Asymptotically optimal sequential anomaly identification with ordering sampling rules

The problem of sequential anomaly detection and identification is considered in the presence of a sampling constraint. Specifically, multiple data streams are generated by distinct sources and the goal is to quickly identify those that exhibit ``anomalous'' behavior, when it is not possible to sample every source at each time instant. Thus, in addition to a stopping rule, which determines when to stop sampling, and a decision rule, which indicates which sources to identify as anomalous upon stopping, one needs to specify a sampling rule that determines which sources to sample at each time instant. The focus of this work is on ordering sampling rules, which sample the data sources, among those currently estimated as anomalous (resp. non-anomalous), for which the corresponding local test statistics have the smallest (resp. largest) values. It is shown that with an appropriate design, which is specified explicitly, an ordering sampling rule leads to the optimal expected time for stopping, among all policies that satisfy the same sampling and error constraints, to a first-order asymptotic approximation as the false positive and false negative error rates under control both go to zero. This is the first asymptotic optimality result for ordering sampling rules when multiple sources can be sampled per time instant. Moreover, this is established under a general setup where the number of anomalies is not required to be a priori known. A novel proof technique is introduced, which unifies different versions of the problem regarding the homogeneity of the sources and prior information on the number of anomalies

What Do Our Choices Say About Our Preferences?

Taking online decisions is a part of everyday life. Think of buying a house, parking a car or taking part in an auction. We often take those decisions publicly, which may breach our privacy - a party observing our choices may learn a lot about our preferences. In this paper we investigate the online stopping algorithms from the privacy preserving perspective, using a mathematically rigorous differential privacy notion. In differentially private algorithms there is usually an issue of balancing the privacy and utility. In this regime, in most cases, having both optimality and high level of privacy at the same time is impossible. We propose a natural mechanism to achieve a controllable trade-off, quantified by a parameter, between the accuracy of the online algorithm and its privacy. Depending on the parameter, our mechanism can be optimal with weaker differential privacy or suboptimal, yet more privacy-preserving. We conduct a detailed accuracy and privacy analysis of our mechanism applied to the optimal algorithm for the classical secretary problem. Thereby the classical notions from two distinct areas - optimal stopping and differential privacy - meet for the first time.Comment: 22 pages, 6 figure

Optimal Composition Ordering Problems for Piecewise Linear Functions

In this paper, we introduce maximum composition ordering problems. The input is $n$ real functions $f_1,\dots,f_n:\mathbb{R}\to\mathbb{R}$ and a constant $c\in\mathbb{R}$. We consider two settings: total and partial compositions. The maximum total composition ordering problem is to compute a permutation $\sigma:[n]\to[n]$ which maximizes $f_{\sigma(n)}\circ f_{\sigma(n-1)}\circ\dots\circ f_{\sigma(1)}(c)$, where $[n]=\{1,\dots,n\}$. The maximum partial composition ordering problem is to compute a permutation $\sigma:[n]\to[n]$ and a nonnegative integer $k~(0\le k\le n)$ which maximize $f_{\sigma(k)}\circ f_{\sigma(k-1)}\circ\dots\circ f_{\sigma(1)}(c)$. We propose $O(n\log n)$ time algorithms for the maximum total and partial composition ordering problems for monotone linear functions $f_i$, which generalize linear deterioration and shortening models for the time-dependent scheduling problem. We also show that the maximum partial composition ordering problem can be solved in polynomial time if $f_i$ is of form $\max\{a_ix+b_i,c_i\}$ for some constants $a_i\,(\ge 0)$, $b_i$ and $c_i$. We finally prove that there exists no constant-factor approximation algorithm for the problems, even if $f_i$'s are monotone, piecewise linear functions with at most two pieces, unless P=NP.Comment: 19 pages, 4 figure