Article contents
On a quickest detection problem with variable monitoring
Published online by Cambridge University Press: 14 July 2016
Abstract
The problem of detecting the arrival of a ‘disorder' in a process observed through a monitoring facility which may operate in ‘slow’ or ‘fast’ mode, is formulated as an optimal stopping problem. It is shown that in all circumstances where there may exist an optimal policy specifying the mode of observation and the time of stopping there is a unique policy satisfying certain necessary conditions of optimality; the various circumstances and control policies are specified.
Keywords
- Type
- Research Papers
- Information
- Copyright
- Copyright © Applied Probability Trust 1976
References
[1]
Balmer, D. W. (1975) On a quickest detection problem with costly information. J. Appl. Prob.
12, 87–97.CrossRefGoogle Scholar
[2]
Bather, J. A. (1967) On a quickest detection problem. Ann. Math. Statist.
38, 711–724.Google Scholar
[3]
Bather, J.A. (1973) Free boundary problems in the design of control charts. Transactions of the Sixth Prague Conference on Information Theory, Statistical Decision Functions, Random Processes,
Academia, Prague, 89–106.Google Scholar
[4]
Bather, J. A. (1973) An optimal stopping problem with costly information. Bull. I.S.I.
45 (3), 9–24.Google Scholar
[5]
Shiryaev, A. N. (1963) On optimum methods in quickest detection problems. Theor. Prob. Appl.
8, 22–46.CrossRefGoogle Scholar
- 1
- Cited by