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International conference "Stochastic Optimization and Optimal Stopping"
September 25, 2012 11:00, Moscow, Steklov Mathematical Institute of RAS
 

Plenary talks


Sequential hypothesis testing and disorder detection: past and future

Alex G. Tartakovsky

University of Southern California
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Alex G. Tartakovsky
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Abstract: An overview of optimal and nearly optimal sequential hypothesis testing and changepoint (disorder) detection methods is given. We consider a variety of scenarios and problem settings: simple and composite hypotheses; two- and multi-decision problems; iid and general non-iid models; Bayesian and non-Bayesian (minimax and other) optimality criteria. Classical results as well as more complicated sequential testing and disorder detection problems are discussed. New challenges and open problems are also addressed.

Language: English

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