Quickest change detection in structured data with incomplete information

Abstract

This paper considers a network of agents generating correlated data according to a known kernel. The correlation structure might undergo a change at an unknown time instant, where the post-change kernel is not fully known. Moreover, due to the data processing and communication costs, only a subset of agents can be observed at any time instant. The objective is to detect the change-point with minimum average delay, while the rate of false alarms is controlled. This paper proposes a coupled data acquisition and decision-making process for change detection and establishes its optimality properties.