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Los Angeles

Fault Detection Filters

for

Robust Analytical Redundancy

A dissertation submitted in partial satisfaction of the

requirements for the degree Doctor of Philosophy

in Mechanical Engineering

by

Robert Hsu Chen

2000

c Copyright by

Robert Hsu Chen

2000

The dissertation of Robert Hsu Chen is approved.

D. Lewis Mingori

James S. Gibson

Fernando Paginini

Randal K. Douglas

Jason L. Speyer, Committee Chair

University of California, Los Angeles

2000

ii

To my parents

iii

TABLE OF CONTENTS

List of Figures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . vi

Acknowledgments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . vii

Vita . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . viii

Publications . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . viii

Abstract . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . x

1 Introduction 1

1.1 Fault Detection Filter Background . . . . . . . . . . . . . . . . . . . 3

1.1.1 Fault Modeling . . . . . . . . . . . . . . . . . . . . . . . . . . 4

1.1.2 Beard-Jones Detection Filter . . . . . . . . . . . . . . . . . . . 5

1.1.3 Restricted Diagonal Detection Filter . . . . . . . . . . . . . . 10

1.1.4 Unknown Input Observer . . . . . . . . . . . . . . . . . . . . . 12

1.1.5 Approximate Unknown Input Observer . . . . . . . . . . . . . 14

1.2 Overview of the Dissertation . . . . . . . . . . . . . . . . . . . . . . . 16

2 A Generalized Least-Squares Fault Detection Filter 21

2.1 Problem Formulation . . . . . . . . . . . . . . . . . . . . . . . . . . . 22

2.2 Solution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25

2.3 Conditions for the Nonpositivity of the Cost Criterion . . . . . . . . . 29

2.4 Limiting Case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30

2.5 Properties of the Null Space of S . . . . . . . . . . . . . . . . . . . . 38

2.6 Reduced-Order Filter . . . . . . . . . . . . . . . . . . . . . . . . . . . 41

2.7 Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45

iv

3 Optimal Stochastic Fault Detection Filter 51

3.1 System Model and Assumptions . . . . . . . . . . . . . . . . . . . . . 52

3.2 Problem Formulation . . . . . . . . . . . . . . . . . . . . . . . . . . . 55

3.3 Solution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57

3.4 Limiting Case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60

3.5 Perturbation Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . 64

3.5.1 Expansion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65

3.5.2 Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67

3.6 Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69

3.7 Appendix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74

4 Robust Multiple-Fault Detection Filter 84

4.1 System Model and Assumptions . . . . . . . . . . . . . . . . . . . . . 85

4.2 Problem Formulation . . . . . . . . . . . . . . . . . . . . . . . . . . . 88

4.3 Solution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91

4.4 Limiting Case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95

4.5 Minimization with respect to

ˆ

H . . . . . . . . . . . . . . . . . . . . . 99

4.6 Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100

4.7 Appendix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112

5 Conclusion 118

Bibliography . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 120

v

LIST OF FIGURES

2.1 Frequency response from both faults to the residual . . . . . . . . . . 47

2.2 Frequency response from the target fault and sensor noise to the resi-

dual . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48

2.3 Time response of the residual . . . . . . . . . . . . . . . . . . . . . . 49

3.1 Frequency response from both faults to the residual . . . . . . . . . . 71

3.2 Time response of the residual . . . . . . . . . . . . . . . . . . . . . . 72

3.3 Eigenvalues of the Riccati matrix P and the ﬁlter for diﬀerent Q

1

. . 73

3.4 Frequency response from the target fault to the residual . . . . . . . . 73

4.1 Frequency response of the three single-fault ﬁlters . . . . . . . . . . . 103

4.2 Frequency response of the multiple-fault ﬁlter when s = 3 . . . . . . . 104

4.3 Frequency response of the multiple-fault ﬁlter when s = 2 . . . . . . . 105

4.4 Frequency response of the multiple-fault ﬁlter when s = 2 for diﬀerent

Q

1

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 106

4.5 Frequency response of the two single-fault ﬁlters and the multiple-fault

ﬁlter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109

4.6 Frequency response of the multiple-fault ﬁlter under plant uncertain-

ties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 110

vi

ACKNOWLEDGMENTS

I would like to thank Professor Jason L. Speyer for his patience, guidance and

encouragement through the years I have been at UCLA. I have beneﬁted immensely

by being his student. I would like to thank Dr. Randal K. Douglas for sharing his

insight and expertise especially in the ﬁeld of fault detection and identiﬁcation and

for his continued support. I would also like to thank Professor D. Lewis Mingori for

his help over the years in the PATH project. My appreciation also goes to the rest of

my committee for their time and helpful comments in support of my dissertation.

vii

VITA

June 17, 1970 Born, Anderson, South Carolina

1992 B.S., Power Mechanical Engineering

National Tsing Hua University

Taiwan

1994 M.S., Mechanical Engineering

University of California, Los Angeles

1993-2000 Graduate Research Assistant

Mechanical and Aerospace Engineering Department

University of California, Los Angeles

PUBLICATIONS

Robert H. Chen and Jason L. Speyer, ”A Generalized Least-Squares Fault Detection

Filter,” to be published in the International Journal of Adaptive Control and

Signal Processing - Special Issue on Fault Detection and Isolation, 2000.

Robert H. Chen and Jason L. Speyer, ”Optimal Stochastic Multiple-Fault Detection

Filter,” Proceedings of the 38th Conference on Decision and Control, 1999, pp.

4965-4970.

Robert H. Chen and Jason L. Speyer, ”Optimal Stochastic Fault Detection Filter,”

Proceedings of the American Control Conference, 1999, pp. 91-96.

Robert H. Chen and Jason L. Speyer, ”Residual-Sensitive Fault Detection Filter,”

Proceedings of the 7th IEEE Mediterranean Conference on Control and Au-

tomation, 1999, pp. 835-851

Randal K. Douglas, Robert H. Chen and Jason L. Speyer, ”Model Input Reduction,”

Proceedings of the American Control Conference, 1997, pp. 3882-3886.

viii

Randal K. Douglas, Durga P. Malladi, Robert H. Chen, D. Lewis Mingori and Jason

L. Speyer,”Fault Detection and Identiﬁcation for Advanced Vehicle Control Sys-

tems,” Proceedings of the 13th World Congress, 1996, pp. 201-206.

ix

ABSTRACT OF THE DISSERTATION

Fault Detection Filters

for

Robust Analytical Redundancy

by

Robert Hsu Chen

Doctor of Philosophy in Mechanical Engineering

University of California, Los Angeles, 2000

Professor Jason L. Speyer, Chair

In this dissertation, three fault detection and identiﬁcation algorithms are presented.

The ﬁrst two design algorithms, called the generalized least-squares fault detection

ﬁlter and the optimal stochastic fault detection ﬁlter, are determined for the unknown

input observer. The objective of both ﬁlters is to monitor a single fault called the

target fault and block other faults which are called nuisance faults. The ﬁrst ﬁlter is

derived from solving a min-max problem with a generalized least-squares cost criterion

which explicitly makes the residual sensitive to the target fault, but insensitive to the

nuisance faults. The second ﬁlter is derived by minimizing the transmission from

the nuisance faults to the projected output error while maximizing the transmission

from the target fault so that the residual is aﬀected primarily by the target fault

x

and minimally by the nuisance faults. It is shown that both ﬁlters approximate the

properties of the classical unknown input observer. Filter designs can be obtained for

both time-invariant and time-varying systems.

The third design algorithm, called the robust multiple-fault detection ﬁlter, is

determined for the restricted diagonal detection ﬁlter of which the Beard-Jones de-

tection ﬁlter is a special case. The ﬁlter is derived by dividing the output error into

several subspaces. For each subspace, the transmission from one fault is maximized,

and the transmission from other faults is minimized. Therefore, each projected resid-

ual is aﬀected primarily by one fault and minimally by other faults. It is shown

that this ﬁlter approximates the properties of the classical restricted diagonal detec-

tion ﬁlter. This ﬁlter is diﬀerent from other algorithms for the restricted diagonal or

Beard-Jones detection ﬁlter which explicitly force the geometric structure by using

eigenstructure assignment or geometric theory. Rather, this ﬁlter is derived from

solving an optimization problem and only in the limit, is the geometric structure of

the restricted diagonal detection ﬁlter recovered. When it is not in the limit, the

ﬁlter only isolates the faults within approximate invariant subspaces. This new fea-

ture allows the ﬁlter to be potentially more robust since the ﬁlter structure is less

constrained. Filter designs can be obtained for both time-invariant and time-varying

systems.

xi

Chapter 1

Introduction

Any system under automatic control demands a high degree of reliability to operate

properly. If a fault develops in the plant, the controller will not work properly since

it is designed on the nominal plant. The controller also relies on the health of the

sensors and actuators. If a sensor fails, the controller’s command will be generated

by using incorrect measurements. If an actuator fails, the controller’s command will

not be applied properly to the plant. To avoid this situation, one needs a health

monitoring system capable of detecting a fault as it occurs and identifying the faulty

component. This process is called fault detection and identiﬁcation.

The most common approach to fault detection and identiﬁcation is hardware

redundancy which is the direct comparison of the output from identical components.

This approach requires very little computation. However, hardware redundancy is

expensive and limited by space and weight. An alternative is analytical redundancy

which uses the modeled dynamic relationship between system inputs and measured

system outputs to form a residual process used for detecting and identifying faults.

Nominally, the residual is nonzero only when a fault has occurred and is zero at

other times. Therefore, no redundant components are needed. However, additional

computation is required.

A popular approach to analytical redundancy is the detection ﬁlter which was

1

ﬁrst introduced by (Beard, 1971) and reﬁned by (Jones, 1973). It is also known

as Beard-Jones detection (BJD) ﬁlter. A geometric interpretation and a spectral

analysis of the BJD ﬁlter are given in (Massoumnia, 1986) and (White and Speyer,

1987), respectively. The idea of the BJD ﬁlter is to place the reachable subspace of

each fault into invariant subspaces which do not overlap each other. Then, when a

nonzero residual is detected, a fault can be announced and identiﬁed by projecting

the residual onto each of the invariant subspaces. In this way, multiple faults can

be monitored in one ﬁlter. A design algorithm (Douglas and Speyer, 1999) improves

the robustness of the BJD ﬁlter by imposing the geometric structure to completely

isolate the faults, then the design freedom remaining is used to bound the process

and sensor noise transmission.

In (Massoumnia, 1986), a more general form of the detection ﬁlter, called the re-

stricted diagonal detection (RDD) ﬁlter, is given of which the BJD ﬁlter is a special

case. Instead of placing each fault into an invariant subspace like the BJD ﬁlter does,

the RDD ﬁlter places all the other faults associated with each fault, which needs to

be detected, into the unobservable subspace of a projected residual. Therefore, each

projected residual is only sensitive to one fault, but not to the other faults. When

every fault is detected, it is shown that the RDD ﬁlter is equivalent to the BJD

ﬁlter (Massoumnia, 1986). However, some faults do not need to be detected, but

only need to be blocked from the projected residuals. For example, certain process

noise and plant uncertainties may be modeled as faults. By relaxing the constraint

on detecting some faults which do not need to be detected, the RDD ﬁlter, which is

more general and more robust, is obtained (Douglas and Speyer, 1996). Note that

the design algorithms for the RDD or BJD ﬁlter, which rely on the eigenstructure

assignment (White and Speyer, 1987; Douglas and Speyer, 1996) or geometric the-

ory (Massoumnia, 1986; Douglas and Speyer, 1999), limit the applicability of the

2

detection ﬁlter to time-invariant systems and have not enhanced the sensitivity of

the projected residuals to their associated faults from the ﬁlter structure.

One related approach, the unknown input observer (Massoumnia et al., 1989;

Patton and Chen, 1992), is another special case of the RDD ﬁlter when only one

fault is detected. The faults are divided into two groups: a single target fault and

possibly several nuisance faults. The nuisance faults are placed in the unobservable

subspace of the residual. Therefore, the residual is sensitive to the target fault, but

not to the nuisance faults. Although only one fault can be monitored in each unknown

input observer, an approximate unknown input observer can be obtained by solving

a disturbance attenuation problem (Chung and Speyer, 1998). By adjusting the

disturbance attenuation bound, the ﬁlter can either completely block the nuisance

faults or partially block the nuisance faults. This new feature allows the ﬁlter to

be potentially more robust since the ﬁlter structure is less constrained. Another

beneﬁt of the approximate unknown input observer is that time-varying systems can

be treated.

In Section 1.1, the background of the fault detection ﬁlter is given. In Section 1.2,

there is an overview of the dissertation.

1.1 Fault Detection Filter Background

In this section, the background of the fault detection ﬁlter is given. In Section 1.1.1,

the models of the plant, actuator and sensor faults are given (Beard, 1971; White

and Speyer, 1987; Chung and Speyer, 1998). In Sections 1.1.2 and 1.1.3, the BJD

ﬁlter problem and the RDD ﬁlter problem are stated, and the geometric solutions are

given, respectively (Massoumnia, 1986; Douglas, 1993). In Sections 1.1.4 and 1.1.5,

the unknown input observer problem and the approximate unknown input observer

problem are reviewed, respectively (Massoumnia et al., 1989; Chung and Speyer,

1998).

3

1.1.1 Fault Modeling

In this section, the models of the plant, actuator and sensor faults are given (Beard,

1971; White and Speyer, 1987; Chung and Speyer, 1998). Consider a linear system,

˙ x = Ax +B

u

u (1.1a)

y = Cx (1.1b)

where u is the control input and y is the measurement. System matrices A, B

u

and

C can be time-varying. All system variables belong to real vector spaces.

For a fault in the ith actuator, it is modeled as an additive term in the state

equation (1.1a) (Beard, 1971; White and Speyer, 1987).

˙ x = Ax +B

u

u +F

ai

µ

ai

where F

ai

is the ith column of B

u

and µ

ai

is an unknown and arbitrary function of

time that is zero when there is no fault. The failure mode µ

ai

models the time-varying

amplitude of the actuator fault while the failure signature F

ai

models the directional

characteristics of the actuator fault. For example, a stuck ith actuator fault can be

modeled as u

i

+µ

ai

= c

a

where u

i

is the control command of the ith actuator and c

a

is a constant. For a fault in the plant, it can be modeled similarly by pulling out the

corresponding entries in the A matrix.

