The authors derive an online multiple hypothesis Shiryayev sequential probability ratio test (SSPRT) by adopting a dynamic programming approach. It is shown that for a certain criterion of optimality, this generalized Shiryayev SPRT detects and isolates a change in hypothesis in the conditionally independent measurement sequence in minimum time, unlike the Wald SPRT, which assumes the entire measurement sequence to correspond to a single hypothesis. The measurement cost, the cost of a false alarm, and the cost of a miss-alarm are considered in our dynamic programming analysis. The algorithm is shown to be optimal in the infinite time case. Finally, the performance of the algorithm is evaluated by using a few examples. In particular, they implement the algorithm in a fault detection and identification scheme for advanced vehicle control systems.
A generalized Shiryayev sequential probability ratio test for change detection and isolation
IEEE Transactions on Automatic Control ; 44 , 8 ; 1522-1534
1999
13 Seiten, 10 Quellen
Aufsatz (Zeitschrift)
Englisch
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