Asymptotic quickest change detection and isolation with polynomial delay penalties

Molloy, Timothy L. (2016) Asymptotic quickest change detection and isolation with polynomial delay penalties. In 2016 Australian Control Conference (AUCC 2016), 3-4 November 2016, Newcastle, NSW. (In Press)

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In this paper, we consider the problem of quickly detecting and isolating an abrupt change in an observed stochastic processes under a polynomial penalty for delays. We propose an auxiliary matrix cumulative sum (AMCUSUM) detection and isolation algorithm, and show that it is optimal under our quickest change detection and isolation criterion with polynomial delay penalties in the asymptotic regime of few false alarms and false isolations. We also illustrate the AMCUSUM algorithm in simulations.

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ID Code: 99542
Item Type: Conference Paper
Refereed: Yes
Additional URLs:
Keywords: Quickest change detection and isolation, CUSUM rule, Lorden criterion, Matrix CUSUM rule, Auxiliary Matrix CUSUM rule
Subjects: Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400) > Probability Theory (010404)
Australian and New Zealand Standard Research Classification > ENGINEERING (090000) > ELECTRICAL AND ELECTRONIC ENGINEERING (090600) > Signal Processing (090609)
Divisions: Current > Schools > School of Electrical Engineering & Computer Science
Current > QUT Faculties and Divisions > Science & Engineering Faculty
Copyright Owner: Copyright 2016 Engineers Australia
Deposited On: 26 Sep 2016 23:01
Last Modified: 28 Sep 2016 00:16

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