Quickest Change Detection with Privacy Constraint

09/18/2020

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by   Tze Siong Lau, et al.

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This paper considers Lorden's minimax quickest change detection (QCD) problem with a privacy constraint. The goal is to sanitize a signal to satisfy inference privacy requirements while being able to detect a change quickly. We show that the Generalized Likelihood Ratio (GLR) CuSum achieves asymptotic optimality with a properly designed sanitization channel. We formulate the design of this sanitization channel as an optimization problem, which is however challenging to solve. We propose relaxations to the optimization problem and develop algorithms to obtain a solution. We also consider the privacy-aware QCD problem under a decentralized framework and propose algorithms to solve the relaxed channel design problem under this framework.