A simple recursive algorithm for diagnosis of abrupt changes in random signals

Author

Nikiforov, Igor V.

Author_Institution

Univ. de Technol. de Troyes, France

Volume

Issue

fYear

2000

fDate

11/1/2000 12:00:00 AM

Firstpage

2740

Lastpage

2746

Abstract

We address the problem of detecting and isolating abrupt changes in random signals. An asymptotic optimal solution to this problem, which has been proposed in previous works, involve the number of computations at time t which grows to infinity with t. We propose another more realistic criterion, establish a new simple recursive change detection/isolation algorithm, and investigate its statistical properties

Keywords

error statistics; fault diagnosis; optimisation; random processes; recursive estimation; signal detection; statistical analysis; Monte Carlo simulations; abrupt changes detection; abrupt changes diagnosis; asymptotic optimal solution; error probability; fault detection; industrial quality control; random signals; recursive algorithm; recursive change detection/isolation algorithm; statistical properties; Algorithm design and analysis; Change detection algorithms; Delay effects; Error probability; H infinity control; Minimax techniques; Neural networks; Random sequences; Signal detection; Stochastic processes;

fLanguage

English

Journal_Title

Information Theory, IEEE Transactions on

Publisher

ieee

ISSN

0018-9448

Type

jour

DOI

10.1109/18.887891

Filename

887891

Link To Document

https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1412983