Probability Maximizing Approach for Quickest Detection Problem with Complicated Markov Chain
Minoru Yoshida · Journal of Information and Optimization Sciences · 1983
In this paper an optimal stopping problem, which is an extention of so called “disorder problem”, is formulated. The probabilistic characteristics of the variables,observed sequentially, may change at random moments of time θ2 and θ3 For each t= 1,2 our objective is to stop the observation so as to maximize the probability that the “distance” between θi and the moment of stopping time will not exceed a given number. For each problem we derive a sufficient condition under which an optimal stopping time exists, and we also find its form.