| Title: | OS19-3 An Extended Optimal Stopping Method for Structural Change Point Detection Problem |
|---|---|
| Publication: | ICAROB2017 |
| Volume: | 22 |
| Pages: | 583-586 |
| ISSN: | 2188-7829 |
| DOI: | 10.5954/ICAROB.2017.OS19-3 |
| Author(s): | Yoshihide Koyama, Tetsuo Hattori, Yoshiro Imai, Yo Horikawa, Yusuke Kawakami, Hiromichi Kawano |
| Publication Date: | January 19, 2017 |
| Keywords: | Time series data, Structural change point detection, Optimal stopping problem, NSPRT (New Sequential Probability Ratio Test) |
| Abstract: | Previously, we have proposed and formulated the SCPD (Structural Change Point Detection) problem in time series data as an Optimal Stopping one using the concept of DP (Dynamic Programming). And also we have shown the solution theorem in the form of inequality. In this paper, based on the relation between the solution of Optimal Stopping and NSPRT (New Sequential Probability Ratio Test), we present the extended Optimal Stopping Method in order to obtain more practical one, considering a loss cost and an action cost involved by failure prediction. |
| PDF File: | https://alife-robotics.co.jp/members2017/icarob/data/html/data/OS_pdf/OS19/OS19-3.pdf |
| Copyright: | © The authors. This article is distributed under the terms of the Creative Commons Attribution License 4.0, which permits non-commercial use, distribution and reproduction in any medium, provided the original work is properly cited. See for details: https://creativecommons.org/licenses/by-nc/4.0/ |
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