Minimax optimal sequential hypothesis tests for Markov processes
马尔可夫过程的极小极大最优序贯假设检验
Under mild Markov assumptions, sufficient conditions for strict minimax optimality of sequential tests for multiple hypotheses under distributional uncertainty are derived. First, the design of optimal sequential tests for simple hypotheses is revisited, and it is shown that the partial derivatives of the corresponding cost function are closely related to the performance metrics of the underlying sequential test. Second, an implicit characterization of the least favorable…