We consider a hidden Markov model (HMM) where is the observation process that is acquired sequentially and is a Markov process that controls the statistical behavior of but its state is hidden. Let also denote a changetime with the processes following a nominal probability measure up to and including time while, after , the probability measure switches to an alternative regime . This change induces a new measure which is denoted by with being reserved for the corresponding expectation.
To be more precise, for , we make the simplifying assumptions that the observations are i.i.d. with a common pdf and the Markov process having a transition pdf . After the change the observations are conditionally independent and controlled by the Markov process. In particular conditioned on has a pdf while the Markov process has transition pdf . It is possible to have , namely, the Markov process not to undergo any change. For simplicity, under the nominal measure the observations are assumed not to be controlled by the Markov process.
We would like to detect the onset of the change in the statistical behavior using a sequential strategy. We are therefore interested in defining a stopping time adapted to the filtration generated by the observations, that is, , to perform the detection. In order to select optimally we need to propose a suitable performance measure and properly optimize it. To derive our criterion we are going to extend the idea introduced in . Even though we can access only the observation process to perform detection, there is also a change-imposing mechanism that must decide about the time to impose the change. And this mechanism may have access to a completely different set of data to make this decision.
Ii Performance Measure
As we suggested above is an -adapted stopping time. In order to capture the fact that the change-imposing mechanism may have access to completely different information, we are going to assume that is also a stopping time (the time that the data stop following the nominal model) but adapted to a filtration where . In other words, the change-imposing mechanism sequentially consults the data sequence and at each time instant makes a decision as to whether it should impose a change or not. Both, ourselves that select and the change-imposing mechanism that selects are bound by a causality constraint forbidding the use of any data from the future. Clearly process , which is available to the change-imposing mechanism, may or may not include and it can be dependent or completely independent from the observations.
The change-imposing mechanism decides what is the best instant to impose the change while we decide what is the best time to stop and declare that a change took place. If is a deterministic function expressing distance between or reward for the pair then we can use the conditional expectation as a generic performance measure for the detection process. We condition on the event of no false alarms in order to compute the performance of only during successes since we intend to take care of false alarms differently.
Most of the time the rule that defines the stopping time is unknown, therefore the proposed performance measure cannot be computed and, more importantly, used to derive an optimum detection stategy. In such cases it is common to follow a worst-case analysis with respect to . In other words try to find the worst-case that will make the conditional expectation as unfavorable as possible to the detection goal. We have the following lemma that addresses this problem.
Suppose that and are stopping times described as above, then
The previous equality is also valid if we replace and with and .
The proof is given in the Appendix. ∎
If we select then we can define an extension of Lorden’s measure  by computing the worst-case average detection delay as follows
We must emphasize that this is not the original Lorden measure since conditioning is with respect to the sigma-algebra that controls and not used in the original definition. Furthermore, in our approach the double maximization occurs naturally as a result of our worst-case analysis and not because of some arbitrary definition.
An alternative measure can be generated by evaluating the performance of using the probability of detecting the change immediately after it occurs. In other words we are interested in the probability of the event . For this reason we define . If we apply Lemma 1 we can compute the worst-case detection probability
which in this work is the criterion we intend to adopt.
Returning to HMMs and using (2) we distinguish four different cases depending on how is related to the existing data. i) The change-imposing mechanism accesses information that is independent from . In this case in (2) there is no conditioning with respect to since the probability does not depend on . This yields
This is the Pollak-like criterion proposed in . ii) The change-imposing mechanism accesses only the observations, then
This is the Lorden-like criterion proposed in . iii) The change-imposing mechanism accesses only the state of the Markov process. This leads to
where corresponding to . iv) The change-imposing mechanism accesses both, the observations and the state of the Markov process resulting in
where corresponding to .
For each criterion we can define a constrained optimization problem whose solution will provide the optimum :
where . In other words we maximize the worst-case detection probability assuring at the same time that the average period between false alarms is lower bounded by a constant that we can select.
