Bayesian sequential change diagnosis

Savas Dayanik, Christian Goulding, H. Vincent Poor

Research output: Contribution to journalArticlepeer-review

18 Scopus citations

Abstract

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 found, and an accurate numerical scheme is described for its implementation. Geometrical properties of the optimal strategy are illustrated via numerical examples. The traditional problems of Bayesian change-detection and Bayesian sequential multi-hypothesis testing are solved as special cases. In addition, a solution is obtained for the problem of detection and identification of component failure(s) in a system with suspended animation.

Original languageEnglish (US)
Pages (from-to)475-496
Number of pages22
JournalMathematics of Operations Research
Volume33
Issue number2
DOIs
StatePublished - May 2008

All Science Journal Classification (ASJC) codes

  • Mathematics(all)
  • Computer Science Applications
  • Management Science and Operations Research

Keywords

  • Bayesian sequential change detection and identification
  • Markov chains
  • Optimal stopping

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