Bayesian sequential change diagnosis

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Bayesian sequential change diagnosis
Sequential change diagnosis is the joint problem of detection and identification of a sudden and unobservable change in the distribution of a random sequence. In this problem, the common probability law of a sequence of i.i.d. random variables suddenly changes at some disorder time to one of finitely many alternatives. This disorder time marks the start of a new regime, whose fingerprint is the new law of observations. Both the disorder time and the identity of the new regime are unknown and unobservable. The objective is to detect the regime-change as soon as possible, and, at the same time, to determine its identity as accurately as possible. Prompt and correct diagnosis is crucial for quick execution of the most appropriate measures in response to the new regime, as in fault detection and isolation in industrial processes, and target detection and identification in national defense. The problem is formulated in a Bayesian framework. An optimal sequential decision strategy is fou...
Savas Dayanik, Christian Goulding, H. Vincent Poor
Added 13 Dec 2010
Updated 13 Dec 2010
Type Journal
Year 2007
Where CORR
Authors Savas Dayanik, Christian Goulding, H. Vincent Poor
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