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IEEE Transactions on Automatic Control
Article . 1999 . Peer-reviewed
License: IEEE Copyright
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image/svg+xml Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Closed Access logo, derived from PLoS Open Access logo. This version with transparent background. http://commons.wikimedia.org/wiki/File:Closed_Access_logo_transparent.svg Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao
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Efficient recursive algorithms for detection of abrupt changes in signals and control systems

Authors: Tze Leung Lai; Jerry Z. Shan;

Efficient recursive algorithms for detection of abrupt changes in signals and control systems

Abstract

Summary: This paper addresses a number of open problems concerning the generalized likelihood ratio (GLR) rules for online detection of faults and parameter changes in control systems. It is shown that with an appropriate choice of the threshold and window size, these GLR rules are asymptotically optimal. The rules are also extended to nonlikelihood statistics that are widely using in monitoring adaptive algorithms for system identification and control by establishing Gaussian approximations to these statistics when the window size is chosen suitably. Recursive algorithms are developed for practical implementation of the procedure, and importance sampling techniques are introduced for determining the threshold of the rule to satisfy prescribed bounds on the false alarm rate.

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Keywords

false alarm rate, Estimation and detection in stochastic control theory, Reliability and life testing, adaptive algorithms, Reliability, availability, maintenance, inspection in operations research, generalized likelihood ratio, window size, online detection of faults, sampling techniques, Kullback-Leibler information, system identification

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    influence
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
89
Top 10%
Top 10%
Top 10%
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