Sequential Detection of Transient Changes

This article addresses the transient change detection problem. It is assumed that a change occurs at an unknown (but nonrandom) change-point and the duration of post-change period is finite and known. A latent detection-that is, a detection that occurs after signal disappearance-is considered as a m...

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Bibliographic Details
Published inSequential analysis Vol. 31; no. 4; pp. 528 - 547
Main Authors Guépié, Blaise Kévin, Fillatre, Lionel, Nikiforov, Igor
Format Journal Article
LanguageEnglish
Published Philadelphia Taylor & Francis Group 01.10.2012
Taylor & Francis Ltd
Taylor & Francis
Subjects
Algorithms
Change detection
Computer Science
Criteria
Decision theory
Detection algorithms
Drinking water
Environmental monitoring
Failure detection
False alarms
Mathematical analysis
Monitoring
Optimization
Probability
Signal and Image Processing
Signal detection
Signaling
Statistical analysis
Transient signals
Upper bounds
Water pollution
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Summary:This article addresses the transient change detection problem. It is assumed that a change occurs at an unknown (but nonrandom) change-point and the duration of post-change period is finite and known. A latent detection-that is, a detection that occurs after signal disappearance-is considered as a missed detection. A new optimality criterion adapted to the detection of transient changes involves the minimization of the worst-case probability of missed detection under constraint on the false alarm rate for a given period. A suboptimal sequential transient change detection algorithm is proposed. It is based on a window-limited cumulative sum (CUSUM) test. An upper bound for the worst-case probability of missed detection and a lower and an upper bound for the false alarm rate are proposed. Based on these bounds, the window-limited CUSUM test is optimized with respect to the proposed criterion. The developed algorithm and theoretical findings are applied to drinking water distribution network monitoring.
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ISSN:0747-4946
1532-4176
DOI:10.1080/07474946.2012.719443