Robust Score-Based Quickest Change Detection
Methods in the field of quickest change detection rapidly detect in real-time a change in the data-generating distribution of an online data stream. Existing methods have been able to detect this change point when the densities of the pre- and post-change distributions are known. Recent work has extended these results to the case where the pre- and post-change distributions are known only by their score functions. This work considers the case where the pre- and post-change score functions are known only to correspond to distributions in two disjoint sets. This work employs a pair of "least-favorable" distributions to robustify the existing score-based quickest change detection algorithm, the properties of which are studied. This paper calculates the least-favorable distributions for specific model classes and provides methods of estimating the least-favorable distributions for common constructions. Simulation results are provided demonstrating the performance of our robust change detection algorithm.
Code (0)
등록된 구현이 없습니다.
Tasks
Change DetectionSimilar Papers 제목 키워드 기반
Quickest Change Detection for Unnormalized Statistical Models
Classical quickest change detection algorithms require modeling pre-change and post-change distributions. Such an approach may not be feasible for various machine learning models because of the complexity of computing th…
Change DetectionConditional Score Learning for Quickest Change Detection in Markov Transition Kernels
We address the problem of quickest change detection in Markov processes with unknown transition kernels. The key idea is to learn the conditional score $\nabla_{\mathbf{y}} \log p(\mathbf{y}|\mathbf{x})$ directly from sa…
Change DetectionQuickest Change Detection of Time Inconsistent Anticipatory Agents. Human-Sensor and Cyber-Physical Systems
In behavioral economics, human decision makers are modeled as anticipatory agents that make decisions by taking into account the probability of future decisions (plans). We consider cyber-physical systems involving the i…
Change DetectionDecision MakingQuickest Intruder Detection for Multiple User Active Authentication
In this paper, we investigate how to detect intruders with low latency for Active Authentication (AA) systems with multiple-users. We extend the Quickest Change Detection (QCD) framework to the multiple-user case and for…
Change DetectionQuickest Detection for Human-Sensor Systems using Quantum Decision Theory
In mathematical psychology, recent models for human decision-making use Quantum Decision Theory to capture important human-centric features such as order effects and violation of the sure-thing principle (total probabili…
Decision Making