Quickest detection in coupled systems

Olympia Hadjiliadis, Tobias Schaefer, H. Vincent Poor

Research output: Chapter in Book/Report/Conference proceedingConference contribution

9 Scopus citations

Abstract

This work considers the problem of quickest detection of signals in a coupled system of N sensors, which receive continuous sequential observations from the environment. It is assumed that the signals, which are modeled a general Itô processes, are coupled across sensors, but that their onset times may differ from sensor to sensor. The objective is the optimal detection of the first time at which any sensor in the system receives a signal. The problem is formulated as a stochastic optimization problem in which an extended average Kullback-Leibler divergence criterion is used as a measure of detection delay, with a constraint on the mean time between false alarms. The case in which the sensors employ cumulative sum (CUSUM) strategies is considered, and it is proved that the minimum of N CUSUMs is asymptotically optimal as the mean time between false alarms increases without bound.

Original languageEnglish (US)
Title of host publicationProceedings of the 48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, CDC/CCC 2009
Pages4723-4728
Number of pages6
DOIs
StatePublished - 2009
Event48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, CDC/CCC 2009 - Shanghai, China
Duration: Dec 15 2009Dec 18 2009

Publication series

NameProceedings of the IEEE Conference on Decision and Control
ISSN (Print)0191-2216

Other

Other48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, CDC/CCC 2009
CountryChina
CityShanghai
Period12/15/0912/18/09

All Science Journal Classification (ASJC) codes

  • Control and Systems Engineering
  • Modeling and Simulation
  • Control and Optimization

Keywords

  • CUSUM
  • Kullback-Leibler divergence
  • Quickest detection

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