Detection Limits for Linear Non-Gaussian State-Space Models
2006 (English)In: Proceedings of the 6th IFAC Symposium on Fault Detection, Supervision and Safty of Technical Processes, 2006, 282-287 p.Conference paper (Refereed)
The performance of nonlinear fault detection schemes is hard to decide objectively, so Monte Carlo simulations are often used to get a subjective measure and relative performance for comparing different algorithms. There is a strong need for a constructive way of computing an analytical performance bound, similar to the Cramér-Rao lower bound for estimation. This paper provides such a result for linear non-Gaussian systems. It is first shown how a batch of data from a linear state-space model with additive faults and non-Gaussian noise can be transformed to a residual described by a general linear non-Gaussian model. This also involves a parametric description of incipient faults. The generalized likelihood ratio test is then used as the asymptotic performance bound. The test statistic itself may be impossible to compute without resorting to numerical algorithms, but the detection performance scales analytically with a constant that depends only on the distribution of the noise. It is described how to compute this constant, and a simulation study illustrates the results.
Place, publisher, year, edition, pages
2006. 282-287 p.
Detector performance, Fault detection, Linear systems, Non-Gaussianprocess, Performance analysis, State-space models, Stochastic fault detection
National CategoryEngineering and Technology Control Engineering
IdentifiersURN: urn:nbn:se:liu:diva-36181DOI: 10.3182/20060829-4-CN-2909.00046Local ID: 30416ISBN: 978-3-902661-14-2OAI: oai:DiVA.org:liu-36181DiVA: diva2:257029
6th IFAC Symposium on Fault Detection, Supervision and Safty of Technical Processes, Beijing, China, August-September, 2006