Bayesian Methods for Multiple Change-Point Detection with Reduced Communication

Eyal Nitzan*, Topi Halme, Visa Koivunen

*Corresponding author for this work

Research output: Contribution to journalArticleScientificpeer-review

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Abstract

In many modern applications, large-scale sensor networks are used to perform statistical inference tasks. In this article, we propose Bayesian methods for multiple change-point detection using a sensor network in which a fusion center (FC) can receive a data stream from each sensor. Due to communication limitations, the FC monitors only a subset of the sensors at each time slot. Since the number of change points can be high, we adopt the false discovery rate (FDR) criterion for controlling the rate of false alarms, while aiming to minimize the average detection delay (ADD) and the average number of observations (ANO) communicated until discovery. We propose two Bayesian detection procedures that handle the communication limitations by monitoring the subset of the sensors with the highest posterior probabilities of change points having occurred. This monitoring policy aims to minimize the delay between the occurrence of each change point and its declaration using the corresponding posterior probabilities. One of the proposed procedures is more conservative than the second one in terms of having lower FDR at the expense of higher ADD. It is analytically shown that both procedures control the FDR under a specified tolerated level and are also scalable in the sense that they attain ADD and ANO that do not increase asymptotically with the number of sensors. In addition, it is demonstrated that the proposed detection procedures are useful for trading off between reduced ADD and reduced ANO. Numerical simulations are conducted for validating the analytical results and for demonstrating the properties of the proposed procedures.

Original languageEnglish
Article number9165943
Pages (from-to)4871-4886
Number of pages16
JournalIEEE Transactions on Signal Processing
Volume68
DOIs
Publication statusPublished - 1 Jan 2020
MoE publication typeA1 Journal article-refereed

Keywords

  • average detection delay
  • average number of observations
  • Bayesian multiple change-point detection
  • communication limitations
  • false discovery rate

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