Real Time Performance Control for Robust Sequential Monitoring Algorithms

A. Burrell and T. Papantoni (USA)


Reinitializing Algorithms, Sequential Detection, Robustness, Learning Algorithm.


Assume the observed data of phenomena whose behavior needs to be monitored. We consider reinitializing sequential algorithms for the detection of possible repeated changes in the acting data generating process. We assume the deployment of robust such algorithms and we study real time learning algorithms for the on-line adaptation of the threshold parameters involved, towards the satisfaction of a specific given performance tradeoff.

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