  For the problem of sequential detection of changes, we adopt the probability
maximizing approach in place of the classical minimization of the average
detection delay, and propose modified versions of the Shiryaev, Lorden and
Pollak performance measures. For these alternative formulations, we demonstrate
that the optimum sequential detection scheme is the simple Shewhart rule.
Interestingly, we can also solve problems which under the classical setup have
been open for many years, as optimum change detection with time varying
observations or with multiple post-change probability measures. For the last
case, we also offer the exact solution for Lorden's original setup when the
average false alarm period is within certain limits.
