Quickest detection in coupled systems

Abstract

This work considers the problem of quickest detection of signals in a coupled system of $N$ sensors, which receive continuous sequential observations from the environment. It is assumed that the signals, which are modeled by general It\^{o} processes, are coupled across sensors, but that their onset times may differ from sensor to sensor. Two main cases are considered; in the first one signal strengths are the same across sensors while in the second one they differ by a constant. The objective is the optimal detection of the first time at which any sensor in the system receives a signal. The problem is formulated as a stochastic optimization problem in which an extended minimal Kullback-Leibler divergence criterion is used as a measure of detection delay, with a constraint on the mean time to the first false alarm. The case in which the sensors employ cumulative sum (CUSUM) strategies is considered, and it is proved that the minimum of $N$ CUSUMs is asymptotically optimal as the mean time to the first false alarm increases without bound. In particular, in the case of equal signal strengths across sensors, it is seen that the difference in detection delay of the $N$-CUSUM stopping rule and the unknown optimal stopping scheme tends to a constant related to the number of sensors as the mean time to the first false alarm increases without bound. Alternatively, in the case of unequal signal strengths, it is seen that this difference tends to zero.