For a fault in the ith sensor, it is modeled as an additive term in the measurement

equation (1.1b) (Beard, 1971; White and Speyer, 1987).

y = Cx +E

si

µ

si

(1.2)

where E

si

is a column of zeros except a one in the ith position and µ

si

is an unknown

and arbitrary function of time that is zero when there is no fault. The failure mode

µ

si

models the time-varying amplitude of the sensor fault while the failure signature

4

E

si

models the directional characteristics of the sensor fault. For example, a bias ith

sensor fault can be modeled as µ

si

= c

s

where c

s

is a constant.

For the fault detection ﬁlter design, an input to the plant which drives the mea-

surement in the same way that µ

si

does in (1.2) is obtained (Chung and Speyer,

1998). Deﬁne a new state ¯ x,

¯ x = x +f

si

µ

si

where E

si

= Cf

si

. Then, (1.2) can be written as

y = C¯ x

and the dynamic equation of ¯ x is

˙

¯ x = A¯ x +B

u

u +

Af

si

−

˙

f

si

f

si

¸

−µ

si

˙ µ

si

(1.3)

Here

˙

f

si

and µ

si

are assumed once continuously diﬀerentiable. Therefore, for the fault

detection ﬁlter design, the sensor fault is modeled as a two-dimension additive term

in the state equation (1.3). The interpretation of (1.3) is that Af

si

−

˙

f

si

represents

the sensor fault magnitude µ

si

direction and f

si

represents the sensor fault rate ˙ µ

si

direction. This suggests that a possible simpliﬁcation when information about the

spectral content of the sensor fault is available. If it is known that the sensor fault

has persistent and signiﬁcant high frequency components, the fault direction could

be approximated by the f

si

direction. Or, if it is known that a sensor fault has only

low frequency components, such as in the case of a bias, the fault direction could be

approximated by the Af

si

−

˙

f

si

direction.

1.1.2 Beard-Jones Detection Filter

In this section, the BJD ﬁlter problem is reviewed by using geometry theory (Mas-

soumnia, 1986; Douglas, 1993). Following the development in Section 1.1.1, any

5

plant, actuator and sensor fault can be modeled as an additive term in the state

equation. Therefore, a linear time-invariant observable system with q failure modes

can be modeled by

˙ x = Ax +B

u

u +

q

¸

i=1

F

i

µ

i

(1.4a)

y = Cx (1.4b)

Assume the F

i

are monic so that µ

i

= 0 imply F

i

µ

i

= 0.

Consider a linear observer,

˙

ˆ x = Aˆ x +B

u

u +L(y −Cˆ x) (1.5)

and the residual

r = y −Cˆ x

By using (1.4) and (1.5), the dynamic equation of the error, e = x − ˆ x, is

˙ e = (A −LC)e +

q

¸

i=1

F

i

µ

i

and the residual can be written as

r = Ce

If the observer gain L is chosen to make A −LC stable. After the transient response

due to the initial condition error, the residual is nonzero only if a failure mode µ

i

is

nonzero and is almost always nonzero whenever µ

i

is nonzero. Therefore, any stable

observer can detect the occurrence of a fault by monitoring the residual and when

it is nonzero, a fault has occurred. A more diﬃcult task is to determine which fault

has occurred and that is what a fault detection ﬁlter is designed to do.

The objective of the BJD ﬁlter problem is to choose a ﬁlter gain L such that when

a fault µ

i

occurs, the error remains in a (C, A)-invariant subspace which contains the

6

reachable subspace of (A −LC, F

i

). Thus, the residual remains in a ﬁxed output

subspace. Furthermore, the output subspace for each fault is independent to each

other. Then, the fault can be identiﬁed by projecting the residual onto each of the

output subspaces. From geometric point of view, the (C, A)-invariant subspaces form

the structure of the BJD ﬁlter while the ﬁlter gain L provides little or no insight into

this structure. Furthermore, given a set of (C, A)-invariant subspaces, L is not hard

to ﬁnd. Therefore, the (C, A)-invariant subspaces will be discussed instead of L.

The minimal (C, A)-invariant subspace of F

i

, called W

i

, is given by the recursive

algorithm (Wonham, 1985)

W

0

i

= ∅ (1.6)

W

k+1

i

= ImF

i

⊕A(W

k

i

¸

Ker C) (1.7)

For dimF

i

= 1, the recursive algorithm implies

W

i

=

F

i

AF

i

· · · A

k

i

F

i

where k

i

is the smallest non-negative integer such that CA

k

i

F

i

= 0. If the (C, A)-

invariant subspace for each fault is chosen as W

i

, the invariant zeros of (C, A, F

i

) will

become part of the eigenvalues of the BJD ﬁlter (Massoumnia, 1986).

To avoid this situation, the (C, A)-invariant subspace for each fault is chosen as

T

i

= W

i

⊕V

i

(1.8)

where V

i

is the subspace spanned by the invariant zero directions of (C, A, F

i

). Then,

the invariant zeros of (C, A, F

i

) will not become part of the ﬁlter eigenvalues (Mas-

soumnia, 1986). T

i

is called the detection space or the minimal (C, A)-unobservability

subspace of F

i

because it is the unobservable subspace of (

ˆ

H

i

C, A −LC) where

ˆ

H

i

: Y →Y , Ker

ˆ

H

i

= CT

i

,

ˆ

H

i

= I −CT

i

[(CT

i

)

T

CT

i

]

−1

(CT

i

)

T

7

for some ﬁlter gains L. Note that CT

i

= CW

i

because CV

i

= 0.

Given that the (C, A)-invariant subspace for each fault is chosen as T

i

, the neces-

sary and suﬃcient condition of the existence of the ﬁlter gain L is that F

1

· · · F

q

are

output separable and mutually detectable (Massoumnia, 1986). F

1

· · · F

q

are output

separable if

CT

i

∩

¸

j=i

CT

j

= 0

Output separability ensures that each fault can be isolated from other faults. When

a fault µ

i

occurs, the error remains in the subspace T

i

and the residual remains in

the output subspace CT

i

. If CT

1

· · · CT

q

are independent, the fault can be identiﬁed

by projecting the residual onto each CT

i

. If the faults are not output separable,

then usually, the designers needs to discard some faults from the design set. Output

separability also implies that the projected residuals will be nonzero for at least a

period of time when their associated faults occur (Chung and Speyer, 1998).

F

1

· · · F

q

are mutually detectable if ( C, A, [ F

1

· · · F

q

]) does not have more invari-

ant zeros than (C, A, F

i

), i = 1 · · · q. Mutual detectability ensures that every eigen-

value of the BJD ﬁlter can be assigned. If the faults are not mutually detectable, the

extra invariant zeros will become part of the ﬁlter eigenvalues. If the extra invariant

zeros are in the right-half plane, no stable BJD ﬁlter can be obtained.

It is desired that the projected residuals remain nonzero as long as their associated

faults exist. For a bias fault µ

i

, the steady-state residual is zero if (C, A −LC, F

i

) has

invariant zeros at origin (Kwakernaak and Sivan, 1972a). Since the ﬁlter gain L does

not change the invariant zero, (C, A −LC, F

i

) has invariant zeros at origin if and only

if (C, A, F

i

) has invariant zeros at origin. Therefore, to ensure a nonzero projected

residual in steady state when its associated fault occurs, (C, A, F

i

), i = 1 · · · q, do not

have invariant zeros at origin.

8

By summarizing the results above, there are three assumptions about the system

(1.4) that are needed in order to have a well-conditioned BJD ﬁlter.

Assumption 1.1. F

1

· · · F

q

are output separable.

Assumption 1.2. F

1

· · · F

q

are mutually detectable.

Assumption 1.3. (C, A, F

i

), i = 1 · · · q, do not have invariant zeros at origin.

There are several design algorithms developed for the BJD ﬁlter to determine the

ﬁlter gain (White and Speyer, 1987; Douglas and Speyer, 1996, 1999). In (White

and Speyer, 1987), an eigenstructure assignment algorithm, which places the right

eigenvectors of the BJD ﬁlter to span the minimal (C, A)-unobservability subspace

of each fault, is presented. In (Douglas and Speyer, 1996), an eigenstructure assign-

ment algorithm, which places the left eigenvectors of the BJD ﬁlter to annihilate the

minimal (C, A)-unobservability subspace of each fault, is presented. Note that these

two design algorithms assign the ﬁlter eigenvalues arbitrarily and have not considered

any disturbance. In (Douglas and Speyer, 1999), the robustness of the BJD ﬁlter is

improved by imposing the geometric structure to completely isolate the faults, then

the design freedom remaining is used to bound the H

∞

norm of the transfer matrix

from the process and sensor noise to the projected residuals. After the ﬁlter gain has

been determined, the sensitivity of the projected residuals to their associated faults is

enhanced. Each projected residual is modiﬁed by multiplying a constant row vector

from the left. Then, the ratio of the H

∞

norm of the transfer matrix from each fault

to its associated modiﬁed projected residual to the H

∞

norm of the transfer matrix

from the process and sensor noise to each modiﬁed projected residual is maximized

with respect to this vector. Note that the ﬁlter structure is not used to enhance the

sensitivity of the projected residuals to their associated faults.

9

After the ﬁlter gain has been determined, the error remains in T

i

and the residual

remains in CT

i

when a fault µ

i

occurs. Therefore, the fault can be identiﬁed by

projecting the residual onto each CT

i

. This is done by using projectors

ˆ

H

i

, i = 1 · · · q,

which annihilate [ CT

1

· · · CT

i−1

CT

i+1

· · · CT

q

]

= C

ˆ

T

i

.

ˆ

H

i

: Y →Y , Ker

ˆ

H

i

= C

ˆ

T

i

,

ˆ

H

i

= I −C

ˆ

T

i

[(C

ˆ

T

i

)

T

C

ˆ

T

i

]

−1

(C

ˆ

T

i

)

T

(1.9)

The projected residual

ˆ

H

i

r is nonzero only when the fault µ

i

is nonzero and is zero

even if other faults µ

j=i

are nonzero. Therefore, by monitoring

ˆ

H

i

r, i = 1 · · · q, every

fault can be detected and identiﬁed.

1.1.3 Restricted Diagonal Detection Filter

In this section, the RDD ﬁlter problem is reviewed by using geometry theory (Mas-

soumnia, 1986; Douglas, 1993). The RDD ﬁlter is a more general form of the detection

ﬁlter of which the BJD ﬁlter is a special case.

From Section 1.1.2, the dynamic equation of the error is

˙ e = (A −LC)e +

q

¸

i=1

F

i

µ

i

and the projected residuals are

ˆ

H

i

r =

ˆ

H

i

Ce

where i = 1 · · · q. If the ﬁlter gain L is chosen to make the unobservable subspace of

(

ˆ

H

i

C, A −LC) contains the reachable subspace of (A −LC,

ˆ

F

i

) where

ˆ

F

i

= [ F

1

· · ·

F

i−1

F

i+1

· · · F

q

]. Then, the projected residual

ˆ

H

i

r is only sensitive to the fault

µ

i

, but not to the other faults [ µ

T

1

· · · µ

T

i−1

µ

T

i+1

· · · µ

T

q

]

T

= ˆ µ

i

. Therefore, instead of

placing each µ

i

into its minimal (C, A)-unobservability subspace T

i

like the BJD ﬁlter

does, the RDD ﬁlter places each ˆ µ

i

into its minimal (C, A)-unobservability subspace

ˆ

T

i

if µ

i

needs to be detected (Massoumnia, 1986).

10

When every fault is detected, it is shown that the RDD ﬁlter is equivalent to the

BJD ﬁlter (Massoumnia, 1986). However, some faults do not need to be detected, but

only need to be blocked from the projected residuals. For example, certain process

noise and plant uncertainties may be modeled as faults. Therefore, the RDD ﬁlter is

a more general form of the detection ﬁlter because it does not require every fault to

be detected while the BJD ﬁlter does. By relaxing the constraint on detecting some

faults which do not need to be detected, the RDD ﬁlter is more robust than the BJD

ﬁlter (Douglas and Speyer, 1996).

There are three assumptions about the system (1.4) that are needed in order to

have a well-conditioned RDD ﬁlter (Massoumnia, 1986). Assumption 1.4 ensures that

each fault can be isolated from other faults. Assumption 1.5 ensures that every eigen-

value of the RDD ﬁlter can be assigned. Assumption 1.6 ensures a nonzero projected

residual in steady state when its associated fault occurs. Note that Assumption 1.6

is less restrict than Assumption 1.3.

Assumption 1.4. F

1

· · · F

q

are output separable.

Assumption 1.5. F

1

· · · F

q

are mutually detectable.

Assumption 1.6. (C, A, F

i

) does not have invariant zeros at origin if µ

i

needs to

be detected.

The only design algorithm (Douglas and Speyer, 1996) for the RDD ﬁlter is an

eigenstructure assignment algorithm which places the left eigenvectors of the RDD

ﬁlter to annihilate the minimal (C, A)-unobservability subspace of each fault. Note

that this design algorithm assigns the ﬁlter eigenvalues arbitrarily and has not con-

sidered any disturbance.

11

1.1.4 Unknown Input Observer

In this section, the unknown input observer problem is reviewed (Massoumnia et al.,

1989). The unknown input observer is another special case of the RDD ﬁlter when

only one fault is detected. The faults are divided into two groups: a single target

fault and possibly several nuisance faults. The nuisance faults are placed in the

unobservable subspace of the projected residual. Therefore, the projected residual is

sensitive to the target fault, but not to the nuisance faults. Note that there is only

one projected residual because only the target fault needs to be detected.

Consider a linear time-invariant observable system with q failure modes,

˙ x = Ax +B

u

u +

q

¸

i=1

¯

F

i

¯ µ

i

(1.10a)

y = Cx (1.10b)

Assume the

¯

F

i

are monic so that ¯ µ

i

= 0 imply

¯

F

i

¯ µ

i

= 0. Since the unknown input

observer is designed to detect only one fault and not to be aﬀected by other faults,

let µ

1

= ¯ µ

i

be the target fault and µ

2

= [ ¯ µ

T

1

· · · ¯ µ

T

i−1

¯ µ

T

i+1

· · · ¯ µ

T

q

]

T

be the nuisance

fault. Then, (1.10) can be rewritten as

˙ x = Ax +B

u

u +F

1

µ

1

+F

2

µ

2

(1.11a)

y = Cx (1.11b)

where F

1

=

¯

F

i

and F

2

= [

¯

F

1

· · ·

¯

F

i−1

¯

F

i+1

· · ·

¯

F

q

].

