Lectures on Sequential Analysis

These are video-taped lectures on Sequential Analysis delivered by Professor George Moustakides of the University of Patras during the Fall 2014 semester at the Coordinated Science Laboratory.
He has graciously allowed me to put these lectures online.

Playback information is given on the bottom of the page.

If someone would like to provide their notes from the lectures, I am willing to scan them and upload them to this site as well.

- Jonathan Ligo

Course Title: “Sequential Detection and Estimation with Applications”

Short Course by Professor George Moustakides, CSL Long Term Distinguished Visitor

Course Time and Place: Fridays 1 PM - 2 PM, CSL 141 starting September 12, 2014 and ending December 5, 2014

Topics:

  1. Stopping Times and a Brief Overview of Optimal Stopping Theory

  2. Sequential Detection:

    1. Sequential Hypothesis Testing

    2. The Sequential Probability Ratio Test (SPRT)

  3. Sequential Quickest Change Detection (QCD):

    1. Change-Time Models and Performance Measures

    2. Optimum Schemes for Measures Involving Expected Delays (Shiryaev, Shiryaev-Roberts and CUSUM tests)

    3. Optimum Schemes for Measures Involving Detection Probabilites (Shewhart Test)

  4. Sequential Estimation:

    1. Optimum Sequential Parameter Estimation

    2. Optimum Sequential Joint Hypothesis Testing and Parameter Estimation

  5. Decentralized Sequential Hypothesis Testing and Quickest Change Detection

  6. Open Problems

Lectures

These lectures are hosted on U of I Box. Note that the Preview feature of Box does not function well, so please use the “Download File” option in the top right of the Box page.

  1. Lecture 1 (September 12, 2014) : [video] [slides]
    Topics: Introduction to Sequential Analysis, Wald's Second Identity

    1. Video MD5: a440c6dd2e8229a2c82208e679442cc3
      Video Size: 3951956966 bytes

    2. Slides MD5: 97bcb02e5227dfaf31cd1d3bb041a4ab
      Slides Size: 87712 bytes

  2. Lecture 2 (Setempber 19, 2014) : [video] [slides]
    Topics: Optional Sampling Theorem, Wald's First Identity, Change of Measure

    1. Video MD5: 7eb0de0c0432d44e46a4cf15e6105b48
      Video Size: 3217327917 bytes
      The slides summarize the results derived on the board, and the audio helps in reading what is written on the board (it is a bit blurry due to poor camerawork on my part).

    2. Slides MD5: 45b728b0976cc717af45d0b9e3e08943
      Slides Size: 2089891 bytes

  3. Lecture 3 (September 26, 2014) : [video (part 1)] [video (part 2)] [slides]
    Topics: Finite Horizon Optimal Stopping

    1. Video MD5: (part 1) bcdc25018079993784e28c260996dc48 (part 2) aa1563cf0f4fb178a21e0ec5b5748271
      Video Size: (part 1) 3960876003 bytes (part 2) 205732242 bytes

    2. Slides MD5: 8b4bbf5d68f39c4bfa1c3757ff873ab0
      Slides Size: 84988 bytes

  4. No lecture October 3, 2014 (Allerton Conference on Communication, Control and Computing)

  5. Lecture 4 (October 10, 2014): [video (part 1)] [video (part 2)] [slides]
    Topics: Infinite Horizon Optimal Stopping

    1. Video MD5: (part 1) 969e83019a7085223d5e50146782ac32 (part 2) 06fd022f1cbc7c89e2972227abcb6b94
      Video Size: (part 1) 3520637284 bytes (part 2) 965910704 bytes

    2. Slides MD5: a641bb336e6df1a3c29aada7d517929f
      Slides Size: 100517 bytes

  6. Lecture 5 (October 17, 2014): [video (part 1)] [video (part 2)] [slides]
    Topics: Sequential Probability Ratio Test (SPRT)

    1. Video MD5: (part 1) 8c0ae6bd02e0bddb2212a2c72cdf1ee5 (part 2) 5da3725d57610ea85d5b364c79930695
      Video Size: (part 1) 3235110826 bytes (part 2) 1297467751 bytes

    2. Slides MD5: 333004d196d97ba4c0ecef13870800d8
      Slides Size: 314004 bytes

  7. Lecture 6 (October 24, 2014): [video (part 1)] [video (part 2)]
    Topics: Sequential Probability Ratio Test (SPRT) (continued)

    1. Video MD5: (part 1) fd4aeb9d887a425e98b20c99e52077f8 (part 2) c52427077839b5554f113a16c16cb4dd
      Video Size: (part 1) 2403185933 bytes (part 2) 1836112669 bytes

    2. See slides for lecture 5.

  8. Lecture 7 (October 31, 2014): [video (part 1)] [video (part 2)] [slides]
    Topics: Sequential Change Detection

    1. Video MD5: (part 1) df093c9c5e6ce23406e3fdb842f10640 (part 2) 05c384db493401563cbb71e9aa79956f
      Video Size: (part 1) 2747160744 bytes (part 2) 1314904462 bytes

    2. Slides MD5: 9628c70556a3a849658c24d6d5cba5ef
      Slides Size: 164057 bytes

  9. Lecture 8 (November 7, 2014): [video (part 1)] [video (part 2)]
    Topics: Change Detection (Shirayev)

    1. Video MD5: (part 1) d7e0943149133d2bdd2d597d723a1e92 (part 2) 92f6799418871c0e04e2d0b53f1baf94
      Video Size: (part 1) 3133340530 bytes (part 2) 1477512413 bytes

    2. See slides for lecture 7.

  10. Lecture 9 (November 14, 2014): [video (part 1)] [video (part 2)]
    Topics: Change Detection (Lorden)

    1. Video MD5: (part 1) 84a3d1b90f6eb6aaeafc2d701240528d (part 2) fe9a42be00263497ad0bba0fb0e6f973
      Video Size: (part 1) 3262383015 bytes (part 2) 1289516156 bytes

    2. See slides for lecture 7.

  11. Lecture 10 (November 21, 2014): [video (part 1)] [video (part 2)]
    Topics: Change Detection (Summary, Shewhart Test, Asymptotic Optimality)

    1. Video MD5: (part 1) 2ad2d3560c142004197a1d876c28e12e (part 2) e9ed815819408235cc8adfe2cfb9576c
      Video Size: (part 1) 2680155713 bytes (part 2) 1442274854 bytes

    2. See slides for lecture 7.

  12. No lecture November 28, 2014 (Thanksgiving Break)

  13. Lecture 11 (December 4, 2014): [video (part 1)] [video (part 2)] [slides]
    Topics: Sequential Detection and System Identification

    1. Video MD5: (part 1) 9cc5819ea08eab5016fff50f23c3d534 (part 2) aabb5e87826c0f363f4a0e560ce59b9a
      Video Size: (part 1) 3281429132 bytes (part 2) 1227308482 bytes

    2. Slides MD5: 06e7b9e9897c07a0824237ab53667220
      Slides Size: 7681107 bytes

  14. End of course!

Slides are courtesy of Prof. Moustakides.

Other Useful Resources

  1. Notes on Optional Sampling by Jan van Neerven [link]

    1. MD5: 16736602c9aa03665f47e7796a601d5b
      Size: 310476 bytes

Playback Information

These lectures are video taped on an iPad 2, and thus come in the Quicktime MOV format (supported out of the box on Mac OS X, can be played via Quicktime or VLC on other platforms) using approximately 100 MB per minute of video.