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Generalized likelihood ratio approach for fault detection in linear dynamic stochastic systems with unknown inputs. (English) Zbl 0869.93045
The aim of this paper is to extend the generalized likelihood ratio (GLR) test to stochastic dynamic systems with unknown inputs. Necessary and sufficient conditions to design a stable modified Kalman filter are given. Moreover, a fault detection and isolation procedure based on the GLR test and a geometrical detectability condition of faults are developed. Finally, a numerical example illustrating the failure detection algorithm is presented.

MSC:
93E10 Estimation and detection in stochastic control theory
90B25 Reliability, availability, maintenance, inspection in operations research
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