Contact Info
Department of Applied Mathematics
University of Waterloo
Waterloo, Ontario
Canada N2L 3G1
Phone: 519-888-4567, ext. 32700
Fax: 519-746-4319
PDF files require Adobe Acrobat Reader
AMATH Grad Students
Dongchang Li | University of Waterloo
Quickest Change Detection
Quickest change detection (QCD) is a vital procedure of system monitoring that involves optimizing the tradeoff between a measure of detection delay and a measure of the frequency of false alarms. From a filtering point of view, we propose an effective method of tracking the generalized cumulative sum (CUSUM) statistics in practice to detect a change in the hidden Markov models with nonlinear dynamics.
Specifically, we focus on the cases where the change excites deterministic dynamical systems from a pre-change steady state to a post-change steady state, and to post-change periodic oscillations. The performance of the generalized CUSUMs using particle filters, in particular, is examined with Monte Carlo simulations in the pure surge mode of Moore-Greitzer compressor models with an additive change.
Contact Info
Department of Applied Mathematics
University of Waterloo
Waterloo, Ontario
Canada N2L 3G1
Phone: 519-888-4567, ext. 32700
Fax: 519-746-4319
PDF files require Adobe Acrobat Reader
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