• About
  • Policies
  • What is open access
  • Library
  • Contact
Advanced search
      View Item 
      •   BUIR Home
      • Scholarly Publications
      • Faculty of Science
      • Department of Mathematics
      • View Item
      •   BUIR Home
      • Scholarly Publications
      • Faculty of Science
      • Department of Mathematics
      • View Item
      JavaScript is disabled for your browser. Some features of this site may not work without it.

      Compound poisson disorder problems with nonlinear detection delay penalty cost functions

      Thumbnail
      View / Download
      892.1 Kb
      Author(s)
      Dayanik, S.
      Date
      2010
      Source Title
      Sequential Analysis
      Print ISSN
      0747-4946
      Volume
      29
      Issue
      2
      Pages
      193 - 216
      Language
      English
      Type
      Article
      Item Usage Stats
      141
      views
      103
      downloads
      Abstract
      The quickest detection of the unknown and unobservable disorder time, when the arrival rate and mark distribution of a compound Poisson process suddenly changes, is formulated in a Bayesian setting, where the detection delay penalty is a general smooth function of the detection delay time. Under suitable conditions, the problem is shown to be equivalent to the optimal stopping of a finite-dimensional piecewise-deterministic strongly Markov sufficient statistic. The solution of the optimal stopping problem is described in detail for the compound Poisson disorder problem with polynomial detection delay penalty function of arbitrary but fixed degree. The results are illustrated for the case of the quadratic detection delay penalty function. © Taylor & Francis Group, LLC.
      Keywords
      Bayesian sequential change detection
      Compound poisson disorder problem
      Optimal stopping
      Piecewise-deterministic markov processes
      Compound poisson
      Compound Poisson process
      Optimal stopping
      Optimal stopping problem
      Piecewise deterministic Markov process
      Sequential change detection
      Sufficient statistics
      Suitable conditions
      Polynomials
      Optimization
      Permalink
      http://hdl.handle.net/11693/22377
      Published Version (Please cite this version)
      http://dx.doi.org/10.1080/07474941003741227
      Collections
      • Department of Industrial Engineering 702
      • Department of Mathematics 653
      Show full item record

      Browse

      All of BUIRCommunities & CollectionsTitlesAuthorsAdvisorsBy Issue DateKeywordsTypeDepartmentsThis CollectionTitlesAuthorsAdvisorsBy Issue DateKeywordsTypeDepartments

      My Account

      LoginRegister

      Statistics

      View Usage StatisticsView Google Analytics Statistics

      Bilkent University

      If you have trouble accessing this page and need to request an alternate format, contact the site administrator. Phone: (312) 290 1771
      © Bilkent University - Library IT

      Contact Us | Send Feedback | Off-Campus Access | Admin | Privacy