图 书 馆
最快的变化检测Quickest Change Detection |
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| 课程网址: | http://videolectures.net/nipsworkshops09_hadjiliadis_qcd/ |
| 主讲教师: | Olympia Hadjiliadis |
| 开课单位: | 布鲁克林学院 |
| 开课时间: | 2010-01-19 |
| 课程语种: | 英语 |
| 中文简介: |  |
| 课程简介: | This work examines the problem of sequential change detection in the constant drift of a Brownian motion in the case of multiple alternatives. As a performance measure an extended Lordenas criterion is proposed. When the possible drifts, assumed after the change, have the same sign, the CUSUM rule, designed to detect the smallest in absolute value drift, is proven to be the optimum. If the drifts have opposite signs, then a specifi c 2-CUSUM rule is shown to be asymptotically optimal as the frequency of false alarms tends to in finity. |
| 关 键 词: | 布朗运动; CUSUM规则; lordenas判据 |
| 课程来源: | 视频讲座网 |
| 最后编审: | 2020-06-01：吴雨秋(课程编辑志愿者) |
| 阅读次数: | 132 |