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On a quickest detection problem with variable monitoring

Published online by Cambridge University Press:  14 July 2016

D. W. Balmer*
Affiliation:
London School of Economics and Political Science

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.

Type
Research Papers
Copyright
Copyright © Applied Probability Trust 1976 

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References

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