On a quickest detection problem with costly information
- 1 March 1975
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 12 (1) , 87-97
- https://doi.org/10.2307/3212410
Abstract
Problems of detecting the arrival of a ‘disorder' are of central importance in quality control. One such problem is formulated as an optimal stopping problem in which information about the process to be stopped may be bought at any time. A control policy will involve a determination of times at which information should be bought and of the time at which the process should be stopped. It is shown that in all circumstances there is a unique policy satisfying necessary conditions for optimality; the various circumstances and control policies are specified.Keywords
This publication has 4 references indexed in Scilit:
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- On a Quickest Detection ProblemThe Annals of Mathematical Statistics, 1967
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- On Optimum Methods in Quickest Detection ProblemsTheory of Probability and Its Applications, 1963