| Abstract: | In this paper we survey a number of methods for the detection of abrupt changes (such as failures) in stochastic dynamical systems. We concentrate on the class of linear systems, but the basic concepts, if not the detailed analyses, carry over to other classes of systems. The methods surveyed range from the design of specific failure-sensitive filters, to the use of statistical tests on filter innovations, to the development of jump process formulations. Tradeoffs in complexity vs performance are discussed. |
