Asymptotic analysis of Bayesian quickest change detection procedures

被引：4
|
作者：
Tartakovsky, AG [1 ]
Veeravalli, VV [1 ]
机构：
[1] Univ So Calif, Ctr Appl Math Sci, Los Angeles, CA 90089 USA
来源：
ISIT: 2002 IEEE INTERNATIONAL SYMPOSIUM ON INFORMATION THEORY, PROCEEDINGS | 2002年
关键词：
D O I：
10.1109/ISIT.2002.1023489
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In the beginning of sixties, Shiryaev [1] obtained the structure of the optimal quickest change detection procedure for detecting changes in i.i.d. sequences in a Bayesian setting. However, the analysis of the performance of this procedure in terms of average detection delay versus false alarm probability has been an open problem. In this paper, we investigate the performance of the optimal Bayesian quickest change detection procedure in an asymptotic setting where the false alarm probability goes to zero. The results of this study are shown to be especially important in deriving asymptotically optimal solutions to decentralized quickest change detection problems.
引用
收藏
页码：217 / 217
页数：1
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