There are two assumptions about the system (1.11) that are needed in order

to have a well-conditioned unknown input observer (Massoumnia et al., 1989). As-

sumption 1.7 ensures that the target fault can be isolated from the nuisance fault.

Assumption 1.8 ensures a nonzero projected residual in steady state when the target

fault occurs.

Assumption 1.7. F

1

and F

2

are output separable.

12

Assumption 1.8. (C, A, F

1

) does not have invariant zeros at origin.

Note that the unknown input observer problem does not need the mutual de-

tectability assumption because only one minimal (C, A)-unobservability subspace is

formed for the nuisance fault. There is no minimal (C, A)-unobservability subspace

formed for the target fault.

Since the unknown input observer only places the nuisance fault into its mini-

mal (C, A)-unobservability subspace T

2

while leaves the target fault unrestricted, the

unknown input observer is a special case of the RDD and BJD ﬁlters. When only

one fault is detected, the RDD ﬁlter is equivalent to the unknown input observer.

When only one fault is considered, the BJD ﬁlter is equivalent to the unknown input

observer. Therefore, the design algorithms (White and Speyer, 1987; Douglas and

Speyer, 1996, 1999) for the RDD or BJD ﬁlter can be used to determined the ﬁlter

gain of the unknown input observer. Note that these design algorithms, which rely on

the eigenstructure assignment (White and Speyer, 1987; Douglas and Speyer, 1996)

or geometric theory (Douglas and Speyer, 1999), limit the applicability of the fault

detection ﬁlter to time-invariant systems and have not enhanced the sensitivity of

the projected residuals to their associated faults from the ﬁlter structure.

After the ﬁlter gain has been determined, the error remains in T

2

and the residual

remains in CT

2

when the nuisance fault occurs. When the target fault occurs, the

error and residual are not in some particular subspaces because there is no minimal

(C, A)-unobservability subspace formed for the target fault. Therefore, the projected

residual

ˆ

Hr is only sensitive to the target fault, but not to the nuisance fault where

ˆ

H : Y →Y , Ker

ˆ

H = CT

2

,

ˆ

H = I −C

ˆ

T

2

[(CT

2

)

T

CT

2

]

−1

(CT

2

)

T

(1.12)

The projected residual

ˆ

Hr is nonzero only when the target fault is nonzero and is

zero even if the nuisance fault is nonzero. Therefore, by monitoring

ˆ

Hr, the target

fault can be detected.

13

1.1.5 Approximate Unknown Input Observer

In this section, the approximate unknown input observer problem is reviewed (Chung

and Speyer, 1998). Although only one fault can be monitored in each unknown input

observer, an approximate unknown input observer is obtained by solving a distur-

bance attenuation problem (Chung and Speyer, 1998). By adjusting the disturbance

attenuation bound, the ﬁlter can either completely block the nuisance fault or par-

tially block the nuisance fault. This new feature allows the ﬁlter to be potentially

more robust since the ﬁlter structure is less constrained. Another beneﬁt of the

approximate unknown input observer is that time-varying systems can be treated.

Consider a linear system similar to (1.11),

˙ x = Ax +B

u

u +F

1

µ

1

+F

2

µ

2

(1.13a)

y = Cx (1.13b)

where the system matrices A, B

u

, C, F

1

and F

2

can be time-varying. There are

three assumptions about the system (1.13) that are needed in order to have a well-

conditioned unknown input observer. Assumption 1.9 is the general requirement to

design any linear observer (Kwakernaak and Sivan, 1972a). Assumption 1.10 ensures

that the target fault can be isolated from the nuisance fault (Chung and Speyer, 1998).

Assumption 1.11 ensures for time-invariant systems, a nonzero projected residual in

steady state when the target fault occurs.

Assumption 1.9. For time-varying systems, (C, A) is uniformly observable. For

time-invariant systems, (C, A) is detectable.

Assumption 1.10. F

1

· · · F

q

are output separable.

14

Assumption 1.11. For time-invariant systems, (C, A, F

1

) does not have invariant

zeros at origin.

The output separability test is

Rank

CT

1

CT

2

= p

1

+p

2

(1.14)

where p

1

= dimF

1

and p

2

= dimF

2

. For time-invariant systems (Massoumnia et al.,

1989),

CT

i

=

CA

δ

i,1

f

i,1

· · · CA

δ

i,p

i

f

i,p

i

(1.15)

The vector f

i,j

, i = 1 and 2, j = 1 · · · p

i

, is the j-th column of F

i

. δ

i,j

is the smallest

non-negative integer such that CA

δ

i,j

f

i,j

= 0. For time-varying systems (Chung and

Speyer, 1998),

CT

i

=

C(t)b

i,1,δ

i,1

(t) · · · C(t)b

i,p

i

,δ

i,p

i

(t)

(1.16)

The vectors b

i,j,δ

i,j

(t), i = 1 and 2, j = 1 · · · p

i

, are found from the iteration deﬁned

by the Goh transformation (Bell and Jacobsen, 1975),

b

i,j,0

(t) = f

i,j

(t)

b

i,j,k

(t) = A(t)b

i,j,k−1

(t) −

˙

b

i,j,k−1

(t)

where f

i,j

(t) is the j-th column of F

i

. δ

i,j

is the smallest non-negative integer such

that C(t)b

i,j,δ

i,j

(t) = 0 for t ∈ [t

0

, t

1

].

Remark 1. The output separability test (1.14) is based on the assumption that the

vectors in F

1

and F

2

are output separable, respectively, i.e.,

Rank CT

i

= p

i

15

where i = 1 and 2. If the vectors in either F

1

or F

2

are not output separable, a new

basis for F

1

or F

2

can be found such that the vectors in F

1

and F

2

are output separable,

respectively. This will be discussed in Section 2.4.

The minimal (C, A)-invariant subspace of F

i

is

W

i

=

f

i,1

· · · A

δ

i,1

f

i,1

f

i,2

· · · A

δ

i,2

f

i,2

**for time-invariant systems (Massoumnia et al., 1989) and
**

W

i

=

b

i,1,0

(t) · · · b

i,1,δ

i,1

(t) b

i,2,0

(t) · · · b

i,2,δ

i,2

(t)

**for time-varying systems (Chung and Speyer, 1998). However, the minimal (C, A)-
**

unobservability subspace of F

i

can not be determined by (1.8) for time-varying

systems because the idea of the invariant zero direction is only deﬁned for time-

invariant systems. A (C, A)-invariant subspace, which is similar to the minimal

(C, A)-unobservability subspace, will be introduced for time-varying systems in Chap-

ter 2.

The ﬁrst design algorithm for the approximate unknown input observer is (Chung

and Speyer, 1998). Since two other design algorithms will be presented in Chapters 2

and 3, the ﬁlter gain determination will be explained later. After the ﬁlter gain has

been determined, the residual remains in CT

2

, (1.15) or (1.16), when the nuisance

fault occurs. Therefore, by monitoring the projected residual

ˆ

Hr where

ˆ

H is (1.12)

subject to (1.15) or (1.16), the target fault can be detected.

1.2 Overview of the Dissertation

In this dissertation, three fault detection and identiﬁcation algorithms are presented.

The ﬁrst two design algorithms, called the generalized least-squares fault detection

16

ﬁlter and the optimal stochastic fault detection ﬁlter, are determined for the ap-

proximate unknown input observer. The third design algorithm, called the robust

multiple-fault detection ﬁlter, is determined for the approximate RDD ﬁlter.

In Chapter 2, the generalized least-squares fault detection ﬁlter, motivated by

(Bryson and Ho, 1975; Chung and Speyer, 1998), is presented. A new least-squares

problem with an indeﬁnite cost criterion is formulated as a min-max problem by

generalizing the least-squares derivation of the Kalman ﬁlter (Bryson and Ho, 1975)

and allowing the explicit dependence on the target fault which is not presented in

(Chung and Speyer, 1998). Since the ﬁlter is derived similarly to (Chung and Speyer,

1998), many properties obtained in (Chung and Speyer, 1998) also apply to this

ﬁlter. However, some new important properties are given. For example, since the

target fault direction is now explicitly in the ﬁlter gain calculation, a mechanism

is provided which enhances the sensitivity of the projected residual to the target

fault. Furthermore, the projector, which annihilates the residual direction associated

with the nuisance faults and is assumed in the problem formulation of (Chung and

Speyer, 1998), is not required in the derivation of this ﬁlter. Finally, the nuisance fault

directions are generalized for time-invariant systems so that their associated invariant

zero directions are included in the invariant subspace generated by the ﬁlter. This

prevents the associated invariant zeros from becoming part of the eigenvalues of the

ﬁlter. It is also shown that this ﬁlter completely blocks the nuisance faults in the

limit where the weighting on the nuisance faults is zero. In the limit, the nuisance

faults are placed in a minimal (C, A)-unobservability subspace for time-invariant

systems and a similar invariant subspace for time-varying systems. Therefore, the

generalized least-squares fault detection ﬁlter becomes equivalent to the unknown

input observer in the limit and extends the unknown input observer to the time-

varying case. Reduced-order ﬁlters are derived in the limit for both time-invariant

and time-varying systems.

17

In Chapter 3, extensions and analysis of a fault detection ﬁlter, ﬁrst developed

in (Lee, 1994; Brinsmead et al., 1997), are presented. This ﬁlter, called optimal

stochastic fault detection ﬁlter, is derived by minimizing the transmission from the

nuisance faults while maximizing the transmission from the target fault. The trans-

mission, which is generalized to a vector, is deﬁned on the output error by using a

matrix projector derived from solving the optimization problem. Some new proper-

ties of this ﬁlter in the limit where the weighting on the nuisance fault transmission

goes to inﬁnity are given. It is shown that this ﬁlter completely blocks the nuisance

faults in the limit by placing them into a minimal (C, A)-unobservability subspace

for time-invariant systems and a similar invariant subspace for time-varying systems.

Therefore, the optimal stochastic fault detection ﬁlter recovers the unknown input

observer in the limit and extends the unknown input observer to the time-varying

case.

In Chapter 4, the robust multiple-fault detection ﬁlter is presented. The ﬁlter

is derived by dividing the output error into several subspaces. For each subspace,

the transmission from one fault, denoted the associated target fault, is maximized,

and the transmission from other faults, denoted the associated nuisance fault, is

minimized. Therefore, each projected residual is aﬀected primarily by one fault and

minimally by other faults. The cost criterion is constructed such that the output

error variance due to each associated target fault is to be maximized and the output

error variance due to each associated nuisance fault, process noise, sensor noise and

initial conditional error is to be minimized with respect to the ﬁlter gain and the

projectors used for dividing the output error. Therefore, each associated target and

nuisance faults are included in the cost criterion, in turn, as a sum which produces

approximately the geometric structure of the RDD ﬁlter.

For both time-invariant and time-varying systems, it is shown that, in the limit

where the weighting on each associated nuisance fault transmission goes to inﬁnity,

18

the robust multiple-fault detection ﬁlter places each associated nuisance fault into

the unobservable subspace of the associated projected residual when there is no com-

plementary subspace.

1

Therefore, the robust multiple-fault detection ﬁlter becomes

equivalent to the RDD ﬁlter in the limit and extends the RDD ﬁlter to the time-

varying case. Numerical examples show that the ﬁlter is an approximate RDD ﬁlter

when it is not in the limit even if there exists the complementary subspace. These

limiting results are important in ensuring that both fault detection and identiﬁcation

can occur.

This ﬁlter is diﬀerent from the only other existing algorithm (Douglas and Speyer,

1996) for the RDD ﬁlter which explicitly forces the geometric structure by using

eigenstructure assignment. Rather, this ﬁlter is derived from solving an optimization

problem and only in the limit, is the geometric structure of the RDD ﬁlter recovered.

When it is not in the limit, the ﬁlter only isolates the faults within approximate un-

observable subspaces. This new feature allows the ﬁlter to be potentially more robust

since the ﬁlter structure is less constrained. Furthermore, the ﬁlter can be applied to

time-varying systems since it is derived from solving an optimization problem which

also allows the presence of process and sensor noise. Finally, since the associated

target fault directions are explicitly in the ﬁlter gain calculation, a mechanism is

provided which enhances the sensitivity of the projected residuals to their associated

target faults. Nevertheless, this unique optimization problem allows the design of the

detection ﬁlter in its most general and potentially most robust form: an approximate

RDD ﬁlter. Note that the eigenstructure assignment approach (Douglas and Speyer,

1996), which only applies to time-invariant systems, assigns the ﬁlter eigenvalues ar-

bitrarily and does not consider any disturbance nor enhance the sensitivity of the

projected residuals to their associated target faults. Although this new ﬁlter has all

1

The union of the (C, A)-invariant subspace of each fault is assumed to ﬁll the entire state space

leaving no remaining subspace, the complementary subspace.

19

these advantages, the process of deriving the ﬁlter gain requires the solution to a two-

point boundary value problem which includes a set of Lyapunov equations. However,

the ﬁlter gain computation can be done oﬀ-line so that the ﬁlter implementation is

as straightforward as the RDD ﬁlter.

20

Chapter 2

A Generalized Least-Squares Fault

Detection Filter

In this chapter, a fault detection and identiﬁcation algorithm is determined from a

generalization of the least-squares derivation of the Kalman ﬁlter. The objective of

the ﬁlter is to monitor a single fault called the target fault and block other faults which

are called nuisance faults. The ﬁlter is derived from solving a min-max problem with

a generalized least-squares cost criterion which explicitly makes the residual sensitive

to the target fault, but insensitive to the nuisance faults. It is shown that this ﬁlter

approximates the properties of the classical fault detection ﬁlter such that in the limit

where the weighting on the nuisance faults is zero, the generalized least-squares fault

detection ﬁlter becomes equivalent to the unknown input observer where there exists

a reduced-order ﬁlter. However, the nuisance fault directions and their associated

invariant zero directions must be included in the invariant subspace generated by

the generalized least-squares fault detection ﬁlter. Filter designs can be obtained for

both time-invariant and time-varying systems.