The idea of maximizing the detection probability was first introduced in  under Shiryaev’s  Bayesian formulation. In  we have a variant of the original Pollak measure  while a variant of Lorden’s measure  was adopted in  for independent processes and in  for Markov. In this work we address the case of HMMs. The problem of change-detection in HMMs has been considered in the past in [2, 3, 4]
and from these results it is well understood that even the asymptotic analysis is extremely challenging, not always leading to outcomes that are practically implementable.
Iii Candidate Tests
Let us first present the joint data pdf induced by a change occurring at some time . For we have
while for the resulting pdf takes the form
where is the marginal pdf of . The pdfs , , , are assumed known.
To simplify our presentation we are going to assume that is the stationary pdf for the transition pdf , namely . We can then define the following average probability density
which, when , simplifies to
and will be used for Criteria i) and ii). For Criteria iii) and iv) we define
where is a pdf to be specified in the sequel.
With the help of the average pdfs we can now define the candidate Shewhart stopping time as follows
Threshold is selected to satisfy the false alarm constraint with equality, namely
Existence of is guaranteed since the equation has always a solution if we assume that does not contain any atoms under . Otherwise, in order to satisfy (12) we may need randomization every time .
We can also compute the corresponding worst-case detection probability of the two Shewhart schemes. For the first test, since there is no dependence on the past, we have
For the second Shewhart test the analysis for finding the worst-case detection probability is slightly more involved. Consider first the conditional pdf
then the worst-case detection probability satisfies
We recall that the second Shewhart test is defined in terms of an arbitrary probability density . This means that the stopping time and also the worst-case detection probability are functions of as well. To specify , let denote its support, then must be such that
In other words, must put all its probability mass onto points for which the Shewhart test exhibits its worst-case performance. In fact (15) is sufficient to define uniquely.
Iv Max-Min Optimality
In this section we will demonstrate that the stopping times , defined in (11) solve the max-min constrained optimization problem defined in (7). In order to prove our claim we first need to find a suitable upper bound for . The following theorem provides the necessary expressions.
For any stopping time with we have
Additionally, if , then we have equality in the corresponding inequality.
The proof is given in the Appendix. ∎
The next theorem optimizes the upper bounds proposed in Theorem 1.
The proof is highlighted in the Appendix. ∎
We consider the case of a Gaussian process whose mean is controlled by a Gaussian Markov process. Specifically, let the observations before the change be i.i.d. with pdf and after the change assume . The process is unobservable and of the form where is a constant denoting the mean of and is an AR(1) Gaussian process with being conditionally Gaussian of the form with .
For the stationary pdf we have . Since in this example we assume that the Markov process does not change, if we focus on the solution for Criteria i) and ii), we use (9) to compute
Following (11) we can easily establish that the optimal Shewhart test is equivalent to
Threshold is related to the average false alarm period through (12) which takes the form
while the worst-case detection probability becomes
Let us now consider Criteria iii) and iv). We focus on the computation of (10) and perform it in two steps. The first involves the computation of the conditional pdf
The next step consists in finding the pdf . We are going to assume that puts all its mass on the single point . This implies that . We can then verify that the resulting Shewhart test is equivalent to
with the threshold satisfying the false alarm constraint
which is clearly minimized when with the minimum being equal to
The latter also constitutes the optimum worst-case detection probability for the Shewhart test in (21). It is worth mentioning that the Shewhart stopping time is UMP with respect to and since, as we can see, it does not require knowledge of these parameters. What is equally interesting is that the optimum worst-case detection probability is only a function of and not of . It is only that depends on these two parameters.
