Optimum Multi-Stream Sequential Change-Point Detection With Sampling Control

In multi-stream sequential change-point detection it is assumed that there are M processes in a system and at some unknown time, an occurring event changes the distribution of the samples of a particular process. In this article, we consider this problem under a sampling control constraint when one is allowed, at each point in time, to sample a single process. The objective is to raise an alarm as quickly as possible subject to a proper false alarm constraint. We show that under sampling control, a simple myopic-sampling-based sequential change-point detection strategy is second-order asymptotically optimal when the number M of processes is fixed. This means that the proposed detector, even by sampling with a rate 1/M of the full rate, enjoys the same detection delay, up to some additive finite constant, as the optimal procedure. Simulation experiments corroborate our theoretical results.

Automated summary

In this paper, a study on multi-stream sequential change-point detection is presented, as well as a strategy to solve this problem under sampling control constraints. The results show that a simple myopic-sampling-based sequential change-point detection strategy is second-order asymptotically optimal when the number of processes M is fixed.