Anomaly detection under a nonlinear system cost objective function

Andrey Gurevich, Kobi Cohen, Qing Zhao

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

1 Scopus citations

Abstract

We consider the problem of anomaly detection among K heterogeneous processes. At each given time, a single observation (or a fixed batch of observations) is collected from a chosen process. 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 until its anomaly is identified and fixed, and the cost is nonlinear (specifically, polynomial with degree d) with the duration of the anomalous state. 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 propose a search algorithm that consists of exploration, exploitation, and sequential testing phases. We analyze the approximation ratio and the regret of the algorithm for d > 1, and establish its asymptotic optimality for d =1.

Original languageEnglish
Title of host publication55th Annual Allerton Conference on Communication, Control, and Computing, Allerton 2017
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages634-638
Number of pages5
ISBN (Electronic)9781538632666
DOIs
StatePublished - 1 Jul 2017
Event55th Annual Allerton Conference on Communication, Control, and Computing, Allerton 2017 - Monticello, United States
Duration: 3 Oct 20176 Oct 2017

Publication series

Name55th Annual Allerton Conference on Communication, Control, and Computing, Allerton 2017
Volume2018-January

Conference

Conference55th Annual Allerton Conference on Communication, Control, and Computing, Allerton 2017
Country/TerritoryUnited States
CityMonticello
Period3/10/176/10/17

Keywords

  • Anomaly detection
  • Sequential Probability Ratio Test (SPRT)
  • sequential hypothesis testing

ASJC Scopus subject areas

  • Computer Networks and Communications
  • Hardware and Architecture
  • Signal Processing
  • Energy Engineering and Power Technology
  • Control and Optimization

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