Title :
Risk-sensitive quickest time detection
Author :
Huang, Minyi ; Krishnamurthy, Vikram
Author_Institution :
Dept. of Electr. & Electron. Eng., Melbourne Univ., Parkville, Vic., Australia
Abstract :
We consider the quickest time detection problem with risk-sensitive costs. First, the detection of a change point with a geometric distribution is analyzed and a threshold policy is obtained. Next, we establish a consistency relationship between the risk-sensitive detection and the detection based on risk-neural costs. Furthermore, we generalize the method to change point with a phase type distribution which may be used to approximate change point with an arbitrary distribution. Numerical examples are also given.
Keywords :
probability; random processes; risk analysis; arbitrary distribution; change point approximation; consistency relationship; geometric distribution; phase type distribution; risk-neural costs; risk-sensitive costs; risk-sensitive quickest time detection; threshold policy; Bayesian methods; Biomedical measurements; Biomedical monitoring; Biomedical signal processing; Cost function; Delay effects; Delay lines; Frequency; Machinery; Random variables;
Conference_Titel :
Decision and Control, 2004. CDC. 43rd IEEE Conference on
Print_ISBN :
0-7803-8682-5
DOI :
10.1109/CDC.2004.1430297
