Bayesian Multiple Change-Point Detection with Limited Communication

Several modern applications involve large-scale sensor networks for statistical inference. For example, such sensor networks are of significant interest for Internet of Things applications. In this paper, we consider Bayesian multiple changepoint detection using a sensor network in which a fusion center can receive a data stream from each sensor. Due to communication limitations, the fusion center monitors only a subset of the data streams at each time slot. We propose a detection procedure that handles these limitations by monitoring the sensors with the highest posterior probabilities of change points having occurred. It is shown that the proposed procedure attains an average detection delay that does not increase with the number of sensors, while controlling the false discovery rate. The proposed procedure is also shown to be useful for unveiling the tradeoff between reducing the average detection delay and reducing the average number of observations drawn until discovery.