on Signal Processing | Abstract: | We consider the problem of quickest change detection (QCD) in a signal where its observations are obtained using a set of actions, and switching from one action to another comes with a cost. The objective is to design a stopping rule consisting of a sampling policy to determine the sequence of actions used to observe the signal and a stopping time to quickly detect for the change, subject to a constraint on the average observation-switching cost. We propose an open-loop sampling policy of finite window size and a generalized likelihood ratio (GLR) Cumulative Sum (CuSum) stopping time for the QCD problem. We show that the GLR CuSum stopping time is asymptotically optimal with a properly designed sampling policy and formulate the design of this sampling policy as a quadratic programming problem. We prove that it is sufficient to consider policies of window size not more than one when designing policies of finite window size and propose several algorithms that solve this optimization problem with theoretical guarantees. Finally, we apply our approach to the problem of QCD of a partially observed graph signal and empirically demonstrate the performance of our proposed stopping times. | URI: | https://hdl.handle.net/10356/152708 | ISSN: | 1053-587X | DOI: | 10.1109/TSP.2021.3057258 | Schools: | School of Electrical and Electronic Engineering | Rights: | © 2021 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works. The published version is available at: https://doi.org/10.1109/TSP.2021.3057258. | Fulltext Permission: | open | Fulltext Availability: | With Fulltext |
Appears in Collections: | EEE Journal Articles |
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QCD_w_action_switching_costs_v24.pdf | 651.99 kB | Adobe PDF | View/Open |
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