The problem is formulated in Section 2.1 and its solution is derived in Section 2.2

(Chung and Speyer, 1998; Bryson and Ho, 1975; Rhee and Speyer, 1991; Banavar and

Speyer, 1991). In Section 2.3, some conditions for this problem are derived by using

linear matrix inequality (Chung and Speyer, 1998). In Section 2.4, the ﬁlter is derived

21

in the limit (Chung and Speyer, 1998; Bell and Jacobsen, 1975). In Section 2.5, it is

shown that, in the limit, the nuisance faults are placed in an invariant subspace. For

time-invariant systems, this subspace is the minimal (C, A)-unobservability subspace.

In Section 2.6, reduced-order ﬁlters are derived in the limit for both time-invariant

and time-varying systems. In Section 2.7, numerical examples are given.

2.1 Problem Formulation

Consider a linear system,

˙ x = Ax +B

u

u +B

w

w (2.1a)

y = Cx +v (2.1b)

where u is the control input, y is the measurement, w is the process noise, and v is the

sensor noise. System matrices A, B

u

, B

w

and C are time-varying and continuously

diﬀerentiable. All system variables belong to real vector spaces, x ∈ X, u ∈ U and

y ∈ Y.

Following the development in Section 1.1.1, any plant, actuator, and sensor fault

can be modeled as an additive term in the state equation (2.1a). Therefore, a linear

system with q failure modes can be modeled by

˙ x = Ax +B

u

u +B

w

w +

q

¸

i=1

¯

F

i

¯ µ

i

(2.2a)

y = Cx +v (2.2b)

where ¯ µ

i

belong to real vector spaces, and

¯

F

i

are time-varying and continuously

diﬀerentiable. Assume the

¯

F

i

are monic so that ¯ µ

i

= 0 imply

¯

F

i

¯ µ

i

= 0. Since

the generalized least-squares fault detection ﬁlter is designed to detect only one

fault and not to be aﬀected by other faults, let µ

1

= ¯ µ

i

be the target fault and

µ

2

= [ ¯ µ

T

1

· · · ¯ µ

T

i−1

¯ µ

T

i+1

· · · ¯ µ

T

q

]

T

be the nuisance fault. Then, (2.2) can be rewritten

22

as

˙ x = Ax +B

u

u +B

w

w +F

1

µ

1

+F

2

µ

2

(2.3a)

y = Cx +v (2.3b)

where F

1

=

¯

F

i

and F

2

= [

¯

F

1

· · ·

¯

F

i−1

¯

F

i+1

· · ·

¯

F

q

].

There are three assumptions about the system (2.3) that are needed in order

to have a well-conditioned unknown input observer. Assumption 2.1 is the gen-

eral requirement to design any linear observer (Kwakernaak and Sivan, 1972a). As-

sumption 2.2 ensures that the target fault can be isolated from the nuisance fault

(Massoumnia et al., 1989; Chung and Speyer, 1998). Assumption 2.3 ensures for

time-invariant systems, a nonzero residual in steady-state when the target fault oc-

curs.

Assumption 2.1. For time-varying systems, (C, A) is uniformly observable. For

time-invariant systems, (C, A) is detectable.

Assumption 2.2. F

1

and F

2

are output separable.

Assumption 2.3. For time-invariant systems, (C, A, F

1

) does not have invariant

zeros at origin.

The objective of blocking the nuisance fault while detecting the target fault can

be achieved by solving the following min-max problem,

min

µ

1

max

µ

2

max

w

max

x(t

0

)

J (2.4)

where a generalized least-squares cost criterion is

J =

1

2

t

t

0

µ

1

2

Q

−1

1

− µ

2

2

γQ

−1

2

− w

2

Q

−1

w

− y −Cx

2

V

−1

dτ

−

1

2

x(t

0

) − ˆ x

0

2

Π

0

(2.5)

23

subject to (2.3a). Note that, without the minimization with respect to µ

1

, (2.5)

reduces to the standard least-squares cost criterion of the Kalman ﬁlter (Bryson

and Ho, 1975). t is the current time and y is assumed given. Q

1

, Q

2

, Q

w

, V and

Π

0

are positive deﬁnite. γ is a non-negative scalar. Note that Q

1

, Q

2

, Q

w

, Π

0

and γ are design parameters to be chosen while V may be physically related to

the power spectral density of the sensor noise because of (2.3b) (Bryson and Ho,

1975). The interpretation of the min-max problem is the following. Let µ

∗

1

, µ

∗

2

, w

∗

and x

∗

(t

0

) be the optimal strategies for µ

1

, µ

2

, w and x(t

0

), respectively. Then,

x

∗

(τ|Y

t

), the x associated with µ

∗

1

, µ

∗

2

, w

∗

and x

∗

(t

0

), is the optimal trajectory for

x where τ ∈ [t

0

, t] and given the measurement history Y

t

= {y(τ)|t

0

≤ τ ≤ t}. Since

µ

1

maximizes y −Cx and µ

2

, w, x(t

0

) minimize y −Cx, y −Cx

∗

is made primarily

sensitive to µ

1

and minimally sensitive to µ

2

, w and x(t

0

). However, since x

∗

is the

smoothed estimate of the state, a ﬁltered estimate of the state, called ˆ x, is needed

for implementation. From the boundary condition in Section 2.2, at the current time

t, x

∗

(t|Y

t

) = ˆ x(t). Therefore, y −Cˆ x is primarily sensitive to the target fault and

minimally sensitive to the nuisance fault, process noise and initial condition. Note

that when Q

1

is larger, y −Cˆ x is more sensitive to the target fault. When γ is

smaller, y −Cˆ x is less sensitive to the nuisance fault. In (Chung and Speyer, 1998),

the cost criterion blocks the nuisance fault, but does not enhance the sensitivity to

the target fault. In Section 2.5, it is shown that the ﬁlter completely blocks the

nuisance fault when γ is zero by placing it into an invariant subspace, called Ker S.

Therefore, the residual used for detecting the target fault is

r =

ˆ

H(y −Cˆ x) (2.6)

where ˆ x, the ﬁltered estimate of the state, is given in Section 2.2 and

ˆ

H: Y→Y , Ker

ˆ

H=C KerS ,

ˆ

H=I −C KerS[(C KerS)

T

C KerS]

−1

(C KerS)

T

(2.7)

24

Ker S is given and discussed in Sections 2.4 and 2.5.

Remark 2. The process noise can be considered as part of the nuisance fault

so that it could be completely blocked from the residual. However, the size of

the nuisance fault is limited because the target fault and nuisance fault have to

be output separable. Therefore, it is not always possible to include every pro-

cess noise to the nuisance fault. The plant uncertainties can also be considered

similarly to the process noise. In (Chung and Speyer, 1998), the process noise

and plant uncertainties can only be considered as part of the nuisance fault.

Remark 3. The diﬀerential game solved for the game-theoretic fault detection ﬁlter

(Chung and Speyer, 1998) is

min

ˆ x

max

µ

2

max

y

max

x(t

0

)

J

where

J =

t

1

t

0

ˆ

HC(x − ˆ x)

2

Q

−γ

µ

2

2

M

−1 − y −Cx

2

V

−1

dt− x(t

0

) − ˆ x

0

2

γP

−1

0

subject to

˙ x = Ax +Bu +F

2

µ

2

Note that the target fault is not included in the cost criterion nor the system. Also,

the derivation of the ﬁlter depends on the projector

ˆ

H which is deﬁned apriori.

However, there is no need for the generalized least-squares fault detection ﬁlter to

explicitly introduce a projector in the cost criterion.

2.2 Solution

In this section, the min-max problem given by (2.4) is solved (Chung and Speyer,

1998; Bryson and Ho, 1975; Rhee and Speyer, 1991; Banavar and Speyer, 1991). The

25

variational Hamiltonian of the problem is deﬁned as

H =

1

2

µ

1

2

Q

−1

1

− µ

2

2

γQ

−1

2

− w

2

Q

−1

w

− y −Cx

2

V

−1

+λ

T

(Ax +B

u

u +B

w

w +F

1

µ

1

+F

2

µ

2

)

where λ ∈ R

n

is a continuously diﬀerentiable Lagrange multiplier. The ﬁrst-order

necessary conditions (Bryson and Ho, 1975) imply that the optimal strategies for µ

1

,

µ

2

, w and the dynamics of λ are

µ

∗

1

= −Q

1

F

T

1

λ (2.8a)

µ

∗

2

=

1

γ

Q

2

F

T

2

λ (2.8b)

w

∗

= Q

w

B

T

w

λ (2.8c)

˙

λ = −A

T

λ −C

T

V

−1

(y −Cx) (2.8d)

with boundary conditions,

λ(t

0

) = Π

0

[x

∗

(t

0

) − ˆ x

0

] (2.8e)

λ(t) = 0 (2.8f)

By substituting (2.8a), (2.8b) and (2.8c) into (2.3a) and combining with (2.8d), the

two-point boundary value problem requires the solution to

¸

˙ x

∗

˙

λ

=

¸

A

1

γ

F

2

Q

2

F

T

2

−F

1

Q

1

F

T

1

+B

w

Q

w

B

T

w

C

T

V

−1

C −A

T

¸

x

∗

λ

+

¸

B

u

u

−C

T

V

−1

y

(2.9)

with boundary conditions (2.8e) and (2.8f). Note that x

∗

is now the state using the

optimal strategies (2.8a), (2.8b) and (2.8c). The form of (2.8e) suggests that

λ = Π(x

∗

− ˆ x) (2.10)

where

Π(t

0

) = Π

0

(2.11a)

ˆ x(t

0

) = ˆ x

0

(2.11b)

26

and ˆ x is an intermediate state. By diﬀerentiating (2.10) and using (2.9),

0 =

¸

˙

Π + ΠA +A

T

Π + Π

1

γ

F

2

Q

2

F

T

2

−F

1

Q

1

F

T

1

+B

w

Q

w

B

T

w

Π −C

T

V

−1

C

x

∗

−

¸

˙

Π +A

T

Π + Π

1

γ

F

2

Q

2

F

T

2

−F

1

Q

1

F

T

1

+B

w

Q

w

B

T

w

Π

ˆ x

−Π

˙

ˆ x + ΠB

u

u +C

T

V

−1

y

By adding and subtracting ΠAˆ x and C

T

V

−1

Cˆ x,

0 =

¸

˙

Π + ΠA +A

T

Π + Π

1

γ

F

2

Q

2

F

T

2

−F

1

Q

1

F

T

1

+B

w

Q

w

B

T

w

Π −C

T

V

−1

C

(x

∗

−ˆ x)

−Π

˙

ˆ x + ΠAˆ x + ΠB

u

u +C

T

V

−1

(y −Cˆ x)

Therefore, (2.10) is a solution to (2.9) if

Π

˙

ˆ x = ΠAˆ x + ΠB

u

u +C

T

V

−1

(y −Cˆ x) (2.12)

−

˙

Π = ΠA +A

T

Π + Π

1

γ

F

2

Q

2

F

T

2

−F

1

Q

1

F

T

1

+B

w

Q

w

B

T

w

Π −C

T

V

−1

C (2.13)

subject to (2.11).

By substituting µ

∗

1

(2.8a), µ

∗

2

(2.8b), w

∗

(2.8c) and (2.10) into the cost criterion

(2.5),

J

∗

=

1

2

t

t

0

¸

− x

∗

− ˆ x

2

Π(

1

γ

F

2

Q

2

F

T

2

−F

1

Q

1

F

T

1

+BwQwB

T

w)Π

− y −Cx

∗

2

V

−1

dτ

−

1

2

x

∗

(t

0

) − ˆ x

0

2

Π

0

By adding the zero term

0 =

1

2

x

∗

(t

0

) − ˆ x

0

2

Π(t

0

)

−

1

2

x

∗

(t) − ˆ x(t)

2

Π(t)

+

1

2

t

t

0

d

dτ

x

∗

− ˆ x

2

Π

dτ

to J

∗

,

J

∗

=

1

2

t

t

0

¸

− x

∗

− ˆ x

2

Π(

1

γ

F

2

Q

2

F

T

2

−F

1

Q

1

F

T

1

+BwQwB

T

w)Π

− y −Cx

∗

2

V

−1

+(Π˙ x

∗

−Π

˙

ˆ x)

T

(x

∗

−ˆ x) + (x

∗

−ˆ x)

T

˙

Π(x

∗

−ˆ x) + (x

∗

−ˆ x)

T

(Π˙ x

∗

−Π

˙

ˆ x)

dτ

27

Note that x

∗

(t) − ˆ x(t)

2

Π(t)

= 0 because of the boundary condition (2.8f). By sub-

stituting ˙ x

∗

(2.9), (2.10), (2.12), (2.13) into J

∗

and expanding y −Cx

∗

2

V

−1

into

(y −Cˆ x) −C(x

∗

− ˆ x)

2

V

−1

,

J

∗

= −

1

2

t

t

0

y −Cˆ x

2

V

−1 dτ

Since x

∗

= ˆ x at current time t (2.8f), the generalized least-squares fault detection

ﬁlter is (2.12). Note that (2.12) is used by the residual (2.6) to detect the target

fault.

Remark 4. For a steady-state ﬁlter, (2.13) becomes

0 = ΠA +A

T

Π + Π

1

γ

F

2

Q

2

F

T

2

−F

1

Q

1

F

T

1

+B

w

Q

w

B

T

w

Π −C

T

V

−1

C (2.14)

The stability of the ﬁlter depends on showing that ˆ x

T

Πˆ x is a Lyapunov function where

the coeﬃcient matrix in the estimator equation (2.12) is A

cl

= A −Π

−1

C

T

V

−1

C. By

substituting A

cl

into (2.14),

ΠA

cl

+A

T

cl

Π = −Π

1

γ

F

2

Q

2

F

T

2

−F

1

Q

1

F

T

1

+B

w

Q

w

B

T

w

Π −C

T

V

−1

C

When Q

1

= 0, given that (A, [ F

2

B

w

]) is uniformly controllable for time-varying

systems and stabilizable for time-invariant systems, ΠA

cl

+A

T

cl

Π ≤ 0 and the ﬁlter

is exponentially stable for time-varying systems and asymptotically stable for time-

invariant systems (Kwakernaak and Sivan, 1972a). However, when Q

1

= 0, ΠA

cl

+

A

T

cl

Π might become indeﬁnite. This can be interpreted as an attempt to make the

residual sensitive to the target fault. If Q

1

is too large, the target fault could desta-

bilize the ﬁlter. If (A, [ F

2

B

w

]) is not stabilizable, model reduction can be used to

remove the uncontrollable and unstable subspace (Moore, 1981). Note that the game-

theoretic fault detection ﬁlter (Chung and Speyer, 1998) is always stable because the

target fault is not in the problem formulation.

