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arXiv · 2201.11722

Change Detection of Markov Kernels with Unknown Pre and Post Change Kernel

Hao Chen·Jiacheng Tang·Abhishek Gupta
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Abstract

In this paper, we develop a new change detection algorithm for detecting a change in the Markov kernel over a metric space in which the post-change kernel is unknown. Under the assumption that the pre- and post-change Markov kernel is uniformly ergodic, we derive an upper bound on the mean delay and a lower bound on the mean time between false alarms. A numerical simulation is provided to demonstrate the effectiveness of our method.

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Hao Chen, Jiacheng Tang, Abhishek Gupta. 2022-01-27. Change Detection of Markov Kernels with Unknown Pre and Post Change Kernel. https://doi.org/10.1109/cdc51059.2022.9992982

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