Unified solution of optimal active fault detection and optimal control

An optimal active fault detection problem and an optimal control problem are treated simultaneously and a unified solution of these problems is proposed. Design of an active detector and controller for generally nonlinear stochastic discrete-time system is based on minimization of an appropriate criterion which expresses requirements on decisions, state and input trajectories. Criterion minimization is solved using Bellman´s principle of optimality that takes into account availability of future information. The time backward recursive equation shows that the optimal active detector and controller consists of an optimal passive detector and optimal dual controller.