28

2.3 Conditions for the Nonpositivity of the Cost

Criterion

In this section, the cost criterion (2.5) is converted into an equivalent linear matrix

inequality from which the suﬃcient conditions for optimality can be derived (Chung

and Speyer, 1998). The linear matrix inequality, associated with the solution opti-

mality, is just the left half of the saddle point inequality,

J(µ

∗

1

, µ

2

, w, x(t

0

)) ≤ J(µ

∗

1

, µ

∗

2

, w

∗

, x

∗

(t

0

)) = 0 ≤ J(µ

1

, µ

∗

2

, w

∗

, x

∗

(t

0

))

The asterisk indicates that the optimal strategy is being used for that element.

By using a Lagrange multiplier (x − ˆ x)

T

Π to adjoin the constraint (2.3a) to the

cost criterion (2.5) and substituting µ

∗

1

(2.8a),

J =

1

2

t

t

0

− µ

2

2

γQ

−1

2

− w

2

Q

−1

w

− y −Cx

2

V

−1 +(x − ˆ x)

T

Π

(Ax +B

u

u +B

w

w +F

2

µ

2

− ˙ x)] dτ −

1

2

x(t

0

) − ˆ x

0

2

Π

0

By adding and subtracting

1

2

t

t

0

(x − ˆ x)

T

ΠAˆ xdτ and

1

2

t

t

0

(x − ˆ x)

T

Π

˙

ˆ xdτ to J,

J =

1

2

t

t

0

x − ˆ x

2

ΠA

− µ

2

2

γQ

−1

2

− w

2

Q

−1

w

− y −Cx

2

V

−1 +(x − ˆ x)

T

(−Π

˙

ˆ x + ΠAˆ x + ΠB

u

u + ΠB

w

w + ΠF

2

µ

2

) −(x − ˆ x)

T

Π( ˙ x −

˙

ˆ x)

dτ

−

1

2

x(t

0

) − ˆ x

0

2

Π

0

By integrating (x − ˆ x)

T

Π( ˙ x −

˙

ˆ x) by parts, substituting (2.3a) and (2.8a), adding and

subtracting

1

2

t

t

0

ˆ x

T

A

T

Π (x − ˆ x)dτ to J,

J =

1

2

t

t

0

x − ˆ x

2

˙

Π+ΠA+A

T

Π−ΠF

1

Q

1

F

T

1

Π

− µ

2

2

γQ

−1

2

− w

2

Q

−1

w

− y −Cx

2

V

−1

+ (x − ˆ x)

T

(−Π

˙

ˆ x + ΠAˆ x + ΠB

u

u + ΠB

w

w + ΠF

2

µ

2

)

+(−Π

˙

ˆ x + ΠAˆ x + ΠB

u

u + ΠB

w

w + ΠF

2

µ

2

)

T

(x − ˆ x)

dτ

−

1

2

x(t

0

) − ˆ x

0

2

Π

0

−Π(t

0

)

−

1

2

x(t) − ˆ x(t)

2

Π(t)

29

By expanding y −Cx

2

V

−1

into (y −Cˆ x) −C(x − ˆ x)

2

V

−1

and substituting the

generalized least-squares fault detection ﬁlter (2.12) into J,

J =

1

2

t

t

0

(x − ˆ x)

T

w

T

µ

T

2

W

x − ˆ x

w

µ

2

¸

¸

− y −Cˆ x

2

V

−1

dτ

−

1

2

x(t

0

) − ˆ x

0

2

Π

0

−Π(t

0

)

−

1

2

x(t) − ˆ x(t)

2

Π(t)

where

W =

˙

Π + ΠA +A

T

Π −ΠF

1

Q

1

F

T

1

Π −C

T

V

−1

C ΠB

w

ΠF

2

B

T

w

Π −Q

−1

w

0

F

T

2

Π 0 −γQ

−1

2

¸

¸

Therefore, the suﬃcient conditions for J ≤ 0 are

W ≤ 0 (2.15)

Π

0

−Π(t

0

) ≥ 0

Π(t) ≥ 0

In the limit where γ is zero, (2.15) becomes

ΠF

2

= 0 (2.16a)

˙

Π + ΠA +A

T

Π + Π(−F

1

Q

1

F

T

1

+B

w

Q

w

B

T

w

)Π −C

T

V

−1

C ≤ 0 (2.16b)

More detail about the limit is discussed in next section.

2.4 Limiting Case

In this section, the min-max problem (2.4) is solved in the limit where γ is zero (Chung

and Speyer, 1998; Bell and Jacobsen, 1975). It is shown that the solution satisﬁes

the suﬃcient condition (2.16) derived from the linear matrix inequality. When γ is

zero, there is no constraint on µ

2

to minimize y −Cx. Therefore, the nuisance fault

is completely blocked from the residual which is shown in Sections 2.5 and 2.6.

30

In the limit, the cost criterion (2.5) becomes

J =

1

2

t

t

0

µ

1

2

Q

−1

1

− w

2

Q

−1

w

− y −Cx

2

V

−1

dτ −

1

2

x(t

0

) − ˆ x

0

2

Π

0

(2.17)

This problem is singular with respect to µ

2

. Therefore, the Goh transformation (Bell

and Jacobsen, 1975) is used to form a nonsingular problem. Let

φ

1

(τ) =

τ

t

0

µ

2

(s)ds

α

1

= x −F

2

φ

1

(2.18)

By diﬀerentiating (2.18) and using (2.3a),

˙ α

1

= Aα

1

+B

u

u +B

w

w +F

1

µ

1

+B

1

φ

1

(2.19)

where B

1

= AF

2

−

˙

F

2

. By substituting (2.18) into the limiting cost criterion (2.17),

J =

1

2

t

t

0

µ

1

2

Q

−1

1

− w

2

Q

−1

w

− φ

1

2

F

T

2

C

T

V

−1

CF

2

− y −Cα

1

2

V

−1

+(y −Cα

1

)

T

V

−1

CF

2

φ

1

+φ

T

1

F

T

2

C

T

V

−1

(y −Cα

1

)

dτ

−

1

2

α

1

(t

+

0

) +F

2

φ

1

(t

+

0

) − ˆ x

0

2

Π

0

(2.20)

Then, the new min-max problem is

min

µ

1

max

φ

1

max

w

max

α

1

(t

+

0

)

J (2.21)

subject to (2.19).

If F

T

2

C

T

V

−1

CF

2

fails to be positive deﬁnite, (2.21) is still a singular problem

with respect to φ

1

. Then, the Goh transformation has to be used until the problem

becomes nonsingular. If F

T

2

C

T

V

−1

CF

2

= 0, let

φ

2

(τ) =

τ

t

0

φ

1

(s)ds

α

2

= α

1

−B

1

φ

2

(2.22)

31

Then,

˙ α

2

= Aα

2

+B

u

u +B

w

w +F

1

µ

1

+B

2

φ

2

(2.23)

where B

2

= AB

1

−

˙

B

1

.

If F

T

2

C

T

V

−1

CF

2

≥ 0, the Goh transformation is applied only on the singular part

which is discussed in three cases. First, if some column vectors of CF

2

is zero, by

rearranging the order of the column vectors of F

2

,

F

T

2

C

T

V

−1

CF

2

=

¸

¯

Q 0

0 0

(2.24)

where

¯

Q is positive deﬁnite. Then, φ

1

can be divided into φ

11

and φ

12

such that

(2.21) is singular with respect to φ

12

, but not φ

11

. The associated fault directions of

φ

11

and φ

12

are denoted by B

11

and B

12

, respectively. Then the Goh transformation

is applied only on φ

12

,

φ

22

(τ) =

τ

t

0

φ

12

(s)ds

α

2

= α

1

−B

12

φ

22

(2.25)

Then,

˙ α

2

= Aα

2

+B

u

u +B

w

w +F

1

µ

1

+B

2

φ

2

(2.26)

where φ

2

= [ φ

T

11

φ

T

22

]

T

and B

2

= [ B

11

AB

12

−

˙

B

12

].

The second case is that CF

2

= 0, rank (CF

2

) < dim(CF

2

), and rank F

2

= dimF

2

which imply some column vectors of CF

2

are the linear combinations of others.

Then, a new basis will be chosen for F

2

such that some column vectors of the

new CF

2

are zero and (2.24) is satisﬁed. The third case is that CF

2

= 0 and

rank F

2

< dimF

2

which imply some column vectors of F

2

are the linear combina-

tions of others. Then, a new set of lower-order vectors can be formed for F

2

such

that the new F

T

2

C

T

V

−1

CF

2

> 0. Note that it is possible that these three cases could

32

happen at the same time. Nevertheless, there always exists a basis for F

2

such that

either (2.24) is satisﬁed or F

T

2

C

T

V

−1

CF

2

> 0. By substituting (2.22) or (2.25) into

(2.20),

J =

1

2

t

t

0

µ

1

2

Q

−1

1

− w

2

Q

−1

w

− φ

2

2

B

T

1

C

T

V

−1

CB

1

− y −Cα

2

2

V

−1

+(y −Cα

2

)

T

V

−1

CB

1

φ

2

+φ

T

2

B

T

1

C

T

V

−1

(y −Cα

2

)

dτ

−

1

2

α

2

(t

+

0

) + [ F

2

B

1

][ φ

1

(t

+

0

)

T

φ

2

(t

+

0

)

T

]

T

− ˆ x

0

2

Π

0

Then, the new min-max problem is

min

µ

1

max

φ

2

max

w

max

α

2

(t

+

0

)

J

subject to (2.23) or (2.26).

The transformation process stops if the weighting on φ

2

, B

T

1

C

T

V

−1

CB

1

, is posi-

tive deﬁnite. Otherwise, continue the transformation until there exists B

k

such that

the weighting on φ

k

, B

T

k−1

C

T

V

−1

CB

k−1

, is positive deﬁnite. Then, in the limit, the

min-max problem (2.4) becomes

min

µ

1

max

φ

k

max

w

max

α

k

(t

+

0

)

J

where

J =

1

2

t

t

0

µ

1

2

Q

−1

1

− w

2

Q

−1

w

− φ

k

2

B

T

k−1

C

T

V

−1

CB

k−1

− y −Cα

k

2

V

−1

+(y −Cα

k

)

T

V

−1

CB

k−1

φ

k

+φ

T

k

B

T

k−1

C

T

V

−1

(y −Cα

k

)

dτ

−

1

2

α

k

(t

+

0

) +

¯

B

¯

φ(t

+

0

) − ˆ x

0

2

Π

0

(2.27)

and

¯

B = [ F

2

B

1

B

2

· · · B

k−1

],

¯

φ = [ φ

T

1

φ

T

2

· · · φ

T

k

]

T

subject to

˙ α

k

= Aα

k

+B

u

u +B

w

w +F

1

µ

1

+B

k

φ

k

(2.28)

33

Remark 5. The Goh transformation implies that there always exists a basis

for F

2

such that the column vectors of F

2

are output separable so that the out-

put separability test (1.14) remains valid. For time-invariant systems, the Goh

transformation is equivalent to the recursive algorithm (1.6) (Wonham, 1985).

The variational Hamiltonian of the problem is deﬁned as

H =

1

2

µ

1

2

Q

−1

1

− w

2

Q

−1

w

− φ

k

2

B

T

k−1

C

T

V

−1

CB

k−1

− y −Cα

k

2

V

−1

+(y −Cα

k

)

T

V

−1

CB

k−1

φ

k

+φ

T

k

B

T

k−1

C

T

V

−1

(y −Cα

k

)

+λ

T

(Aα

k

+B

u

u +B

w

w +F

1

µ

1

+B

k

φ

k

)

where λ ∈ R

n

is a continuously diﬀerentiable Lagrange multiplier. The ﬁrst-order

necessary conditions imply that the optimal strategies for µ

1

, φ

k

, w and the dynamics

of λ are

µ

∗

1

= −Q

1

F

T

1

λ (2.29a)

φ

∗

k

= (B

T

k−1

C

T

V

−1

CB

k−1

)

−1

[B

T

k

λ +B

T

k−1

C

T

V

−1

(y −Cα

k

)] (2.29b)

w

∗

= Q

w

B

T

w

λ (2.29c)

˙

λ = −A

T

λ −C

T

V

−1

(y −Cα

k

) +C

T

V

−1

CB

k−1

φ

∗

k

(2.29d)

with boundary conditions,

¯

φ

∗

(t

+

0

) = −(

¯

B

T

Π

0

¯

B)

−1

¯

B

T

Π

0

[α

∗

k

(t

+

0

) − ˆ x

0

] (2.29e)

λ(t

+

0

) = Π

0

[α

∗

k

(t

+

0

) +

¯

B

¯

φ

∗

(t

+

0

) − ˆ x

0

] (2.29f)

λ(t) = 0 (2.29g)

By substituting (2.29e) into (2.29f),

λ(t

+

0

) = [Π

0

−Π

0

¯

B(

¯

B

T

Π

0

¯

B)

−1

¯

B

T

Π

0

][α

∗

k

(t

+

0

) − ˆ x

0

] (2.29h)

34

By substituting (2.29a), (2.29b), (2.29c) into (2.28) and (2.29b) into (2.29d), a two-

point boundary value problem with boundary conditions (2.29g) and (2.29h) results

for satisfying

¸

˙ α

∗

k

˙

λ

=

¸

¯

A B

k

(B

T

k−1

C

T

V

−1

CB

k−1

)

−1

B

T

k

−F

1

Q

1

F

T

1

+B

w

Q

w

B

T

w

C

T

¯

H

T

V

−1

¯

HC −

¯

A

T

¸

α

∗

k

λ

+

¸

B

u

u +B

k

(B

T

k−1

C

T

V

−1

CB

k−1

)

−1

B

T

k−1

C

T

V

−1

y

−C

T

¯

H

T

V

−1

¯

Hy

(2.30)

where

¯

A = A −B

k

(B

T

k−1

C

T

V

−1

CB

k−1

)

−1

B

T

k−1

C

T

V

−1

C and

¯

H = I −CB

k−1

(B

T

k−1

C

T

V

−1

CB

k−1

)

−1

B

T

k−1

C

T

V

−1

(2.31)

Note that α

∗

k

is now the state using the optimal strategies (2.29a), (2.29b) and (2.29c).

