Sequential detector

 Use the varied number of samples depending on realizations of

observations

 We can stop collecting measurements if taking more samples incurs

higher expenses in overall cost function
• We decide the following two strategies
• When to stop

• What to decide
Sequential detector
 Cost for sampling the measurement
• If we have more measurements, detection performance would improve. We
penalize the measuring process by assigning the cost .
• Cost of taking measurements =
• Average cost is given by
Sequential detector
 What if we do not sample any measurement?
• Make decision based on a priori distribution

No measurement, choose
No measurement, choose
 Sequential detector
 Cost function

Decide Decide
without without
measurements measurements
Sequential detector
 Bayes rule
• : take at least one sample
• : take no samples and choose
• : take no samples and choose

 What happens after taking one sample?

• The similar decision process repeats since samples are i.i.d. and the costs
are the same.
• Assume that we take measurements so far. Then, apply the following
decision rule
• , ,…, : take one more sample
• , ,…, : take no additional samples and choose
• , ,…, : take no additional samples and choose

Note that we treat , ,…, , ,…, as priori distribution.

Sequential detector
 Sequential detection

For mild conditions,

the test terminates
with probability 1
Sequential detector
 Express the statistics using the likelihood ratio

Likelihood ratio

• Since , ,…, is a monotonically increasing function of

, ,…, ,
Sequential detector
 Sequential probability ratio test (SPRT)
• SPRT with boundaries A and B (SPRT(A,B))
• Continue sampling if the likelihood ratio falls outside the boundaries
A and B.
• Choose if
• Choose if
Sequential detector
 Example

• We compare the following metric with A and B.

Sequential detector
 The optimality of the SPRT(A,B)

• For a given level of performance, no sequential decision rule has a smaller

expected sample size than does the SPRT with the same performance.
Sequential detector
 How can we choose A and B to meet the desired performance?
• Let , and γ 1 ,
Sequential detector

 If we ignore the excess over the boundary, we have the following Wald’s
approximations.