NDLI: A generalized Shiryayev sequential probability ratio test for change detection and isolation

Content Provider	IEEE Xplore Digital Library
Author	Malladi, D.P. Speyer, J.L.
Copyright Year	1996
Description	Author affiliation: California Univ., Los Angeles, CA, USA (Malladi, D.P.)
Abstract	We derive an online multiple hypothesis Shiryayev sequential probability test (SSPRT) by adopting a dynamic programming approach. It is shown that for a certain criterion of optimality, this extended Shiryayev SPRT detects and isolates the occurrence of a failure in the conditionally independent measurement sequence in minimum time, unlike the Wald SPRT, which detects the presence/absence of a failure in the entire measurement sequence. We consider the measurement cost, the cost of a false alarm and the cost of a miss-alarm in our dynamic programming analysis. The algorithm is shown to be optimal even in the asymptotic sense and the theoretical results have been extended to the detection and identification of changes with unknown parameters, Finally, the performance of the algorithm is evaluated by using a few examples. In particular, we implement the algorithm in a fault detection and identification scheme for advanced vehicle control systems.
Starting Page	3115
Ending Page	3122
File Size	620699
Page Count	8
File Format	PDF
ISBN	0780335902
ISSN	01912216
DOI	10.1109/CDC.1996.573606
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	1996-12-13
Publisher Place	Japan
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Sequential analysis Redundancy Costs Fault detection Dynamic programming Time measurement Intelligent vehicles Radar detection Change detection algorithms Fault diagnosis
Content Type	Text
Resource Type	Article

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