A particle filtering approach to change detection for nonlinear systems (Q1773798)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A particle filtering approach to change detection for nonlinear systems |
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A particle filtering approach to change detection for nonlinear systems (English)
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3 May 2005
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This paper presents a study of the change detection problem for stochastic systems with nonlinear dynamics and observations. Showing that the complexity of the CUSUM algorithm grows with respect to time, and finding this intolerable, the authors introduce an alternative statistic. In terms of this, the likelihood ratio can be calculated recursively with no increase in the computational complexity of the method with respect to time. Some simultation results are presented.
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nonlinear filtering
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generalized likelihood ratio test
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CUSUM algorithm
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change detection problem
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computational complexity
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