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978-1-4673-5051-8/12/$31.00 2012
IEEE
PREVIOUS RESULTS
1930
Asilomar 2012
CRITERION
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The criterion of reliable detection promoting a small probability of missed detection which consists to minimize
(5)
sup IP'ns (T - ns + 1 > nd)
nsl
subject to a given level of false alarm has been proposed
in [6]. Let us assume that the acceptable detection delay nd
al as -+ and 0 > 0.
satisfies the equality nd = (1 + 0) Ilog
Pia
It has been pointed out in [6] based on the results of [17],
[2S] that in such a case the probability of missed detection for
the CUSUM algorithm is asymptotically negligible. Unfortu
nately, to establish that the CUSUM algorithm asymptotically
minimizes the probability (5) as -+ subject to constraint
(4), the speed of convergence of the above probability to zero
as
-+ should be known. In addition, for safety critical
applications, the conditional probability of missed detection
can be a more adequate criterion. It can be shown that
1931
:::; a} ,
IV.
V.
WL CUSUM
VTWL CUSUM
(8)
-4
20
,------------,
ns L
-20
-40
-60
-80
-100
<
max
n-L+l:Sk:Sn
{Sk'-h(n-k+ 1)}
s
(ns9GL+n
max {Sf +n -l
s-l
<
h(L + ns -k)}
<
h(L))
L---------'------'''----'T, cw-------50
100
iF'
I TWL;::: ns).
;:::o }
(7)
ii,
),
CTs
and
(9)
{-2}
<
;::: L. We firstly
+ ma:).
;:::
2::=
t=f
(10)
1932
f+ma-1
2::=
f+ma
lP'O (TWL = t)
t=f
Uf - UHma
;::: O.
e?:L
e?:
10'
----------....,
VL =
1-lP'o
L+ma-l
( [n {
n=L
VL:S 1-
max
n-L+l::;k::;n
!!lP'o(S<h(n))
{Sk'-h(n-k +l)}<O
})
ma
=H(h(I),... ,h(L)). (11)
--
ecce::::::
+ + + + +
- -- --
10.
72'----
--:-
-'--
e>L
1 0'
==------------,
Xn --++cx:>
(12)
Hence, the optimization of the VTWL CUSUM test is sum
marized as follows: i) determinin the threshold h which is
the solution of the equation h = H-I ( 0: ) and ii) calculating
the worst probability of missed detection lP';, (TWL) by using
(9).
VI.
NUMERICAL EXAMPLES
(13)
10.3 '--------'---------'---'
2
Thrshold h 6
Fig. 3. The estimated worst case probability of false alarm and its upper
bound h >-+ ii (h) as functions of the threshold h.
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0
0
****
00 0 0
__
CUSUM test
FMA test
Upper-bound given in (9)
00
00
0 0
00
o
10-SL-c"c:-------
10-2
10-1
Worst case probability of false alarm Q
(2) with infinite post-change period [13], [14], [15], [17], [28].
It is also widely used for the problem of finite transient change
detection [5], [6], [3]. For this reason the CUSUM test is a
good competitor for the algorithm proposed in the paper. Fig. 4
shows the probability of missed detection lP';, (T) as a function
of the worst case false alarm probability lP'ra (T; ma) a for
both competitors obtained by using a lOS-repetition Monte
Carlo simulation. The theoretical upper bound is also shown
for the FMA test. The simulation parameters are the same as
previously. It can be concluded that the FMA test outperforms
the conventional CUSUM. In fact, the better performance of
the FMA test shows that it is relevant to take into account only
L last observations to improve the detection performance.
=
VII.
CONCLUSION
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