This paper studies the sample complexity of searching over multiple populations. We consider a large number of populations, each corresponding to either distribution P0 or P1. The goal of the search problem studied here is to find one population corresponding to distribution P1 with as few samples as possible. The main contribution is to quantify the number of samples needed to correctly find one such population. We consider two general approaches: nonadaptive sampling methods, which sample each population a predetermined number of times until a population following P1 is found, and adaptive sampling methods, which employ sequential sampling schemes for each population. We first derive a lower bound on the number of samples required by any sampling scheme. We then consider an adaptive procedure consisting of a series of sequential probability ratio tests, and show it comes within a constant factor of the lower bound. We give explicit expressions for this constant when samples of the populations follow Gaussian and Bernoulli distributions. An alternative adaptive scheme is discussed which does not require full knowledge of P1, and comes within a constant factor of the optimal scheme. For comparison, a lower bound on the sampling requirements of any nonadaptive scheme is presented.
The prior work most closely related to the problem investigated here is that by Lai, Poor, Xin, and Georgiadis @cite_21 , in which the authors also examine the problem of quickest search across multiple populations, but do not focus on quantifying the sample complexity. The authors show that the S-SPRT (also termed a CUSUM test) minimizes a linear combination of the expected number of samples and the error probability. Complementary to this, our contributions include providing tight lower bounds on the expected number of samples required to achieve a desired probability of error, and then showing the sample complexity of the S-SPRT comes within a constant of this bound. This quantifies how the number of samples required to find an atypical population depends on the distributions @math and @math and the probability @math , which was not explicitly investigated in @cite_21 . As a by-product, this proves the optimality of the S-SPRT.
@cite_21
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The problem of sequentially finding an independent and identically distributed sequence that is drawn from a probability distribution Q1 by searching over multiple sequences, some of which are drawn from Q1 and the others of which are drawn from a different distribution Q0, is considered. In the problem considered, the number of sequences with distribution Q1 is assumed to be a random variable whose value is unknown. Within a Bayesian formulation, a sequential decision rule is derived that optimizes a trade-off between the probability of false alarm and the number of samples needed for the decision. In the case in which one can observe one sequence at a time, it is shown that the cumulative sum (CUSUM) test, which is well-known to be optimal for a non-Bayesian statistical change-point detection formulation, is optimal for the problem under study. Specifically, the CUSUM test is run on the first sequence. If a reset event occurs in the CUSUM test, then the sequence under examination is abandoned and the rule switches to the next sequence. If the CUSUM test stops, then the rule declares that the sequence under examination when the test stops is generated by Q1 . The result is derived by assuming that there are infinitely many sequences so that a sequence that has been examined once is not retested. If there are finitely many sequences, the result is also valid under a memorylessness condition. Expressions for the performance of the optimal sequential decision rule are also developed. The general case in which multiple sequences can be examined simultaneously is considered. The optimal solution for this general scenario is derived.