Quickest detection in coupled systems

Details Quickest detection in coupled systems Quickest detection in coupled systems

2009-10-24

arxiv.org/abs/0910.4688v1

Computer Science

Information Theory

6 pages, 48th IEEE Conference on Decision and Control, Shanghai 2009 December 16 - 18

Scientific paper

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 Ito 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.

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