Quickest search over multiple sequences with mixed observations

The problem of sequentially finding an independent and identically distributed (i.i.d.) sequence that is drawn from a probability distribution F1 by searching over multiple sequences, some of which are drawn from F1 and the others of which are drawn from a different distribution F0, is considered. The sensor is allowed to take one observation at a time. It has been shown in a recent work that if each observation comes from one sequence, Cumulative Sum (CUSUM) test is optimal. In this paper, we propose a new approach in which each observation can be a linear combination of samples from multiple sequences. The test has two stages. In the first stage, namely scanning stage, one takes a linear combination of a pair of sequences with the hope of scanning through sequences that are unlikely to be generated from F1 and quickly identifying a pair of sequences such that at least one of them is highly likely to be generated by F1. In the second stage, namely refinement stage, one examines the pair identified from the first stage more closely and picks one sequence to be the final sequence. The problem under this setup belongs to a class of multiple stopping time problems. In particular, it is an ordered two concatenated Markov stopping time problem. We obtain the optimal solution using the tools from the multiple stopping time theory. Numerical simulation results show that this search strategy can significantly reduce the searching time, especially when F1 is rare.