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The problem of designing optimal quantization rules for sequential detectorsis investigated. First, it is shown that this task can be solved within thegeneral framework of active sequential detection. Using this approach, theoptimal sequential detector and the corresponding quantizer are characterizedand their properties are briefly discussed. In particular, it is shown thatdesigning optimal quantization rules requires solving a nonconvex optimizationproblem, which can lead to issues in terms of computational complexity andnumerical stability. Motivated by these difficulties, two performance boundsare proposed that are easier to evaluate than the true performance measures andare potentially tighter than the bounds currently available in the literature.The usefulness of the bounds and the properties of the optimal quantizationrules are illustrated with two numerical examples.

On Optimal Quantization in Sequential Detection