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- W2116021520 abstract "We study the change detection problem in partially observed nonlinear dynamic systems. We assume that the change parameters are unknown and the change could be gradual (slow) or sudden (drastic). For most nonlinear systems, no finite dimensional filters exist and approximation filtering methods like the particle filter are used. Even when change parameters are unknown, drastic changes can be detected easily using the increase in tracking (output) error or the negative log of observation likelihood (OL). However, slow changes usually get missed. We propose in this paper, a statistic for slow change detection which turns out to be the same as the Kerridge inaccuracy between the posterior state distribution and the normal system prior. We show asymptotic convergence (under certain assumptions) of the bounding, modeling and particle filtering errors in its approximation using a particle filter optimal for the normal system. We also demonstrate using the bounds on the errors that our statistic works in situations where observation likelihood (OL) fails and vice versa." @default.
- W2116021520 created "2016-06-24" @default.
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- W2116021520 date "2004-01-01" @default.
- W2116021520 modified "2023-09-25" @default.
- W2116021520 title "Change detection in partially observed nonlinear dynamic systems with unknown change parameters" @default.
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- W2116021520 doi "https://doi.org/10.23919/acc.2004.1384709" @default.
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