Suppose now that we erroneously assume that the change-imposing mechanism does not access the state of the Markov process when in reality it does. In this case we will be using from (17) instead of from (21). For it is not difficult to verify that the worst-case detection probability is equal to
A similar erroneous assumption can occur when we consider the change-imposing mechanism to be able to access the Markov state when in reality it does not. Consequently by using from (21) we need to compute its performance under the pdf in (16). This yields
For a numerical comparison, let , , with ranging from 1 to 1000. Fig. 1 depicts the corresponding detection probabilities. The graph in blue corresponds to the change-imposing mechanism having no access to the Markov process and we correctly assume that it does not. This means that we plot from (19) against computed from (18). If this assumption is wrong and the change-imposing mechanism can actually access the Markov state then we have a severe performance degradation depicted by the graph in green where we plot from (24) against from (18).
If we now use the test in (21) and the change-imposing mechanism can indeed access the Markov state then the red graph depicts the worst-case detection probability from (23) as a function of from (22). In case we made a mistake in our judgement and the change-imposing mechanism cannot access the Markov state then the same test has a performance depicted by the black curve where we plot from (23) in terms of from (22).
By using the Shewhart test in (21), which is obtained under more severe assumptions we do not lose much as compared to the optimum (17) if our assumption about the access capabilities of the change-imposing mechanism is incorrect. On the other hand, we guard ourselves against a hostile change-imposing mechanism when the latter can access all the available information. If, however, we assume that the change-imposing mechanism cannot access the Markov state and use , this assumption can be catastrophic if it is wrong.
We considered the sequential change-detection problem for HMM which is known for being challenging. By introducing a generalized version of Lorden’s performance measure we were able to come up with the optimum solution that maximizes the worst-case detection probability. This result is interesting since it is the first time we were able to obtain a solution for a performance measure that is different from the classical measures adopted so far in the literature.
This work was supported by the US National Science Foundation under Grant CIF 1513373, through Rutgers University.
Proof of Lemma 1: Since is a -adapted stopping time we have that is -measurable consequently we can write
This lower bound is in fact attainable. Suppose that the last double minimization is achieved by some (minimization over ) and realization (minimization over the data), then the change-imposing mechanism can simply impose a change at when the specific combination of data occur. If there are more choices yielding the same lower bound then it can perform randomization between them. Proof of Theorem 1: Let us consider first Criterion i). We have
where the denominator takes this specific form because the event is -measurable and therefore happens before the change. Since is -measurable we need to average out conditioned on . This is easy since under the observations and the Markov process are independent. Indeed this conditional expectation becomes
where we used the fact that is the stationary pdf. Since we can conclude that
Summing over yields the desired inequality. The previous inequality becomes an equality when because the Shewhart test is an equalizer, namely, is a constant independent from .
For Criterion ii) derivations are similar. Indeed we can write
Taking expectation on both sides with respect to the measure and summing over yields the desired result. Again we have equality when because is an equalizer.
Let us now consider Criterion iii), we have
Multiplying both sides with and averaging with respect to yields
For the left hand side we have
where we define and, without loss of generality, we assume that . For the right hand side we can similarly write
where in the last equality we use the definition in (10). The desired inequality can be shown as in the previous cases. Finally, when we have equality because puts all its mass on values of where the essential infimum is attained and because the resulting value is independent from (equilizer). Similarly we can prove the upper bound for Criterion iv). Proof of Theorem 2: The first step in the proof consists in observing that we can limit ourselves to stopping times that satisfy the false alarm constraint with equality, that is, . Indeed if then we can perform a randomization before taking any observations as to whether we should stop at time 0 with probability or continue according to the stopping time with probability . This generates a new stopping that satisfies and therefore we can select so that satisfies . On the other hand we can verify that
Because of the previous observations we need to prove that over all satisfying the false alarm constraint with equality. In fact it will be sufficient if we consider the unconstrained version
obtained by subtracting from the left and from the right side. We can now assume that there is no constraint on and minimize the left hand side in (26) over . Since is -adapted and under is i.i.d., this optimal stopping problem can be easily solved and we can show that the optimum stopping time is defined in (11). By direct computation we can also verify that the minimum value of the left hand side in (26) is indeed equal to .
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