The problem of multiple hypothesis testing with observation control is
considered in both fixed sample size and sequential settings. In the fixed
sample size setting, for binary hypothesis testing, the optimal exponent for
the maximal error probability corresponds to the maximum Chernoff information
over the choice of controls, and a pure stationary open-loop control policy is
asymptotically optimal within the larger class of all causal control policies.
For multihypothesis testing in the fixed sample size setting, lower and upper
bounds on the optimal error exponent are derived. It is also shown through an
example with three hypotheses that the optimal causal control policy can be
strictly better than the optimal open-loop control policy. In the sequential
setting, a test based on earlier work by Chernoff for binary hypothesis
testing, is shown to be first-order asymptotically optimal for multihypothesis
testing in a strong sense, using the notion of decision making risk in place of
the overall probability of error. Another test is also designed to meet hard
risk constrains while retaining asymptotic optimality. The role of past
information and randomization in designing optimal control policies is
discussed.Comment: To appear in the Transactions on Automatic Contro
