Additional topics

In Chapter 4, we considered the problem of optimally deciding between two hypotheses on the state of the environment given a constant cost of sampling for each additional observation. Within each of these two models the data are homogeneous; that is, the data obey only one of the two alternative statistical models during the entire period of observation. In Chapters 5 and 6 on the other hand, we considered the problem of optimally detecting an abrupt change in the mechanism generating the data from one regime to another. In this chapter, we examine several generalizations and modifications of these basic sequential decision–making problems, in which various of the assumptions are relaxed so as to provide more practical solutions.