Quickest Change Detection of a Markov Process Across a Sensor Array

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Executive Summary

Recent attention in quickest change detection in the multi-sensor setting has been on the case where the densities of the observations change at the same instant at all the sensors due to the disruption. In this paper, a more general scenario is considered where the change propagates across the sensors, and its propagation can be modeled as a Markov process. A centralized, Bayesian version of this problem, with a fusion center that has perfect information about the observations and a priori knowledge of the statistics of the change process, is considered. The problem of minimizing the average detection delay subject to false alarm constraints is formulated as a Partially Observable Markov Decision Process (POMDP).

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