ISyE Seminar - Alexander Tartakovsky

Event Details
  • Date/Time:
    • Wednesday February 17, 2016 - Thursday February 18, 2016
      2:00 pm - 1:59 pm
  • Location: Advisory Boardroom Groseclose 402
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Summary Sentence: ISyE Seminar - Alexander Tartakovsky

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TITLE: Nearly Optimal Multistream Sequential Tests: The Non-i.i.d. Case


We consider the problem of sequential signal detection in a multistream setup assuming that there is a multichannel system where the number and location of signals (if any) is a priori unknown. We suppose that the data in each stream/channel follow a very general non-i.i.d. stochastic model. Under the assumption that the local log-likelihood ratio processes in the channels converge r-completely to positive and finite numbers, we establish the asymptotic optimality property of a generalized sequential likelihood ratio test and a mixture-based sequential likelihood ratio test. Specifically, we show that both tests minimize the first r moments of the stopping time distribution asymptotically as the probabilities of false alarm and missed detection approach zero. The general detection theory is illustrated by several practical examples. Finally, we discuss the feasibility of both sequential tests in terms of computational complexity and compare their non-asymptotic performance in a simulation study. This is joint work with Georgios Fellouris.

Additional Information

In Campus Calendar

School of Industrial and Systems Engineering (ISYE)

Invited Audience
Undergraduate students, Faculty/Staff, Graduate students
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  • Created By: Anita Race
  • Workflow Status: Published
  • Created On: Jan 25, 2016 - 6:26am
  • Last Updated: Apr 13, 2017 - 5:16pm