A Linear Programming Approach to Sequential Hypothesis Testing

• Published in: Sequential analysis Vol. 34; no. 2; pp. 235 - 263
• Main Authors: Fauß, Michael, Zoubir, Abdelhak M.
• Format: Journal Article
• Language: English
• Published: Philadelphia Taylor & Francis Group 03.04.2015; Taylor & Francis Ltd
• Subjects: Algorithms; Cost function; Derivatives; Discrete-time Markov process; Gaussian; Hypothesis testing; Linear programming; Markov analysis; Markov processes; Multipliers; Normal distribution; Optimal sequential test; Optimal stopping; Optimization; Sequential hypothesis testing; Two simple hypotheses

Under some mild Markov assumptions it is shown that the problem of designing optimal sequential tests for two simple hypotheses can be formulated as a linear program. This result is derived by investigating the Lagrangian dual of the sequential testing problem, which is an unconstrained optimal stop...