DETECTION OF CHANGES IN CHARACTERISTICS OF A GAUSS-MARKOV PROCESS.

Abstract

By an extension to the theory of sequential detection with dependent measurements, it is possible to develop a Sequential Probability Ratio Test (SPRT) to detect changes in regime in a Gauss-Markov Process rather than detecting which of two regimes exist. It is shown how a posterior form of this extended SPRT may be simplified to reduce computational complexity. The simplified SPRT's are in fact modifications of the original SPRT detecting the regime and not the change. The tests are applied to the problem of fault detection in a gyro navigational system: the results of a detailed computer simulation are given. (Author)

Document Details

Document Type
Technical Report
Publication Date
Jun 01, 1967
Accession Number
AD0656043

Entities

People

  • P. M. Newbold
  • Y. C. Ho

Organizations

  • Harvard University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Computational Complexity
  • Computer Simulations
  • Computers
  • Detection
  • Markov Processes
  • Mathematics
  • Measurement
  • Probability
  • Simulations
  • Simulators

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Statistical inference.