Asymptotically Optimal Quickest Change Detection In Multistream Data - Part 1: General Stochastic Models (1807.08971v1)

Abstract: Assume that there are multiple data streams (channels, sensors) and in each stream the process of interest produces generally dependent and non-identically distributed observations. When the process is in a normal mode (in-control), the (pre-change) distribution is known, but when the process becomes abnormal there is a parametric uncertainty, i.e., the post-change (out-of-control) distribution is known only partially up to a parameter. Both the change point and the post-change parameter are unknown. Moreover, the change affects an unknown subset of streams, so that the number of affected streams and their location are unknown in advance. A good changepoint detection procedure should detect the change as soon as possible after its occurrence while controlling for a risk of false alarms. We consider a Bayesian setup with a given prior distribution of the change point and propose two sequential mixture-based change detection rules, one mixes a Shiryaev-type statistic over both the unknown subset of affected streams and the unknown post-change parameter and another mixes a Shiryaev-Roberts-type statistic. These rules generalize the mixture detection procedures studied by Tartakovsky (2018) in a single-stream case. We provide sufficient conditions under which the proposed multistream change detection procedures are first-order asymptotically optimal with respect to moments of the delay to detection as the probability of false alarm approaches zero.