Change Acceleration and Detection

Abstract: A novel sequential change detection problem is proposed, in which the goal is to not only detect but also accelerate the change. Specifically, it is assumed that the sequentially collected observations are responses to treatments selected in real time. The assigned treatments determine the pre-change and post-change distributions of the responses and also influence when the change happens. The goal is to find a treatment assignment rule and a stopping rule that minimize the expected total number of observations subject to a user-specified bound on the false alarm probability. The optimal solution is obtained under a general Markovian change-point model. Moreover, an alternative procedure is proposed, whose applicability is not restricted to Markovian change-point models and whose design requires minimal computation. For a large class of change-point models, the proposed procedure is shown to achieve the optimal performance in an asymptotic sense. Finally, its performance is found in simulation studies to be comparable to the optimal, uniformly with respect to the error probability.