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Optimal Stopping for Change-point Detection of Piecewise Deterministic Markov Processes

hal.structure.identifierInstitut Montpelliérain Alexander Grothendieck [IMAG]
dc.contributor.authorCLEYNEN, Alice
hal.structure.identifierQuality control and dynamic reliability [CQFD]
hal.structure.identifierInstitut Montpelliérain Alexander Grothendieck [IMAG]
dc.contributor.authorDE SAPORTA, Benoîte
dc.date.accessioned2024-04-04T03:09:47Z
dc.date.available2024-04-04T03:09:47Z
dc.date.issued2017
dc.date.conference2017-07-10
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/193636
dc.description.abstractEnWe consider a problem of change point detection for a continuous-time stochastic process in the family of piecewise deterministic Markov processes introduced by MHA Davis in the 80's. The process is only observed in discrete time and with noise, and the aim is to accurately detect the (random) time when its dynamics change and also select the new dynamics among a finite number of possibilities as soon as possible after the change-point. To do so, we turn the detection problem into an optimal stopping problem for partially observed Markov decision process with values in a continuous state space, and provide a discretization of the state space to be able to solve the problem numerically. Applications include for instance maintenance optimization where the change-point corresponds to a failure time of some equipment. Another application concerns treatment optimization for cancer patients. The change-point then corresponds to a sudden deterioration of the health of the patient. It must be detected early so that the treatment can be adapted.
dc.language.isoen
dc.title.enOptimal Stopping for Change-point Detection of Piecewise Deterministic Markov Processes
dc.typeCommunication dans un congrès
dc.subject.halMathématiques [math]/Probabilités [math.PR]
bordeaux.hal.laboratoriesInstitut de Mathématiques de Bordeaux (IMB) - UMR 5251*
bordeaux.institutionUniversité de Bordeaux
bordeaux.institutionBordeaux INP
bordeaux.institutionCNRS
bordeaux.conference.titleCT 2017 - SIAM Conference on Control and Its Applications
bordeaux.countryUS
bordeaux.conference.cityPittsburgh
bordeaux.peerReviewedoui
hal.identifierhal-01563234
hal.version1
hal.invitedoui
hal.proceedingsnon
hal.conference.end2017-07-12
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-01563234v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.date=2017&rft.au=CLEYNEN,%20Alice&DE%20SAPORTA,%20Beno%C3%AEte&rft.genre=unknown


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