Sequential optimal detection and isolation of faults in systems with random disturbances

The problem of optimal detecting and isolating faults in systems with random disturbances is discussed. The fault (change) detection problem has received extensive research attention. On the contrary, the change isolation is still an unsolved problem. A system with abrupt changes and random disturbances is considered. A joint criterion of optimality for the detection/isolation problem is introduced and a change detection/isolation algorithm is designed. It is proved that this algorithm is asymptotically optimal in a certain class of sequential change detection/isolation algorithms. The theoretical results are illustrated by examples of navigation system integrity monitoring.