Change Detection of Markov Kernels with Unknown Post Change Kernel using Maximum Mean Discrepancy

01/27/2022

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by   Hao Chen, et al.

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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.