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Change Detection of Markov Kernels with Unknown Post Change Kernel using Maximum Mean Discrepancy. (arXiv:2201.11722v1 [eess.SY])
stat.ML updates on arXiv.org arxiv.org
In this paper, we develop a new change detection algorithm for detecting a
change in the Markov kernel over a metric space in which the post-change kernel
is unknown. Under the assumption that the pre- and post-change Markov kernel is
geometrically ergodic, we derive an upper bound on the mean delay and a lower
bound on the mean time between false alarms.