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Information bounds and quick detection of parameter changes in stochastic systems | IEEE Journals & Magazine | IEEE Xplore

Information bounds and quick detection of parameter changes in stochastic systems


Abstract:

By using information-theoretic bounds and sequential hypothesis testing theory, this paper provides a new approach to optimal detection of abrupt changes in stochastic sy...Show More

Abstract:

By using information-theoretic bounds and sequential hypothesis testing theory, this paper provides a new approach to optimal detection of abrupt changes in stochastic systems. This approach not only generalizes previous work in the literature on optimal detection far beyond the relatively simple models treated but also suggests alternative performance criteria which are more tractable and more appropriate for general stochastic systems. In addition, it leads to detection rules which have manageable computational complexity for on-line implementation and yet are nearly optimal under the different performance criteria considered.
Published in: IEEE Transactions on Information Theory ( Volume: 44, Issue: 7, November 1998)
Page(s): 2917 - 2929
Date of Publication: 30 November 1998

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