TY - GEN
T1 - Data-Driven Quickest Change Detection in Markov Models
AU - Zhang, Qi
AU - Sun, Zhongchang
AU - Herrera, Luis C.
AU - Zou, Shaofeng
N1 - Publisher Copyright: © 2023 IEEE.
PY - 2023
Y1 - 2023
N2 - The problem of quickest change detection in Markov models is studied. A sequence of samples are generated from a Markov model, and at some unknown time, the transition kernel of the Markov model changes. The goal is to detect the change as soon as possible subject to false alarm constraints. The data-driven setting is investigated, where neither the pre-nor the post-change Markov transition kernel is known. A kernel based data-driven algorithm is developed, which applies to general state space and is recursive and computationally efficient. Performance bounds on the average running length and worst-case average detection delay are derived. Numerical results are provided to validate the performance of the proposed algorithm.
AB - The problem of quickest change detection in Markov models is studied. A sequence of samples are generated from a Markov model, and at some unknown time, the transition kernel of the Markov model changes. The goal is to detect the change as soon as possible subject to false alarm constraints. The data-driven setting is investigated, where neither the pre-nor the post-change Markov transition kernel is known. A kernel based data-driven algorithm is developed, which applies to general state space and is recursive and computationally efficient. Performance bounds on the average running length and worst-case average detection delay are derived. Numerical results are provided to validate the performance of the proposed algorithm.
KW - Computationally Efficient
KW - CuSum-Type Test
KW - Maximum Mean Discrepancy
KW - Second-Order Markov Chain
KW - Sequential Change Detection
UR - https://www.scopus.com/pages/publications/86000375158
U2 - 10.1109/ICASSP49357.2023.10096555
DO - 10.1109/ICASSP49357.2023.10096555
M3 - Conference contribution
T3 - ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
BT - ICASSP 2023 - 2023 IEEE International Conference on Acoustics, Speech and Signal Processing, Proceedings
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 48th IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2023
Y2 - 4 June 2023 through 10 June 2023
ER -