scholarly journals On the dimension reduction in the quickest detection problem for diffusion processes with exponential penalty for the delay

2021 ◽  
Vol 26 (none) ◽  
Author(s):  
Bruno Buonaguidi
Keyword(s):  
Dimension Reduction ◽  
Diffusion Processes ◽  
Detection Problem ◽  
Quickest Detection

scholarly journals Hypothesis Testing for Signal Detection Problem and Large Deviations

2001 ◽  
Vol 162 ◽  
pp. 187-203 ◽  
Author(s):  
Taizo Chiyonobu
Keyword(s):  
Signal Detection ◽  
Continuous Time ◽  
Error Probability ◽  
Diffusion Processes ◽  
Large Deviation ◽  
Observation Time ◽  
Optimal Decision ◽  
Detection Problem ◽  
Stationary Diffusion ◽  
Decision Region

We consider a signal detection problem for the continuous-time stationary diffusion processes. The optimal decision region is given by Neyman-Pearson’s lemma. We establish certain large deviation estimates, and with the help of it we show that the error probability of the second kind of the signal detection tends to zero or one exponentially fast, depending on the fixed exponent of the decay of the error probability of the first kind, as the observation time goes to infinity.

scholarly journals On a Quickest Detection Problem

1967 ◽  
Vol 38 (3) ◽  
pp. 711-724 ◽  
Author(s):  
J. A. Bather
Keyword(s):  
Detection Problem ◽  
Quickest Detection

scholarly journals A quickest detection problem with an observation cost

2015 ◽  
Vol 25 (3) ◽  
pp. 1475-1512 ◽  
Author(s):  
Robert C. Dalang ◽  
Albert N. Shiryaev
Keyword(s):  
Detection Problem ◽  
Quickest Detection

On a quickest detection problem with variable monitoring

1976 ◽  
Vol 13 (4) ◽  
pp. 760-767
Author(s):  
D. W. Balmer
Keyword(s):  
Optimal Stopping ◽  
Optimal Policy ◽  
Necessary Conditions ◽  
Fast Mode ◽  
Optimal Stopping Problem ◽  
Detection Problem ◽  
Quickest Detection ◽  
Necessary Conditions Of Optimality ◽  
And Control ◽  
Monitoring Facility

The problem of detecting the arrival of a ‘disorder' in a process observed through a monitoring facility which may operate in ‘slow’ or ‘fast’ mode, is formulated as an optimal stopping problem. It is shown that in all circumstances where there may exist an optimal policy specifying the mode of observation and the time of stopping there is a unique policy satisfying certain necessary conditions of optimality; the various circumstances and control policies are specified.

The decentralized quickest detection problem

1984 ◽  
Vol 29 (7) ◽  
pp. 641-644 ◽  
Author(s):  
D. Teneketzis ◽  
P. Varaiya
Keyword(s):  
Detection Problem ◽  
Quickest Detection

On a quickest detection problem with costly information

1975 ◽  
Vol 12 (01) ◽  
pp. 87-97 ◽  
Author(s):  
D. W. Balmer
Keyword(s):  
Optimal Stopping ◽  
Necessary Conditions ◽  
Control Policy ◽  
Optimal Stopping Problem ◽  
Detection Problem ◽  
Central Importance ◽  
Quickest Detection ◽  
Necessary Conditions For Optimality ◽  
And Control

Problems of detecting the arrival of a ‘disorder' are of central importance in quality control. One such problem is formulated as an optimal stopping problem in which information about the process to be stopped may be bought at any time. A control policy will involve a determination of times at which information should be bought and of the time at which the process should be stopped. It is shown that in all circumstances there is a unique policy satisfying necessary conditions for optimality; the various circumstances and control policies are specified.

On a quickest detection problem with costly information

1975 ◽  
Vol 12 (1) ◽  
pp. 87-97 ◽  
Author(s):  
D. W. Balmer
Keyword(s):  
Optimal Stopping ◽  
Necessary Conditions ◽  
Control Policy ◽  
Optimal Stopping Problem ◽  
Detection Problem ◽  
Central Importance ◽  
Quickest Detection ◽  
Necessary Conditions For Optimality ◽  
And Control

Problems of detecting the arrival of a ‘disorder' are of central importance in quality control. One such problem is formulated as an optimal stopping problem in which information about the process to be stopped may be bought at any time. A control policy will involve a determination of times at which information should be bought and of the time at which the process should be stopped. It is shown that in all circumstances there is a unique policy satisfying necessary conditions for optimality; the various circumstances and control policies are specified.

On a quickest detection problem with variable monitoring

1976 ◽  
Vol 13 (04) ◽  
pp. 760-767
Author(s):  
D. W. Balmer
Keyword(s):  
Optimal Stopping ◽  
Optimal Policy ◽  
Necessary Conditions ◽  
Fast Mode ◽  
Optimal Stopping Problem ◽  
Detection Problem ◽  
Quickest Detection ◽  
Necessary Conditions Of Optimality ◽  
And Control ◽  
Monitoring Facility

The problem of detecting the arrival of a ‘disorder' in a process observed through a monitoring facility which may operate in ‘slow’ or ‘fast’ mode, is formulated as an optimal stopping problem. It is shown that in all circumstances where there may exist an optimal policy specifying the mode of observation and the time of stopping there is a unique policy satisfying certain necessary conditions of optimality; the various circumstances and control policies are specified.

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