Quickest anomaly detection: A case of active hypothesis testing

Kobi Cohen; Qing Zhao

doi:10.1109/ITA.2014.6804268

Quickest anomaly detection: A case of active hypothesis testing

Kobi Cohen, Qing Zhao

Research output: Contribution to conference › Paper › peer-review

9 Scopus citations

Abstract

The problem of quickest detection of an anomalous process among M processes is considered. At each time, a subset of the processes can be observed, and the observations follow two different distributions, depending on whether the process is normal or abnormal. The objective is a sequential search strategy that minimizes the expected detection time subject to an error probability constraint. This problem can be considered as a special case of active hypothesis testing first considered by Chernoff in 1959, where a randomized test was proposed and shown to be asymptotically optimal. For the special case considered in this paper, we show that a simple deterministic test achieves asymptotic optimality and offers better performance in the finite regime.

Original language	English
DOIs	https://doi.org/10.1109/ITA.2014.6804268
State	Published - 1 Jan 2014
Externally published	Yes
Event	2014 IEEE Information Theory and Applications Workshop, ITA 2014 - San Diego, CA, United States Duration: 9 Feb 2014 → 14 Feb 2014

Conference

Conference	2014 IEEE Information Theory and Applications Workshop, ITA 2014
Country/Territory	United States
City	San Diego, CA
Period	9/02/14 → 14/02/14

Keywords

Sequential detection
dynamic search
hypothesis testing

ASJC Scopus subject areas

Computer Science Applications
Information Systems

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10.1109/ITA.2014.6804268

Cite this

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abstract = "The problem of quickest detection of an anomalous process among M processes is considered. At each time, a subset of the processes can be observed, and the observations follow two different distributions, depending on whether the process is normal or abnormal. The objective is a sequential search strategy that minimizes the expected detection time subject to an error probability constraint. This problem can be considered as a special case of active hypothesis testing first considered by Chernoff in 1959, where a randomized test was proposed and shown to be asymptotically optimal. For the special case considered in this paper, we show that a simple deterministic test achieves asymptotic optimality and offers better performance in the finite regime.",

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AU - Zhao, Qing

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AB - The problem of quickest detection of an anomalous process among M processes is considered. At each time, a subset of the processes can be observed, and the observations follow two different distributions, depending on whether the process is normal or abnormal. The objective is a sequential search strategy that minimizes the expected detection time subject to an error probability constraint. This problem can be considered as a special case of active hypothesis testing first considered by Chernoff in 1959, where a randomized test was proposed and shown to be asymptotically optimal. For the special case considered in this paper, we show that a simple deterministic test achieves asymptotic optimality and offers better performance in the finite regime.

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KW - dynamic search

KW - hypothesis testing

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Y2 - 9 February 2014 through 14 February 2014

ER -

Quickest anomaly detection: A case of active hypothesis testing

Abstract

Conference

Keywords

ASJC Scopus subject areas

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