Compound poisson disorder problems with nonlinear detection delay penalty cost functions

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dc.citation.epage216en_US
dc.citation.issueNumber2en_US
dc.citation.spage193en_US
dc.citation.volumeNumber29en_US
dc.contributor.authorDayanik, S.en_US
dc.date.accessioned2016-02-08T09:59:19Z
dc.date.available2016-02-08T09:59:19Z
dc.date.issued2010en_US
dc.departmentDepartment of Mathematicsen_US
dc.departmentDepartment of Industrial Engineeringen_US
dc.description.abstractThe 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.en_US
dc.identifier.doi10.1080/07474941003741227en_US
dc.identifier.issn0747-4946
dc.identifier.urihttp://hdl.handle.net/11693/22377
dc.language.isoEnglishen_US
dc.relation.isversionofhttp://dx.doi.org/10.1080/07474941003741227en_US
dc.source.titleSequential Analysisen_US
dc.subjectBayesian sequential change detectionen_US
dc.subjectCompound poisson disorder problemen_US
dc.subjectOptimal stoppingen_US
dc.subjectPiecewise-deterministic markov processesen_US
dc.subjectCompound poissonen_US
dc.subjectCompound Poisson processen_US
dc.subjectOptimal stoppingen_US
dc.subjectOptimal stopping problemen_US
dc.subjectPiecewise deterministic Markov processen_US
dc.subjectSequential change detectionen_US
dc.subjectSufficient statisticsen_US
dc.subjectSuitable conditionsen_US
dc.subjectPolynomialsen_US
dc.subjectOptimizationen_US
dc.titleCompound poisson disorder problems with nonlinear detection delay penalty cost functionsen_US
dc.typeArticleen_US

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