The form of (2.29h) suggests that

λ = S(α

∗

k

− ˆ x) (2.32)

where

S(t

+

0

) = Π

0

−Π

0

¯

B(

¯

B

T

Π

0

¯

B)

−1

¯

B

T

Π

0

(2.33a)

ˆ x(t

+

0

) = ˆ x

0

(2.33b)

and ˆ x is an intermediate state. By diﬀerentiating (2.32) and using (2.30),

0 =

˙

S +S

¯

A +

¯

A

T

S +S

B

k

(B

T

k−1

C

T

V

−1

CB

k−1

)

−1

B

T

k

−F

1

Q

1

F

T

1

+B

w

Q

w

B

T

w

S

−C

T

¯

H

T

V

−1

¯

HC

¸

α

∗

k

−

˙

S +

¯

A

T

S +S[B

k

(B

T

k−1

C

T

V

−1

CB

k−1

)

−1

B

T

k

−F

1

Q

1

F

T

1

+B

w

Q

w

B

T

w

]S

¸

ˆ x

−S

˙

ˆ x +SB

u

u + [SB

k

(B

T

k−1

C

T

V

−1

CB

k−1

)

−1

B

T

k−1

C

T

V

−1

+C

T

¯

H

T

V

−1

¯

H]y

By adding and subtracting S

¯

Aˆ x and C

T

¯

H

T

V

−1

¯

HCˆ x,

0 =

˙

S +S

¯

A +

¯

A

T

S +S

B

k

(B

T

k−1

C

T

V

−1

CB

k−1

)

−1

B

T

k

−F

1

Q

1

F

T

1

+B

w

Q

w

B

T

w

S

−C

T

¯

H

T

V

−1

¯

HC

¸

(α

∗

k

− ˆ x) −S

˙

ˆ x +SAˆ x +SB

u

u

+ [SB

k

(B

T

k−1

C

T

V

−1

CB

k−1

)

−1

B

T

k−1

C

T

V

−1

+C

T

¯

H

T

V

−1

¯

H](y −Cˆ x)

35

Therefore, (2.32) is a solution to (2.30) if

S

˙

ˆ x = SAˆ x +SB

u

u + [SB

k

(B

T

k−1

C

T

V

−1

CB

k−1

)

−1

B

T

k−1

C

T

V

−1

+C

T

¯

H

T

V

−1

¯

H](y −Cˆ x) (2.34)

−

˙

S = S[A −B

k

(B

T

k−1

C

T

V

−1

CB

k−1

)

−1

B

T

k−1

C

T

V

−1

C]

+ [A −B

k

(B

T

k−1

C

T

V

−1

CB

k−1

)

−1

B

T

k−1

C

T

V

−1

C]

T

S

+S[B

k

(B

T

k−1

C

T

V

−1

CB

k−1

)

−1

B

T

k

−F

1

Q

1

F

T

1

+B

w

Q

w

B

T

w

]S

−C

T

¯

H

T

V

−1

¯

HC (2.35)

subject to (2.33).

By substituting µ

∗

1

(2.29a), φ

∗

k

(2.29b), w

∗

(2.29c),

¯

φ

∗

(t

+

0

) (2.29e) and (2.32) into

the limiting cost criterion (2.27),

J

∗

=

1

2

t

t

0

− α

∗

k

− ˆ x

2

S[B

k

(B

T

k−1

C

T

V

−1

CB

k−1

)

−1

B

T

k

−F

1

Q

1

F

T

1

+BwQwB

T

w

]S

− y −Cα

∗

k

2

¯

H

T

V

−1 ¯

H

¸

dτ −

1

2

α

∗

k

(t

+

0

) − ˆ x

0

2

Π

0

−Π

0

¯

B(

¯

B

T

Π

0

¯

B)

−1 ¯

B

T

Π

0

By adding the zero term

0 =

1

2

α

∗

k

(t

+

0

) − ˆ x

0

2

S(t

+

0

)

−

1

2

α

∗

k

(t) − ˆ x(t)

2

S(t)

+

1

2

t

t

0

d

dτ

α

∗

k

− ˆ x

2

S

dτ

to J

∗

,

J

∗

=

1

2

t

t

0

− α

∗

k

− ˆ x

2

S[B

k

(B

T

k−1

C

T

V

−1

CB

k−1

)

−1

B

T

k

−F

1

Q

1

F

T

1

+BwQwB

T

w

]S

− y −Cα

∗

k

2

¯

H

T

V

−1 ¯

H

+(S ˙ α

∗

k

−S

˙

ˆ x)

T

(α

∗

k

− ˆ x)

+(α

∗

k

− ˆ x)

T

˙

S(α

∗

k

− ˆ x) + (α

∗

k

− ˆ x)

T

(S ˙ α

∗

k

−S

˙

ˆ x)

¸

dτ

Note that α

∗

k

(t) − ˆ x(t)

2

S(t)

= 0 because of the boundary condition (2.29g). By sub-

stituting ˙ α

∗

k

(2.30), (2.32), (2.34), (2.35) into J

∗

and expanding y −Cα

∗

k

2

¯

H

T

V

−1 ¯

H

into (y −Cˆ x) −C(α

∗

k

− ˆ x)

2

¯

H

T

V

−1 ¯

H

,

J

∗

= −

1

2

t

t

0

y −Cˆ x

2

¯

H

T

V

−1 ¯

H

dτ

36

Since α

∗

k

= ˆ x at current time t (2.29g), the limiting generalized least-squares fault

detection ﬁlter is (2.34). However, (2.34) can not be used because S has a null

space which is shown in Theorem 2.1. Therefore, a reduced-order ﬁlter for (2.34)

is derived in Section 2.6. Note that the second half of the optimization problem is

solved diﬀerently as (Chung and Speyer, 1998).

Theorem 2.1 shows that the limiting Riccati matrix S has a null space and satisﬁes

the suﬃcient condition (2.16) derived from the linear matrix inequality which implies

that S is the limit of Π.

Theorem 2.1.

S

B

k−1

· · · B

1

F

2

= 0

˙

S +SA +A

T

S +S(−F

1

Q

1

F

T

1

+B

w

Q

w

B

T

w

)S −C

T

V

−1

C ≤ 0

Proof. By multiplying (2.35) by B

k−1

from the right and subtracting S

˙

B

k−1

from

both sides,

d

dτ

(SB

k−1

) = −

A

T

+S(−F

1

Q

1

F

T

1

+B

w

Q

w

B

T

w

) + (SB

k

−C

T

V

−1

CB

k−1

)

(B

T

k−1

C

T

V

−1

CB

k−1

)

−1

B

T

k

SB

k−1

This is a homogeneous diﬀerential equation and the boundary condition is zero be-

cause S(t

+

0

)

¯

B = 0 from (2.33a) and B

k−1

is contained in

¯

B. Therefore SB

k−1

= 0.

Similarly, by multiplying (2.35) by B

k−2

· · · B

1

and F

2

,

S

B

k−2

· · · B

1

F

2

= 0

To prove the second part of this theorem, (2.35) can be rewritten as

˙

S +SA +A

T

S +S(−F

1

Q

1

F

T

1

+B

w

Q

w

B

T

w

)S −C

T

V

−1

C

= −(B

T

k

S −B

T

k−1

C

T

V

−1

C)

T

(B

T

k−1

C

T

V

−1

CB

k−1

)

−1

(B

T

k

S −B

T

k−1

C

T

V

−1

C)

and it is nonpositive deﬁnite.

37

2.5 Properties of the Null Space of S

In this section, some properties of the null space of S are given. It is shown that

the null space of S is equivalent to the minimal (C, A)-unobservability subspace for

time-invariant systems and a similar invariant subspace for time-varying systems.

Therefore, the limiting generalized least-squares fault detection ﬁlter is equivalent to

the unknown input observer and extends the unknown input observer to the time-

varying case. The minimal (C, A)-unobservability subspace of F

2

is the unobservable

subspace of (

˜

HC, A −LC) (Massoumnia et al., 1989) for some ﬁlter gains L and

˜

H: Y→Y , Ker

˜

H=CB

k−1

,

˜

H = I −CB

k−1

[(CB

k−1

)

T

CB

k−1

]

−1

(CB

k−1

)

T

(2.36)

Note that Ker

˜

H = Ker

¯

H (2.31).

Theorem 2.2 shows that the null space of S is a (C, A)-invariant subspace. The-

orem 2.3 shows that the null space of S is contained in the unobservable subspace of

(

˜

HC, A −LC).

Theorem 2.2. Ker S is a (C, A)-invariant subspace.

Proof. The dynamic equation of the error, e = x − ˆ x, in the absence of the target

fault, process noise and sensor noise can be obtained by using (2.3) and (2.34).

S ˙ e = [SA −SB

k

(B

T

k−1

C

T

V

−1

CB

k−1

)

−1

B

T

k−1

C

T

V

−1

C −C

T

¯

H

T

V

−1

¯

HC]e

because SF

2

= 0. By adding

˙

Se to both sides and using (2.35),

d

dτ

(Se) = −

¸

[A −B

k

(B

T

k−1

C

T

V

−1

CB

k−1

)

−1

B

T

k−1

C

T

V

−1

C]

T

+S[B

k

(B

T

k−1

C

T

V

−1

CB

k−1

)

−1

B

T

k

−F

1

Q

1

F

T

1

+B

w

Q

w

B

T

w

]

¸

Se (2.37)

If the error initially lies in Ker S, (2.37) implies that the error will never leave Ker S.

Therefore, Ker S is a (C, A)-invariant subspace.

38

Theorem 2.3. Ker S is contained in the unobservable subspace of (

˜

HC, A −LC).

Proof. Let ζ ∈ Ker S. By multiplying (2.35) by ζ

T

from the left and ζ from the

right,

d

dτ

(ζ

T

Sζ) = ζ

T

C

T

¯

H

T

V

−1

¯

HCζ = 0

Then,

˜

HCζ = 0 because

¯

HCζ = 0 and Ker

˜

H = Ker

¯

H. From Theorem 2.2, Ker S is a

(C, A)-invariant subspace. Therefore, Ker S is contained in the unobservable subspace

of (

˜

HC, A −LC).

From Theorem 2.1, C Ker S ⊇ CB

k−1

. From Theorem 2.3, C Ker S ⊆ CB

k−1

.

Therefore, C Ker S = CB

k−1

and

ˆ

H (2.7) is equivalent to

˜

H (2.36). Note that (2.36)

is a better way to form

ˆ

H which is used by the residual (2.6) because it does not

require the solution to the limiting Riccati equation (2.35).

For time-invariant systems, it is important to discuss the invariant zero directions

when designing the unknown input observer. The invariant zeros of (C, A, F

2

) will

become part of the eigenvalues of the ﬁlter if their associated invariant zero directions

are not included in the invariant subspace of F

2

(Massoumnia et al., 1989). Therefore,

the null space of S needs to include at least the invariant zero directions associated

with the invariant zeros on the right-half plane and jω-axis. However, the invariant

zeros on the left-half plane might become part of the ﬁlter eigenvalues since there is

no guarantee that their associated invariant zero directions are in the null space of

S. It is important that the left-half-plane invariant zeros are not part of the ﬁlter

eigenvalues because they might be ill-conditioned even though stable. This can be

done by modifying the nuisance fault directions to enforce the null space of S to

include the invariant zero directions. The invariant zero of (C, A, F

2

) is z at which

¸

zI −A F

2

C 0

39

loses rank. An invariant zero direction ν is formed from a partitioning of the null

space as

¸

zI −A F

2

C 0

¸

ν

¯ ν

= 0 (2.38)

If one of the column vectors of F

2

, called F

2i

, has an invariant zero and the invariant

zero direction is ν

i

, from Theorem 2.1, the null space of S includes Im[ F

2i

AF

2i

· · ·

A

k

2i

−1

F

2i

] where k

2i

is the smallest positive integer such that CA

k

2i

−1

F

2i

= 0. How-

ever, ν

i

might not be included. By replacing F

2i

by ν

i

as the nuisance fault di-

rection, the null space of S includes Im[ ν

i

Aν

i

· · · A

k

2i

ν

i

] which is equivalent to

Im[ F

2i

AF

2i

· · · A

k

2i

−1

F

2i

ν

i

] by (2.38). Therefore, this modiﬁcation guarantees that

the invariant zero direction is in the null space of S. This is demonstrated by the

numerical examples in Section 2.7.3. If (C, A, ν

i

) has invariant zeros, the same pro-

cedure above will be repeated until there is no invariant zero. If the invariant zero

is associated with not just one, but several column vectors of F

2

, only one of these

vectors will be replaced by the invariant zero direction.

For time-invariant systems, from Theorem 2.1 and the modiﬁed nuisance fault

directions, the null space of S contains the minimal (C, A)-unobservability subspace

of F

2

. From Theorem 2.3, the null space of S is contained in the minimal (C, A)-

unobservability subspace of F

2

. Therefore, the null space of S is equivalent to the

minimal (C, A)-unobservability subspace of F

2

, and the limiting generalized least-

squares fault detection ﬁlter is equivalent to the unknown input observer. Note that

the invariant zero and the minimal (C, A)-unobservability subspace are only deﬁned

for time-invariant systems. For time-varying systems, Theorems 2.1, 2.2 and 2.3

imply that the null space of S is a similar invariant subspace. Therefore, the limiting

generalized least-squares fault detection ﬁlter extends the unknown input observer to

the time-varying case.

40

Remark 6. The modiﬁcation of the nuisance fault directions can apply to the

game-theoretic fault detection ﬁlter (Chung and Speyer, 1998) so that it could become

equivalent to the unknown input observer in the limit.

