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Minimal time detection of parameter change in a counting process

  • Part. I — Stochastic Modelling And Simulation
  • Conference paper
  • First Online:
Stochastic Programming

Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 76))

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Abstract

We present an algorithm for on-line detection of parameter change in a counting process (such as change in arrival rate in a queue), the optimality criterion being the minimization of the time delay in detection. The development is based on the theory of optimal stopping rules. An illustrative simulation study of a simple change model is included.

Research supported in part under Grant No. 78-3550, AFOSR, USAF, Applied Math Division

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References

  1. A. N. Shiryayev: Optimal Stopping Rules. Springer-Verlag, New York, 1978.

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  2. Y. S. Chow, H. Robbins and D. Siegmund: Great Expectations: The Theory of Optimal Stopping. Houghton Mifflin Co., New York, 1971.

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Authors and Affiliations

  1. System Science Department School of Engineering, UCLA, 90025, Los Angeles, CA

    A. V. Balakrishnan

Authors
  1. A. V. Balakrishnan
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Editor information

F. Archetti G. Di Pillo M. Lucertini

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© 1986 Springer-Verlag

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Balakrishnan, A.V. (1986). Minimal time detection of parameter change in a counting process. In: Archetti, F., Di Pillo, G., Lucertini, M. (eds) Stochastic Programming. Lecture Notes in Control and Information Sciences, vol 76. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0006859

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  • DOI: https://doi.org/10.1007/BFb0006859

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-16044-1

  • Online ISBN: 978-3-540-39729-8

  • eBook Packages: Springer Book Archive

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