A Bayesian Approach to Sequential Change Detection and Isolation Problems

Chen Jie; Zhang Wenyi; Poor H. Vincent

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A Bayesian Approach to Sequential Change Detection and Isolation Problems

机译：贝叶斯方法顺序变化检测和隔离问题

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摘要

The problem of sequential change detection and isolation under the Bayesian setting is investigated, where the change point is a random variable with a known distribution. A recursive algorithm is proposed, which utilizes the prior distribution of the change point. We show that the proposed decision procedure is guaranteed to control the false alarm probability and the false isolation probability separately under certain regularity conditions, and it is asymptotically optimal with respect to a Bayesian criterion.

机译：研究了贝叶斯设置下顺序变化检测和隔离问题，其中变化点是具有已知分布的随机变量。提出了一种递归算法，其利用改变点的先前分配。我们表明，在某些规则条件下，保证了所提出的决定程序可在某些规则条件下单独控制误报概率和假隔离概率，并且它对贝叶斯标准渐近地是最佳的。

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来源
《IEEE Transactions on Information Theory》 |2021年第3期|1796-1803|共8页
作者
Chen Jie; Zhang Wenyi; Poor H. Vincent;
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作者单位

Univ Sci & Technol China CAS Key Lab Wireless Opt Commun Hefei 230027 Peoples R China|Univ Sci & Technol China Dept Elect Engn & Informat Sci Hefei 230027 Peoples R China;

Univ Sci & Technol China CAS Key Lab Wireless Opt Commun Hefei 230027 Peoples R China|Univ Sci & Technol China Dept Elect Engn & Informat Sci Hefei 230027 Peoples R China;

Princeton Univ Dept Elect Engn Princeton NJ 08544 USA;

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正文语种 eng
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关键词
Bayes methods; Delays; Upper bound; Change detection algorithms; Random variables; Stochastic systems; Probability distribution; Asymptotic behavior; average detection delay; Bayesian change detection; change detection and isolation; decision procedures;

机译：贝叶斯方法;延迟;上限;改变检测算法;随机变量;随机系统;概率分布;渐近行为;平均检测延迟;贝叶斯变革检测;改变检测和隔离;决定程序;

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专利

1. An exact approach to Bayesian sequential change point detection [J] . Ruggieri Eric, Antonellis Marcus Computational statistics & data analysis . 2016,第Null期

机译：贝叶斯顺序变化点检测的精确方法
2. Bayesian Sequential Detection With Phase-Distributed Change Time and Nonlinear Penalty—A POMDP Lattice Programming Approach [J] . Krishnamurthy V. Information Theory, IEEE Transactions on . 2011,第10期

机译：具有相变变化时间和非线性惩罚的贝叶斯顺序检测— POMDP格编程方法
3. A Novel Approach to Detection of Intrusions in Computer Networks via Adaptive Sequential and Batch-Sequential Change-Point Detection Methods [J] . Alexander G. Tartakovsky, Boris L. Rozovskii, Rudolf B. Blazek, IEEE Transactions on Signal Processing . 2006,第9期

机译：通过自适应顺序和批处理顺序变化点检测方法检测计算机网络入侵的新方法
4. Scalable multichannel joint sequential change detection and isolation [C] . Sourabh Banerjee, Georgios Fellouris IEEE International Symposium on Information Theory . 2017

机译：可扩展的多通道联合顺序更改检测和隔离
5. Essays on sequential analysis: Multi-armed bandit with availability constraints and sequential change detection and identification. [D] . Yamazaki, Kazutoshi. 2009

机译：关于顺序分析的文章：具有可用性约束以及顺序更改检测和识别的多臂匪。
6. Fast SAR Image Change Detection Using Bayesian Approach Based Difference Image and Modified Statistical Region Merging [O] . Han Zhang, Weiping Ni, Weidong Yan, -1

机译：基于贝叶斯方法的差分图像和改进的统计区域合并的快速SAR图像变化检测
7. Bayesian Sequential Detection with Phase-Distributed Change Time and Nonlinear Penalty -- A POMDP Approach [O] . Krishnamurthy, Vikram 2011

机译：相位分布变化时间和贝叶斯序列检测非线性惩罚 - 一种pOmDp方法

A Bayesian Approach to Sequential Change Detection and Isolation Problems

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