TY - GEN
T1 - Quickest detection in coupled systems
AU - Hadjiliadis, Olympia
AU - Schaefer, Tobias
AU - Poor, H. Vincent
PY - 2009
Y1 - 2009
N2 - 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.
AB - 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.
KW - CUSUM
KW - Kullback-Leibler divergence
KW - Quickest detection
UR - http://www.scopus.com/inward/record.url?scp=77950803149&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=77950803149&partnerID=8YFLogxK
U2 - 10.1109/CDC.2009.5400871
DO - 10.1109/CDC.2009.5400871
M3 - Conference contribution
AN - SCOPUS:77950803149
SN - 9781424438716
T3 - Proceedings of the IEEE Conference on Decision and Control
SP - 4723
EP - 4728
BT - Proceedings of the 48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, CDC/CCC 2009
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, CDC/CCC 2009
Y2 - 15 December 2009 through 18 December 2009
ER -