Misspecified and Asymptotically Minimax Robust Quickest Change Diagnosis

Abstract

The problem of quickly diagnosing an unknown change in a stochastic process is studied. We establish novel bounds on the performance of misspecified diagnosis algorithms designed for changes that differ from those of the process, and pose and solve a new robust quickest change diagnosis problem in the asymptotic regime of few false alarms and false isolations. Simulations suggest that our asymptotically robust solution offers a computationally efficient alternative to generalised likelihood ratio algorithms.

19 pages, 2 figures, Accepted for publication in IEEE Transactions on Automatic Control