Remark 7. In order to detect the target fault, F

1

can not intersect the null space of

S which is unobservable to the residual. If it does, the target fault will be diﬃcult or

impossible to detect even though the ﬁlter can still be derived by solving the min-max

problem.

2.6 Reduced-Order Filter

In this section, reduced-order ﬁlters are derived for the limiting generalized least-

squares fault detection ﬁlter (2.34) for both time-varying and time-invariant systems.

The reduced-order ﬁlter is necessary for implementation because (2.34) can not be

used due to the null space of S. It is shown that the reduced-order ﬁlter completely

blocks the nuisance fault.

Since S(t) is non-negative deﬁnite, there exists a state transformation Γ(t) such

that

Γ(t)

T

S(t)Γ(t) =

¸

¯

S(t) 0

0 0

(2.39)

where

¯

S(t) is positive deﬁnite. Theorem 2.4 provides a way to form the transformation

Γ(t).

Theorem 2.4. There exists a state transformation Γ(t) where

¯

Z(t) Ker S(t)

= Γ(t)

¸

Z

1

(t) 0

0 Z

2

(t)

(2.40)

¯

Z is any n ×(n −k

2

) continuously diﬀerentiable matrix such that itself and Ker S

span the state space where n = dimX and k

2

= dim(Ker S). Z

1

and Z

2

are any

41

(n −k

2

) ×(n −k

2

) and k

2

×k

2

invertible continuously diﬀerentiable matrices, re-

spectively. Then, the Γ(t) obtained from (2.40) satisﬁes (2.39).

Proof. From (2.40),

Ker S = Γ

¸

0

Z

2

⇒ SΓ

¸

0

Z

2

= 0 ⇒ Γ

T

SΓ

¸

0

Z

2

= 0

Since Z

2

is invertible by deﬁnition and Γ

T

SΓ is symmetric, (2.39) is true.

Note that Theorem 2.4 does not deﬁne Γ uniquely and Γ can be computed apriori

because Ker S can be obtained apriori.

By applying the transformation Γ to the estimator states,

Γ

−1

ˆ x

= ˆ η =

¸

ˆ η

1

ˆ η

2

By multiplying (2.34) by Γ

T

from the left, adding Γ

T

SΓ

˙

Γ

−1

ˆ x to both sides, and using

ΓΓ

−1

= I,

¸

¯

S 0

0 0

¸

˙

ˆ η

1

˙

ˆ η

2

= −

¸

¯

S 0

0 0

Γ

−1

˙

Γ

¸

ˆ η

1

ˆ η

2

+

¸

¯

S 0

0 0

¸

A

11

A

12

A

21

A

22

¸

ˆ η

1

ˆ η

2

+

¸

¯

S 0

0 0

¸

M

1

M

2

u

+

¸

¯

S 0

0 0

¸

G

1

G

2

D

T

1

D

T

2

¸

C

T

1

C

T

2

V

−1

C

1

C

2

¸

D

1

D

2

−1

D

T

1

D

T

2

¸

C

T

1

C

T

2

V

−1

+

¸

C

T

1

C

T

2

¯

H

T

V

−1

¯

H

y −

C

1

C

2

¸

ˆ η

1

ˆ η

2

(2.41)

where

Γ

−1

AΓ =

¸

A

11

A

12

A

21

A

22

, Γ

−1

B

u

=

¸

M

1

M

2

, CΓ =

C

1

C

2

Γ

−1

B

k−1

=

¸

D

1

D

2

, Γ

−1

B

k

=

¸

G

1

G

2

Since SB

k−1

= 0 from Theorem 2.1,

Γ

T

SΓΓ

−1

B

k−1

=

¸

¯

SD

1

0

= 0

42

which implies D

1

= 0. Then, (2.41) can be transformed into two equations,

¯

S

˙

ˆ η

1

=

¯

S(A

11

−Γ

11

)ˆ η

1

+

¯

S(A

12

−Γ

12

)ˆ η

2

+

¯

SM

1

u+[

¯

SG

1

(D

T

2

C

T

2

V

−1

C

2

D

2

)

−1

D

T

2

C

T

2

V

−1

+C

T

1

¯

H

T

V

−1

¯

H](y−C

1

ˆ η

1

−C

2

ˆ η

2

) (2.42a)

0 = C

T

2

¯

H

T

V

−1

¯

H(y −C

1

ˆ η

1

−C

2

ˆ η

2

) (2.42b)

where

Γ

−1

˙

Γ =

¸

Γ

11

Γ

12

Γ

21

Γ

22

Note that Γ

−1

and

˙

Γ can be computed apriori from (2.40).

By multiplying (2.35) by Γ

T

from the left and Γ from the right, subtracting

˙

Γ

T

SΓ

and ΓS

˙

Γ

T

to both sides, and using ΓΓ

−1

= I, the limiting Riccati equation can be

transformed into two equations,

0 =

¯

S[A

12

−Γ

12

−G

1

(D

T

2

C

T

2

V

−1

C

2

D

2

)

−1

D

T

2

C

T

2

V

−1

C

2

] (2.43)

−

˙

¯

S =

¯

S[A

11

−Γ

11

−G

1

(D

T

2

C

T

2

V

−1

C

2

D

2

)

−1

D

T

2

C

T

2

V

−1

C

1

]

+ [A

11

−Γ

11

−G

1

(D

T

2

C

T

2

V

−1

C

2

D

2

)

−1

D

T

2

C

T

2

V

−1

C

1

]

T

¯

S

+

¯

S[G

1

(D

T

2

C

T

2

V

−1

C

2

D

2

)

−1

G

T

1

−N

1

Q

1

N

T

1

+R

1

Q

w

R

T

1

]

¯

S

−C

T

1

¯

H

T

V

−1

¯

HC

1

(2.44)

where

Γ

−1

B

w

=

¸

R

1

R

2

, Γ

−1

F

1

=

¸

N

1

N

2

and

Γ(t

+

0

)

T

S(t

+

0

)Γ(t

+

0

) =

¸

¯

S(t

+

0

) 0

0 0

From (2.42b),

¯

HC

2

= 0 (2.45)

43

because y −C

1

ˆ η

1

−C

2

ˆ η

2

is arbitrary. By substituting (2.43) and (2.45) into (2.42a),

the reduced-order limiting generalized least-squares fault detection ﬁlter is

˙

ˆ η

1

= (A

11

−Γ

11

)ˆ η

1

+M

1

u + [G

1

(D

T

2

C

T

2

V

−1

C

2

D

2

)

−1

D

T

2

C

T

2

V

−1

+

¯

S

−1

C

T

1

¯

H

T

V

−1

¯

H](y −C

1

ˆ η

1

) (2.46)

where

¯

S is the solution of (2.44). Note that Γ

11

can be computed apriori. The

dimension of the reduced-order ﬁlter is n −k

2

. In the limit, the residual (2.6) becomes

r =

ˆ

H(y −C

1

ˆ η

1

) (2.47)

because

ˆ

HC

2

= 0 from (2.45) and Ker

ˆ

H = Ker

¯

H.

Theorem 2.5 shows that the reduced-order limiting ﬁlter (2.46) completely blocks

the nuisance fault.

Theorem 2.5. The nuisance fault is completely blocked from the residual (2.47).

Proof. By applying the transformation to the system states,

Γ

−1

x

= η =

¸

η

1

η

2

**to transform (2.3) into
**

˙ η

1

= (A

11

−Γ

11

)η

1

+ (A

12

−Γ

12

)η

2

+M

1

u +R

1

w +N

1

µ

1

(2.48a)

˙ η

2

= (A

21

−Γ

21

)η

1

+ (A

22

−Γ

22

)η

2

+M

2

u +R

2

w +N

2

µ

1

+K

2

µ

2

y = C

1

η

1

+C

2

η

2

+v (2.48b)

where

Γ

−1

F

2

=

¸

0

K

2

**Then, the residual (2.47) becomes
**

r =

ˆ

H(C

1

e

1

+v)

44

where e

1

= η

1

− ˆ η

1

. From (2.43),

A

12

−Γ

12

−G

1

(D

T

2

C

T

2

V

−1

C

2

D

2

)

−1

D

T

2

C

T

2

V

−1

C

2

= 0 (2.49)

because

¯

S is positive deﬁnite. By using (2.46), (2.48) and (2.49),

˙ e

1

= [A

11

−Γ

11

−G

1

(D

T

2

C

T

2

V

−1

C

2

D

2

)

−1

D

T

2

C

T

2

V

−1

C

1

−

¯

S

−1

C

T

1

¯

H

T

V

−1

¯

HC

1

]e

1

+R

1

w +N

1

µ

1

−[G

1

(D

T

2

C

T

2

V

−1

C

2

D

2

)

−1

D

T

2

C

T

2

V

−1

+

¯

S

−1

C

T

1

¯

H

T

V

−1

¯

H]v

This shows that the residual is not aﬀected by the nuisance fault.

For time-invariant systems, the reduced-order limiting ﬁlter and reduced-order

limiting Riccati equation can be derived similarly.

˙

ˆ η

1

= A

11

ˆ η

1

+M

1

u + [G

1

(D

T

2

C

T

2

V

−1

C

2

D

2

)

−1

D

T

2

C

T

2

V

−1

+

¯

S

−1

C

T

1

¯

H

T

V

−1

¯

H](y −C

1

ˆ η

1

) (2.50)

−

˙

¯

S =

¯

S[A

11

−G

1

(D

T

2

C

T

2

V

−1

C

2

D

2

)

−1

D

T

2

C

T

2

V

−1

C

1

]

+ [A

11

−G

1

(D

T

2

C

T

2

V

−1

C

2

D

2

)

−1

D

T

2

C

T

2

V

−1

C

1

]

T

¯

S

+

¯

S[G

1

(D

T

2

C

T

2

V

−1

C

2

D

2

)

−1

G

T

1

−N

1

Q

1

N

T

1

+R

1

Q

w

R

T

1

]

¯

S

−C

T

1

¯

H

T

V

−1

¯

HC

1

(2.51)

For time-invariant systems, Γ (2.40) is constant because Ker S is ﬁxed. Ker S can

be obtained from computing the minimal (C, A)-unobservability subspace of F

2

(1.8)

instead of solving (2.35).

2.7 Example

In this section, three numerical examples are used to demonstrate the performance

of the generalized least-squares fault detection ﬁlter. In Section 2.7.1, the ﬁlter is

applied to a time-invariant system. In Section 2.7.2, the ﬁlter is applied to a time-

varying system. In Section 2.7.3, the null space of the limiting Riccati matrix S

(2.35) is discussed.

45

2.7.1 Example 1

In this section, two cases for a time-invariant problem are presented. The ﬁrst one

shows that the sensitivity of the ﬁlter (2.12) to the nuisance fault decreases when γ is

smaller. The second one shows that the sensitivity of the reduced-order limiting ﬁlter

(2.50) to the target fault increases when Q

1

is larger. The time-invariant system is

from (White and Speyer, 1987).

A =

0 3 4

1 2 3

0 2 5

¸

¸

, C =

¸

0 1 0

0 0 1

, F

1

=

0

0

1

¸

¸

, F

2

=

5

1

1

¸

¸

where F

1

is the target fault direction and F

2

is the nuisance fault direction. There is

no process noise.

In the ﬁrst case, the steady-state solutions to the Riccati equation (2.13) are

obtained with weightings chosen as Q

1

= 1, Q

2

= 1, and V = I when γ = 10

−4

and

10

−6

, respectively. Figure 2.1 shows the frequency response from both faults to the

residual (2.6). The left one is γ = 10

−4

, and the right one is γ = 10

−6

. The solid

lines represent the target fault, and the dashed lines represent the nuisance fault.

This example shows that the nuisance fault transmission can be reduced by using a

smaller γ while the target fault transmission is not aﬀected.

In the second case, the steady-state solutions to the reduced-order limiting Riccati

equation (2.51) are obtained with V = 10

−4

I when Q

1

= 0 and 0.0019, respectively.

Figure 2.2 shows the frequency response from the target fault and sensor noise to the

residual (2.47). The left one is Q

1

= 0, and the right one is Q

1

= 0.0019. The solid

lines represent the target fault, and the dashed lines represent the sensor noise. This

example shows that the sensitivity of the ﬁlter to the target fault can be enhanced

by using a larger Q

1

. The sensor noise transmission also increases because part of

the sensor noise comes through the same direction as the target fault. However,

46

10

-2

10

0

10

2

-180

-160

-140

-120

-100

-80

-60

-40

-20

0

gamma = 10^(-6)

Frequency (rad/s)

S

i

n

g

u

l

a

r

v

a

l

u

e

(

d

b

)

10

-2

10

0

10

2

-180

-160

-140

-120

-100

-80

-60

-40

-20

0

gamma = 10^(-4)

Frequency (rad/s)

S

i

n

g

u

l

a

r

v

a

l

u

e

(

d

b

)

Figure 2.1: Frequency response from both faults to the residual

the sensor noise transmission is small compared to the target fault transmission. In

either case, the nuisance fault transmission stays zero and is not shown in Figure 2.2.

Note that when Q

1

= 0, the generalized least-squares fault detection ﬁlter is similar

to (Chung and Speyer, 1998) which does not enhance the target fault transmission.

2.7.2 Example 2

In this section, the ﬁlter (2.12) and the reduced-order limiting ﬁlter (2.46) are applied

to a time-varying system which is from modifying the time-invariant system in the

previous section by adding some time-varying elements to A and F

2

matrices while

C and F

1

matrices are the same.

A =

−cos(t) 3 + 2sin(t) 4

1 2 3 −2cos(t)

5sin(t) 2 5 + 3cos(t)

¸

¸

, F

2

=

5 −2cos(t)

1

1 +sin(t)

¸

¸

The Riccati equation (2.13) is solved with Q

1

= 1, Q

2

= 1, V = I and γ = 10

−5

for

t ∈ [0, 25]. The reduced-order limiting Riccati equation (2.44) is solved with the same

47

10

-2

10

0

10

2

-70

-60

-50

-40

-30

-20

-10

0

10

20

Q1 = 0

Frequency (rad/s)

S

i

n

g

u

l

a

r

v

a

l

u

e

(

d

b

)

10

-2

10

0

10

2

-70

-60

-50

-40

-30

-20

-10

0

10

20

Q1 = 0.0019

Frequency (rad/s)

S

i

n

g

u

l

a

r

v

a

l

u

e

(

d

b

)

Figure 2.2: Frequency response from the target fault and sensor noise to the residual

Q

1

and V . Figure 2.3 shows the time response of the norm of the residual when there

is no fault, a target fault and a nuisance fault, respectively. The faults are unit steps

that occur at the ﬁfth second. In each case, there is no sensor noise. The left three

ﬁgures show the residual (2.6) for the ﬁlter (2.12). There is a small nuisance fault

transmission because (2.12) is an approximate unknown input observer. The right

three ﬁgures show the residual (2.47) for the reduced-order limiting ﬁlter (2.46). Note

that the nuisance fault transmission is zero. There is a transient response until about

two seconds due to the initial condition. This example shows that both ﬁlters, (2.12)

and (2.46), work well for time-varying systems.

