Anomaly detection over independent processes: Switching with memory

Kobi Cohen, Qing Zhao

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

2 Scopus citations

Abstract

The problem of sequential detection of anomalous processes among K independent processes is considered. At each time, only a subset of the processes can be observed, and the observations from each chosen process follow two different distributions, depending on whether the process is normal or abnormal. Each anomalous process incurs a cost per unit time until its anomaly is identified and fixed. Different anomalous processes may incur different costs depending on their criticality to the system. Switching between processes and state declarations are allowed at all times, while decisions are based on all past observations and actions. The objective is a sequential search strategy that minimizes the total expected cost, incurred by all the processes during the detection process, under reliability constraints. We develop a simple closed-loop policy (i.e., decisions depend on past observations and actions) for the anomaly detection problem. Asymptotic optimality of the proposed policy is shown when a single process is observed at a time and strong performance are demonstrated by simulation examples under multi-processes probing.

Original languageEnglish
Title of host publication2014 52nd Annual Allerton Conference on Communication, Control, and Computing, Allerton 2014
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages33-37
Number of pages5
ISBN (Electronic)9781479980093
DOIs
StatePublished - 30 Jan 2014
Externally publishedYes
Event2014 52nd Annual Allerton Conference on Communication, Control, and Computing, Allerton 2014 - Monticello, United States
Duration: 30 Sep 20143 Oct 2014

Publication series

Name2014 52nd Annual Allerton Conference on Communication, Control, and Computing, Allerton 2014

Conference

Conference2014 52nd Annual Allerton Conference on Communication, Control, and Computing, Allerton 2014
Country/TerritoryUnited States
CityMonticello
Period30/09/143/10/14

Keywords

  • Anomaly detection
  • Sequential hypothesis testing
  • Sequential probability ratio test (SPRT)

ASJC Scopus subject areas

  • Computer Networks and Communications
  • Computer Science Applications

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