A particle filtering approach to change detection for nonlinear systems

Authors:
Babak Azimi-Sadjadi;P. S. Krishnaprasad
Affiliations:
Electrical, Computer, and Systems Engineering Department, Rensselaer Polytechnic Institute, Troy, NY and The Institute for Systems Research, University of Maryland, College Park, MD;The Institute for Systems Research, University of Maryland, College Park, MD
Venue:
EURASIP Journal on Applied Signal Processing
Year:
2004

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Abstract

We present a change detection method for nonlinear stochastic systems based on particle filtering. We assume that the parameters of the system before and after change are known. The statistic for this method is chosen in such a way that it can be calculated recursively while the computational complexity of the method remains constant with respect to time. We present simulation results that show the advantages of this method compared to linearization techniques.