DYNAMIC SAMPLING PLAN IN SHIRYAYEV-ROBERTS PROCEDURE FOR DETECTING A CHANGE IN THE DRIFT OF BROWNIAN-MOTION

In this paper, a dynamic sampling plan in the Shiryayev-Roberts proced ure is considered. It is shown that a two-rate dynamic sampling plan i s optimal in the sense that it minimizes the stationary average delay time (SADT). Analytical results as well as numerical comparisons show that it is significantly superior to the fixed sampling plan. The comp arison also shows that it is as powerful as the dynamic sampling proce dure of Assaf and Ritov. The generalizations to the fastinitial respon se and to the CUSUM procedure are also briefly discussed.