Poisson disorder problem with control on costly observations
M.S. Thesis Presentation by Bharadwaj Kadiyala Department of Industrial Engineering Bilkent University
A Poisson process changes its rate at an unknown and unobservable time from one known value to another known value. Detecting the change time as quickly as possible in an optimal way is described in literature as the Poisson disorder problem. In our study, we provide a more realistic generalization of the disorder problem for Poisson process by introducing fixed and continuous costs for being able to observe the arrival process. As a result, in addition to finding the optimal alarm time, we also characterize an optimal way of observing the arrival process. We illustrate the structure of the solution spaces with the help of numerical examples.e
This thesis is supervised by Assoc. Prof. Savas Dayanik
