An Extended Optimal Stopping Method for Structural Change Point Detection Problem

DOI Open Access

Description

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.

Journal

Keywords

Details 詳細情報について

  • CRID
    1390564238096995712
  • DOI
    10.5954/icarob.2017.os19-3
  • ISSN
    21887829
  • Text Lang
    en
  • Data Source
    • JaLC
    • Crossref
    • OpenAIRE
  • Abstract License Flag
    Disallowed

Report a problem

Back to top