Disorder Detection with Costly Observations

2020/02/03 by Bayraktar, Erhan, Ekstrom, Erik, Guo, Jia · 1 citation
#FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR)

paper · doi:10.48550/arxiv.2002.00930

Abstract

We study the Wiener disorder detection problem where each observation is associated with a positive cost. In this setting, a strategy is a pair consisting of a sequence of observation times and a stopping time corresponding to the declaration of disorder. We characterize the minimal cost of the disorder problem with costly observations as the unique fix-point of a certain jump operator, and we determine the optimal strategy.

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