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We consider the problem of locating the source of a network cascade, given a noisy time-series of network data. Initially, the cascade starts with one unknown, affected vertex and spreads deterministically at each time step. The goal is to find an adaptive procedure that outputs an estimate for the source as fast as possible, subject to a bound on the estimation error. For a general class of graphs, we describe a family of matrix sequential probability ratio tests (MSPRTs) that are first-order asymptotically optimal up to a constant factor as the estimation error tends to zero. We apply our results to lattices and regular trees, and show that MSPRTs are asymptotically optimal for regular trees. We support our theoretical results with simulations.
We present a unified technique for sequential estimation of convex divergences between distributions, including integral probability metrics like the kernel maximum mean discrepancy, $varphi$-divergences like the Kullback-Leibler divergence, and opti
Monge matrices and their permut
We present a simple randomized procedure for the prediction of a binary sequence. The algorithm uses ideas from recent developments of the theory of the prediction of individual sequences. We show that if the sequence is a realization of a stationary
We propose and analyze an algorithm for the sequential estimation of a conditional quantile in the context of real stochastic codes with vectorvalued inputs. Our algorithm is based on k-nearest neighbors smoothing within a Robbins-Monro estimator. We
This paper studies the problem of high-dimensional multiple testing and sparse recovery from the perspective of sequential analysis. In this setting, the probability of error is a function of the dimension of the problem. A simple sequential testing