155 citations · 578 across the 27 of their papers we have counts for
22 papers · 1 filter
Nearly Optimum Properties of Certain Multi-Decision Sequential Rules for General Non-i.i.d. Stochastic Models
Alexander G. Tartakovsky
Dedicated to the memory of Professor Tze Leung Lai, this paper introduces three multi-hypothesis sequential tests. These tests are derived from one-sided versions of the sequential…
Beyond boundaries: Gary Lorden's groundbreaking contributions to sequential analysis
Jay Bartroff, Alexander G. Tartakovsky
Gary Lorden provided several fundamental and novel insights into sequential hypothesis testing and changepoint detection. In this article, we provide an overview of Lorden's contri…
Quickest Changepoint Detection in General Multistream Stochastic Models: Recent Results, Applications and Future Challenges
Alexander G Tartakovsky, Valentin Spivak
Modern information systems generate large volumes of data with anomalies that occur at unknown points in time and have to be detected quickly and reliably with low false alarm rate…
Minimax and pointwise sequential changepoint detection and identification for general stochastic models
Serguei Pergamenchtchikov, Alexander Tartakovsky, Valentin Spivak
This paper considers the problem of joint change detection and identification assuming multiple composite postchange hypotheses. We propose a multihypothesis changepoint detection-…
Optimal Sequential Detection of Signals with Unknown Appearance and Disappearance Points in Time
Alexander G. Tartakovsky, Nikita R. Berenkov, Alexei E. Kolessa +1
The paper addresses a sequential changepoint detection problem, assuming that the duration of change may be finite and unknown. This problem is of importance for many applications,…
An Asymptotic Theory of Joint Sequential Changepoint Detection and Identification for General Stochastic Models
Alexander G. Tartakovsky
The paper addresses a joint sequential changepoint detection and identification/isolation problem for a general stochastic model, assuming that the observed data may be dependent a…
Asymptotic Optimality of Mixture Rules for Detecting Changes in General Stochastic Models
Alexander G. Tartakovsky
The paper addresses a sequential changepoint detection problem for a general stochastic model, assuming that the observed data may be non-i.i.d. (i.e., dependent and non-identicall…
Asymptotically Optimal Quickest Change Detection In Multistream Data - Part 1: General Stochastic Models
Alexander Tartakovsky
Assume that there are multiple data streams (channels, sensors) and in each stream the process of interest produces generally dependent and non-identically distributed observations…
Asymptotically Optimal Pointwise and Minimax Change-point Detection for General Stochastic Models With a Composite Post-Change Hypothesis
Serguei Pergamenchtchikov, Alexander G. Tartakovsky
A weighted Shiryaev-Roberts change detection procedure is shown to approximately minimize the expected delay to detection as well as higher moments of the detection delay among all…
Asymptotic Bayesian Theory of Quickest Change Detection for Hidden Markov Models
Chen-Der Fuh, Alexander G. Tartakovsky
In the 1960s, Shiryaev developed a Bayesian theory of change-point detection in the i.i.d. case, which was generalized in the beginning of the 2000s by Tartakovsky and Veeravalli f…
Multichannel Sequential Detection- Part I: Non-i.i.d. Data
Georgios Fellouris, Alexander G. Tartakovsky
We consider the problem of sequential signal detection in a multichannel system where the number and location of signals is a priori unknown. We assume that the data in each channe…
On Asymptotic Optimality in Sequential Changepoint Detection: Non-iid Case
Alexander G. Tartakovsky
We consider a sequential Bayesian changepoint detection problem for a general stochastic model, assuming that the observed data may be dependent and non-identically distributed and…
Asymptotically Optimal Pointwise and Minimax Quickest Change-point Detection for Dependent Data
Serguei M. Pergamenchtchikov, Alexander G. Tartakovsky
We consider the quickest change-point detection problem in pointwise and minimax settings for general dependent data models. Two new classes of sequential detection procedures asso…
Unstructured sequential testing in sensor networks
Georgios Fellouris, Alexander Tartakovsky
We consider the problem of quickly detecting a signal in a sensor network when the subset of sensors in which signal may be present is completely unknown. We formulate this problem…
Almost optimal sequential tests of discrete composite hypotheses
Georgios Fellouris, Alexander G. Tartakovsky
We consider the problem of sequentially testing a simple null hypothesis versus a composite alternative hypothesis that consists of a finite set of densities. We study sequential t…
Nearly Optimal Change-Point Detection with an Application to Cybersecurity
Aleksey S. Polunchenko, Alexander G. Tartakovsky, Nitis Mukhopadhyay
We address the sequential change-point detection problem for the Gaussian model where baseline distribution is Gaussian with variance σ^2 and mean μsuch that σ^2=aμ, where a>0 is a…
Nearly Minimax One-Sided Mixture-Based Sequential Tests
Georgios Fellouris, Alexander G. Tartakovsky
We focus on one-sided, mixture-based stopping rules for the problem of sequential testing a simple null hypothesis against a composite alternative. For the latter, we consider two…
State-of-the-Art in Sequential Change-Point Detection
Aleksey S. Polunchenko, Alexander G. Tartakovsky
We provide an overview of the state-of-the-art in the area of sequential change-point detection assuming discrete time and known pre- and post-change distributions. The overview sp…
Third-order Asymptotic Optimality of the Generalized Shiryaev-Roberts Changepoint Detection Procedures
Alexander G. Tartakovsky, Moshe Pollak, Aleksey S. Polunchenko
Several variations of the Shiryaev-Roberts detection procedure in the context of the simple changepoint problem are considered: starting the procedure at (the original Shir…
On optimality of the Shiryaev-Roberts procedure for detecting a change in distribution
Aleksey S. Polunchenko, Alexander G. Tartakovsky
In 1985, for detecting a change in distribution, Pollak introduced a specific minimax performance metric and a randomized version of the Shiryaev-Roberts procedure where the zero i…
On Optimality Properties of the Shiryaev-Roberts Procedure
Moshe Pollak, Alexander G. Tartakovsky
We consider the simple changepoint problem setting, where observations are independent, iid pre-change and iid post-change, with known pre- and post-change distributions. The Shiry…
Asymptotic Optimality in Bayesian Change-Point Detection Problems Under Global False Alarm Probability Constraint
Alexander G. Tartakovsky
In 1960s Shiryaev developed Bayesian theory of change detection in independent and identically distributed (i.i.d.) sequences. In Shiryaev's classical setting the goal is to minimi…