Change detection via affine and quadratic detectors
Cao, Yang; Nemirovskiĭ, A. S.; Xie, Yao; Guigues, Vincent Gérard Yannick; Juditsky, Anatoli
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Resumo
The goal of the paper is to develop a specific application of the convex optimization based hypothesis testing techniques developed in A. Juditsky, A. Nemirovski, “Hypothesis testing via affine detectors,” Electronic Journal of Statistics 10:2204–2242, 2016. Namely, we consider the Change Detection problem as follows: observing one by one noisy observations of outputs of a discrete-time linear dynamical system, we intend to decide, in a sequential fashion, on the null hypothesis that the input to the system is a nuisance, vs. the alternative that the input is a “nontrivial signal,” with both the nuisances and the nontrivial signals modeled as inputs belonging to finite unions of some given convex sets. Assuming the observation noises are zero mean sub-Gaussian, we develop “computation-friendly” sequential decision rules and demonstrate that in our context these rules are provably near-optimal. © 2018, Institute of Mathematical Statistics. All rights reserved.
Ficha do documento
- Tipo
- Artigo científico
- Ano
- 2018
- Instituição
- Institute of Mathematical Statistics
- Fonte
- Repositório da FGV
- Idioma
- Inglês
- Acesso
- Acesso aberto
- Identificador
- oai:repositorio.fgv.br:10438/25192
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