1. Exactly Optimal Quickest Change Detection of Markov Chains
- Author
-
Ford, Jason J., Kennedy, Justin M., Tompkins, Caitlin, James, Jasmin, and McFadyen, Aaron
- Subjects
Electrical Engineering and Systems Science - Systems and Control ,Mathematics - Statistics Theory - Abstract
This paper establishes that an exactly optimal rule for Bayesian Quickest Change Detection (QCD) of Markov chains is a threshold test on the no change posterior. We also provide a computationally efficient scalar filter for the no change posterior whose effort is independent of the dimension of the chains. We establish that an (undesirable) weak practical super-martingale phenomenon can be exhibited by the no change posterior when the before and after chains are too close in a relative entropy rate sense. The proposed detector is examined in simulation studies., Comment: 6 pages, 3 figures
- Published
- 2023