一类受开关函数控制的最快检测问题

Quickest Detection of a Change Point Related to a Step Function

提出一类受开关函数控制的最快检测问题.建立了转变时刻的先验概率受当前状态控制的概率模型,并使用最优停止理论结合贝叶斯方法,给出了该模型下最快检测的停止方法.使用该方法进行了计算机仿真,给出了虚警概率和平均延时的仿真结果.结果表明,该方法原理正确,拓展了贝叶斯最快检测方法的适用范围.

A quickest detection method related to a step function was proposed.Firstly,a probability model was established,making the priori probability of a change point be switched with current states.Then a Bayesian quickest detection rule was established based on the optimal stopping theory.Finally,computer simulation was carried out,analyzing the probability of false alarm and the mean time of delay.Simulation results show the validity of the method.This method can introduce Bayesian quickest detection theory into more application area.