Bayesian Quickest Change Point Detection with Sampling Right Constraints

TL;DR

This paper investigates Bayesian quickest change detection under sampling right constraints, proposing optimal and near-optimal strategies for limited and stochastic sampling scenarios, with theoretical performance bounds and practical algorithms.

Contribution

It introduces a comprehensive analysis of change detection with sampling constraints, deriving optimal stopping rules and asymptotic bounds, and proposes practical algorithms with proven near-optimality.

Findings

Optimal threshold-based stopping rules are identified for both constraints.

Asymptotic upper bounds on detection delay are derived as false alarm probability approaches zero.

Practical low complexity algorithms are shown to be asymptotically optimal.

Abstract

In this paper, Bayesian quickest change detection problems with sampling right constraints are considered. Specifically, there is a sequence of random variables whose probability density function will change at an unknown time. The goal is to detect this change in a way such that a linear combination of the average detection delay and the false alarm probability is minimized. Two types of sampling right constrains are discussed. The first one is a limited sampling right constraint, in which the observer can take at most $N$ observations from this random sequence. Under this setup, we show that the cost function can be written as a set of iterative functions, which can be solved by Markov optimal stopping theory. The optimal stopping rule is shown to be a threshold rule. An asymptotic upper bound of the average detection delay is developed as the false alarm probability goes to zero. This upper bound indicates that the performance of the limited sampling right problem is close to that of the classic Bayesian quickest detection for several scenarios of practical interest. The second constraint discussed in this paper is a stochastic sampling right constraint, in which sampling rights are consumed by taking observations and are replenished randomly. The observer cannot take observations if there are no sampling rights left. We characterize the optimal solution, which has a very complex structure. For practical applications, we propose a low complexity algorithm, in which the sampling rule is to take observations as long as the observer has sampling rights left and the detection scheme is a threshold rule. We show that this low complexity scheme is first order asymptotically optimal as the false alarm probability goes to zero.