Quickest Detection
Title | Quickest Detection PDF eBook |
Author | H. Vincent Poor |
Publisher | Cambridge University Press |
Pages | 244 |
Release | 2008-11-20 |
Genre | Technology & Engineering |
ISBN | 9780521621045 |
The problem of detecting abrupt changes in the behavior of an observed signal or time series arises in a variety of fields, including climate modeling, finance, image analysis, and security. Quickest detection refers to real-time detection of such changes as quickly as possible after they occur. Using the framework of optimal stopping theory, this book describes the fundamentals underpinning the field, providing the background necessary to design, analyze, and understand quickest detection algorithms. For the first time the authors bring together results which were previously scattered across disparate disciplines, and provide a unified treatment of several different approaches to the quickest detection problem. This book is essential reading for anyone who wants to understand the basic statistical procedures for change detection from a fundamental viewpoint, and for those interested in theoretical questions of change detection. It is ideal for graduate students and researchers of engineering, statistics, economics, and finance.
Sequential Analysis
Title | Sequential Analysis PDF eBook |
Author | Alexander Tartakovsky |
Publisher | CRC Press |
Pages | 605 |
Release | 2014-08-27 |
Genre | Mathematics |
ISBN | 1439838208 |
Sequential Analysis: Hypothesis Testing and Changepoint Detection systematically develops the theory of sequential hypothesis testing and quickest changepoint detection. It also describes important applications in which theoretical results can be used efficiently. The book reviews recent accomplishments in hypothesis testing and changepoint detection both in decision-theoretic (Bayesian) and non-decision-theoretic (non-Bayesian) contexts. The authors not only emphasize traditional binary hypotheses but also substantially more difficult multiple decision problems. They address scenarios with simple hypotheses and more realistic cases of two and finitely many composite hypotheses. The book primarily focuses on practical discrete-time models, with certain continuous-time models also examined when general results can be obtained very similarly in both cases. It treats both conventional i.i.d. and general non-i.i.d. stochastic models in detail, including Markov, hidden Markov, state-space, regression, and autoregression models. Rigorous proofs are given for the most important results. Written by leading authorities in the field, this book covers the theoretical developments and applications of sequential hypothesis testing and sequential quickest changepoint detection in a wide range of engineering and environmental domains. It explains how the theoretical aspects influence the hypothesis testing and changepoint detection problems as well as the design of algorithms.
Optimal Stopping and Free-Boundary Problems
Title | Optimal Stopping and Free-Boundary Problems PDF eBook |
Author | Goran Peskir |
Publisher | Springer Science & Business Media |
Pages | 515 |
Release | 2006-11-10 |
Genre | Mathematics |
ISBN | 3764373903 |
This book discloses a fascinating connection between optimal stopping problems in probability and free-boundary problems. It focuses on key examples and the theory of optimal stopping is exposed at its basic principles in discrete and continuous time covering martingale and Markovian methods. Methods of solution explained range from change of time, space, and measure, to more recent ones such as local time-space calculus and nonlinear integral equations. A chapter on stochastic processes makes the material more accessible. The book will appeal to those wishing to master stochastic calculus via fundamental examples. Areas of application include financial mathematics, financial engineering, and mathematical statistics.
Partially Observed Markov Decision Processes
Title | Partially Observed Markov Decision Processes PDF eBook |
Author | Vikram Krishnamurthy |
Publisher | Cambridge University Press |
Pages | 491 |
Release | 2016-03-21 |
Genre | Mathematics |
ISBN | 1107134609 |
This book covers formulation, algorithms, and structural results of partially observed Markov decision processes, whilst linking theory to real-world applications in controlled sensing. Computations are kept to a minimum, enabling students and researchers in engineering, operations research, and economics to understand the methods and determine the structure of their optimal solution.
Principles of Cognitive Radio
Title | Principles of Cognitive Radio PDF eBook |
Author | Ezio Biglieri |
Publisher | Cambridge University Press |
Pages | 327 |
Release | 2012-11-15 |
Genre | Technology & Engineering |
ISBN | 1139851918 |
Widely regarded as one of the most promising emerging technologies for driving the future development of wireless communications, cognitive radio has the potential to mitigate the problem of increasing radio spectrum scarcity through dynamic spectrum allocation. Drawing on fundamental elements of information theory, network theory, propagation, optimisation and signal processing, a team of leading experts present a systematic treatment of the core physical and networking principles of cognitive radio and explore key design considerations for the development of new cognitive radio systems. Containing all the underlying principles you need to develop practical applications in cognitive radio, this book is an essential reference for students, researchers and practitioners alike in the field of wireless communications and signal processing.
Sequential Analysis
Title | Sequential Analysis PDF eBook |
Author | Alexander Tartakovsky |
Publisher | CRC Press |
Pages | 600 |
Release | 2014-08-27 |
Genre | Mathematics |
ISBN | 1439838216 |
Sequential Analysis: Hypothesis Testing and Changepoint Detection systematically develops the theory of sequential hypothesis testing and quickest changepoint detection. It also describes important applications in which theoretical results can be used efficiently. The book reviews recent accomplishments in hypothesis testing and changepoint detecti
Stochastic Disorder Problems
Title | Stochastic Disorder Problems PDF eBook |
Author | Albert N. Shiryaev |
Publisher | Springer |
Pages | 397 |
Release | 2019-03-20 |
Genre | Science |
ISBN | 9783030015251 |
This monograph focuses on those stochastic quickest detection tasks in disorder problems that arise in the dynamical analysis of statistical data. These include quickest detection of randomly appearing targets, of spontaneously arising effects, and of arbitrage (in financial mathematics). There is also currently great interest in quickest detection methods for randomly occurring intrusions in information systems and in the design of defense methods against cyber-attacks. The author shows that the majority of quickest detection problems can be reformulated as optimal stopping problems where the stopping time is the moment the occurrence of disorder is signaled. Thus, considerable attention is devoted to the general theory of optimal stopping rules, and to its concrete problem-solving methods. The exposition covers both the discrete time case, which is in principle relatively simple and allows step-by-step considerations, and the continuous-time case, which often requires more technical machinery such as martingales, supermartingales, and stochastic integrals. There is a focus on the well-developed apparatus of Brownian motion, which enables the exact solution of many problems. The last chapter presents applications to financial markets. Researchers and graduate students interested in probability, decision theory and statistical sequential analysis will find this book useful.