| 一类受开关函数控制的最快检测问题 |
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| 引用本文： | 蔡亮,张佳佳.一类受开关函数控制的最快检测问题[J].北京理工大学学报,2020,40(1):117-120. |
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| 作者姓名： | 蔡亮 张佳佳 |
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| 作者单位： | 北京理工大学 数学与统计学院, 北京 100081 |
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| 基金项目： | 国家自然科学青年基金资助项目（11301025） |
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| 摘 要： | 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.
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| 关 键 词： | 最快检测 贝叶斯方法 开关函数 |
| 收稿时间： | 2018/5/15 0:00:00 |
Quickest Detection of a Change Point Related to a Step Function |
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| CAI Liang and ZHANG Jia-jia.Quickest Detection of a Change Point Related to a Step Function[J].Journal of Beijing Institute of Technology(Natural Science Edition),2020,40(1):117-120. |
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| Authors: | CAI Liang and ZHANG Jia-jia |
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| Institution: | School of Mathematics and Statistics, Beijing Institute of Technology, Beijing 100081, China |
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| Abstract: | 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. |
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| Keywords: | quickest detection Bayesian rules step function |
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