2.7.3 Example 3

In this section, three cases are presented to show the properties of the null space of

the limiting Riccati matrix S. The ﬁrst case shows that Ker S includes the nuisance

fault direction and the invariant zero direction associated with the right-half-plane

invariant zero. The second case shows that Ker S includes only the nuisance fault

48

0 5 10 15 20 25

0

0.5

1

x 10

-3

No fault

R

e

s

i

d

u

a

l

0 5 10 15 20 25

0

0.2

0.4

0.6

Target fault

R

e

s

i

d

u

a

l

0 5 10 15 20 25

0

0.5

1

x 10

-3

Nuisance fault

Time (sec)

R

e

s

i

d

u

a

l

In the limit

0 5 10 15 20 25

0

0.5

1

x 10

-3

No fault

R

e

s

i

d

u

a

l

0 5 10 15 20 25

0

0.2

0.4

0.6

Target fault

R

e

s

i

d

u

a

l

0 5 10 15 20 25

0

0.5

1

x 10

-3

Nuisance fault

Time (sec)

R

e

s

i

d

u

a

l

Not in the limit

Figure 2.3: Time response of the residual

direction, but not the invariant zero direction associated with the left-half-plane in-

variant zero. The third case shows that the invariant zero direction associated with

the left-half-plane invariant zero is included in Ker S if the nuisance fault direction

is modiﬁed. These three cases show that the null space of S is equivalent to the

minimal (C, A)-unobservability subspace of F

2

.

In the ﬁrst case, A and C matrices are the same as the example in Section 2.7.1

and

F

1

=

1

−0.5

0.5

¸

¸

, F

2

=

−3

1

0

¸

¸

(C, A, F

2

) has an invariant zero at 3 and the invariant zero direction is [ 1 0 0 ]

T

. The

weightings are chosen as Q

1

= 1, Q

2

= 1 and V = I. The steady-state solutions to

the Riccati equation (2.13) when γ = 10

−6

and the limiting Riccati equation (2.35)

49

are

Π =

**0.0000 −0.0000 0.0000
**

−0.0000 0.0010 −0.0002

0.0000 −0.0002 0.0965

¸

¸

, S =

0 0 0

0 0 0

0 0 0.0965

¸

¸

This shows that the nuisance fault direction and the invariant zero direction associ-

ated with the right-half-plane invariant zero are in the null space of S.

The second case is from modifying the previous case such that the invariant zero

is in the left-half plane instead of the right-half plane. The system matrices are the

same except

F

2

=

3

1

0

¸

¸

(C, A, F

2

) has an invariant zero at -3 and the invariant zero direction ν is [ 1 0 0 ]

T

.

The weightings are the same. The steady-state solutions to the Riccati equations

(2.13) and (2.35) are

Π =

**0.0630 −0.1885 0.0559
**

−0.1885 0.5645 −0.1674

0.0559 −0.1674 0.1462

¸

¸

, S =

**0.0626 −0.1879 0.0557
**

−0.1879 0.5637 −0.1671

0.0557 −0.1671 0.1460

¸

¸

This shows that the null space of S includes only the nuisance fault direction, but

not the invariant zero direction associated with the left-half-plane invariant zero. The

ﬁlter (2.50) has an eigenvalue at the invariant zero -3.

In the third case, the nuisance fault direction used for the ﬁlter design is changed

to ν and the weightings are the same. The steady-state solutions to the Riccati

equations (2.13) when γ = 10

−10

and (2.35) are

Π =

**0.0000 −0.0000 0.0000
**

−0.0000 0.0044 −0.0009

0.0000 −0.0009 0.0967

¸

¸

, S =

0 0 0

0 0 0

0 0 0.0965

¸

¸

This shows that the null space of S includes both F

2

and ν because Ker S = Im[ ν Aν ]

= Im[ F

2

ν ]. The ﬁlter (2.50) does not have any eigenvalue at the invariant zero -3.

50

Chapter 3

Optimal Stochastic Fault Detection

Filter

In this chapter, properties of the optimal stochastic fault detection ﬁlter are deter-

mined. The objective of the ﬁlter is to monitor a single fault called the target fault

and block other faults which are called nuisance faults. The ﬁlter is derived by mini-

mizing the transmission from the nuisance faults to the projected output error while

maximizing the transmission from the target fault. Therefore, the residual is aﬀected

primarily by the target fault and minimally by the nuisance faults. It is shown that

this ﬁlter approximates the properties of the classical fault detection ﬁlter such that

in the limit where the weighting on the nuisance fault transmission goes to inﬁnity,

the optimal stochastic fault detection ﬁlter becomes equivalent to the unknown input

observer. Filter designs can be obtained for both time-invariant and time-varying

systems.

In Section 3.1, the system model and four essential assumptions about the system

are given. The problem is formulated in Section 3.2 and its solution is derived in

Section 3.3. In Section 3.4, some properties of this ﬁlter are determined in the limit.

It is shown that the ﬁlter becomes equivalent to the unknown input observer for the

time-invariant case and extends the unknown input observer to the time-varying case.

In Section 3.5, the Riccati equation is discussed by using perturbation analysis. In

51

Section 3.6, numerical examples are given.

3.1 System Model and Assumptions

In this section, the system model and four assumptions about the system that are

needed in order to have a well-conditioned approximate unknown input observer are

given. Consider a linear system,

˙ x = Ax +B

u

u (3.1a)

y = Cx (3.1b)

where u is the control input and y is the measurement. System matrices A, B

u

and C

can be time-varying. All system variables belong to real vector spaces, x ∈ X, u ∈ U

and y ∈ Y.

Following the development in Section 1.1.1, any plant, actuator and sensor fault

can be modeled as an additive term in the state equation (3.1a). Therefore, a linear

system with q failure modes can be modeled by

˙ x = Ax +B

u

u +

q

¸

i=1

¯

F

i

¯ µ

i

(3.2a)

y = Cx (3.2b)

where

¯

F

i

can be time-varying and ¯ µ

i

belong to real vector spaces. Assume the

¯

F

i

are

monic so that ¯ µ

i

= 0 imply

¯

F

i

¯ µ

i

= 0. Since the approximate unknown input observer

is designed to detect only one fault and not to be aﬀected by other faults, let µ

1

= ¯ µ

i

be the target fault and µ

2

= [ ¯ µ

T

1

· · · ¯ µ

T

i−1

¯ µ

T

i+1

· · · ¯ µ

T

q

]

T

be the nuisance fault. Then,

(3.2) can be rewritten as

˙ x = Ax +B

u

u +F

1

µ

1

+F

2

µ

2

(3.3a)

y = Cx (3.3b)

52

where F

1

=

¯

F

i

and F

2

= [

¯

F

1

· · ·

¯

F

i−1

¯

F

i+1

· · ·

¯

F

q

].

There are four assumptions about the system (3.3) that are needed in order to

have a well-conditioned approximate unknown input observer. Assumption 3.1 is the

general requirement to design any linear observer (Kwakernaak and Sivan, 1972a).

Assumption 3.2 ensures that the target fault can be isolated from the nuisance fault

(Massoumnia et al., 1989; Chung and Speyer, 1998). Assumption 3.3 ensures for time-

invariant systems, a nonzero residual in steady state when the target fault occurs.

Assumption 3.4 ensures that for time-invariant systems, the ﬁlter does not have ﬁxed

eigenvalues.

Assumption 3.1. For time-varying systems, (C, A) is uniformly observable. For

time-invariant systems, (C, A) is detectable.

Assumption 3.2. F

1

and F

2

are output separable.

Assumption 3.3. For time-invariant systems, (C, A, F

1

) does not have invariant

zeros at origin.

Assumption 3.4. For time-invariant systems, the invariant zero directions of (C, A,

F

2

) are included with the nuisance fault direction F

2

to form the minimal (C, A)-

unobservability subspace of F

2

.

Remark 8. The output separability test is

Rank

CT

1

CT

2

= p

1

+p

2

(3.4)

where p

1

= dimF

1

and p

2

= dimF

2

. For time-invariant systems (Massoumnia et al.,

1989),

CT

i

=

CA

δ

i,1

f

i,1

· · · CA

δ

i,p

i

f

i,p

i

(3.5)

53

The vector f

i,j

, i = 1 and 2, j = 1 · · · p

i

, is the j-th column of F

i

. δ

i,j

is the smallest

non-negative integer such that CA

δ

i,j

f

i,j

= 0. For time-varying systems (Chung and

Speyer, 1998),

CT

i

=

C(t)b

i,1,δ

i,1

(t) · · · C(t)b

i,p

i

,δ

i,p

i

(t)

(3.6)

The vectors b

i,j,δ

i,j

(t), i = 1 and 2, j = 1 · · · p

i

, are found from the iteration deﬁned

by the Goh transformation (Bell and Jacobsen, 1975),

b

i,j,0

(t) = f

i,j

(t)

b

i,j,k

(t) = A(t)b

i,j,k−1

(t) −

˙

b

i,j,k−1

(t)

where f

i,j

(t) is the j-th column of F

i

. δ

i,j

is the smallest non-negative integer such

that C(t)b

i,j,δ

i,j

(t) = 0 for t ∈ [t

0

, t

1

].

The output separability test (3.4) is based on the assumption that the column

vectors in F

1

and F

2

are output separable, respectively, i.e.,

Rank CT

i

= p

i

where i = 1 and 2. If the vectors in either F

1

or F

2

are not output separable, from Sec-

tion 2.4, a new basis for F

1

or F

2

can be found such that the vectors in F

1

and F

2

are

output separable, respectively.

Remark 9. For time-invariant systems, if the invariant zero directions of (C, A, F

2

)

are not in the invariant subspace of F

2

generated by the ﬁlter, the associated invariant

zeros will become part of the eigenvalues of the ﬁlter (Massoumnia et al., 1989). From

Section 2.5, the invariant zero directions of (C, A, F

2

) are in the invariant subspace of

F

2

if the nuisance fault direction F

2

is modiﬁed.

54

3.2 Problem Formulation

In this section, the approximate unknown input observer problem is formulated based

on a linear system with all the disturbance inputs modeled as zero mean, white

Gaussian noise. Consider a linear system similar to (3.3),

˙ x = Ax +B

u

u +B

w

w +F

1

µ

1

+F

2

µ

2

(3.7a)

y = Cx +v (3.7b)

where w is the process noise, v is the sensor noise, and B

w

can be time-varying.

Assume that the unknown and arbitrary failure modes µ

1

, µ

2

, and the disturbances

w, v are zero mean, white Gaussian noise with variance

E[µ

1

(t)µ

1

(τ)

T

] = Q

1

δ(t −τ) (3.8a)

E[µ

2

(t)µ

2

(τ)

T

] = Q

2

δ(t −τ) (3.8b)

E[w(t)w(τ)

T

] = Q

w

δ(t −τ) (3.8c)

E[v(t)v(τ)

T

] = V δ(t −τ) (3.8d)

and the initial state is a random vector with zero mean and

E[x(t

0

)x(t

0

)

T

] = P

0

(3.8e)

where E[•] is the expectation operator. Also, µ

1

, µ

2

, w and v are uncorrelated with

each other and with x(t

0

).

The objective of the optimal stochastic fault detection ﬁlter problem is to ﬁnd a

ﬁlter gain L for the linear observer,

˙

ˆ x = Aˆ x +B

u

u +L(y −Cˆ x) (3.9)

and a projector

ˆ

H for the residual,

r =

ˆ

H(y −Cˆ x) (3.10)

55

such that the residual is aﬀected primarily by the target fault µ

1

and minimally

by the nuisance fault µ

2

, process noise w, sensor noise v and initial condition error

x(t

0

) − ˆ x(t

0

).

By using (3.7) and (3.9), the dynamic equation of the error, e = x − ˆ x, is

˙ e = (A −LC)e +F

1

µ

1

+F

2

µ

2

+B

w

w −Lv

Then, the error can be written as

e(t) = Φ(t, t

0

)e(t

0

) +

t

t

0

Φ(t, τ)(F

1

µ

1

+F

2

µ

2

+B

w

w −Lv)dτ (3.11)

subject to

d

dt

Φ(t, t

0

) = (A −LC)Φ(t, t

0

) , Φ(t

0

, t

0

) = I (3.12)

The residual (3.10) can be written as

r =

ˆ

H(Ce +v)

Now a cost criterion is needed for deriving the ﬁlter gain L and the projector

ˆ

H.

If the cost criterion is associated with the residual, it is unusable from the statistical

viewpoint since the variance of the residual generates a δ-function due to the sensor

noise. Therefore, the cost criterion will be associated with the projected output error

ˆ

HCe. In order to determine the cost criterion, deﬁne

h

1

(t)

=

ˆ

HC

t

t

0

Φ(t, τ)F

1

µ

1

dτ (3.13a)

h

2

(t)

=

ˆ

HC

t

t

0

Φ(t, τ)F

2

µ

2

dτ (3.13b)

h

v

(t)

=

ˆ

HC

¸

Φ(t, t

0

)e(t

0

) +

t

t

0

Φ(t, τ)(B

w

w −Lv)dτ

(3.13c)

From (3.11), h

1

represents the transmission from µ

1

to

ˆ

HCe. h

2

represents the

transmission from µ

2

to

ˆ

HCe. h

v

represents the transmission from w, v and e(t

0

) to

56

ˆ

HCe. Since the objective of the optimal stochastic fault detection ﬁlter problem is

to make

ˆ

HCe sensitive to µ

1

, but insensitive to µ

2

, w, v and e(t

0

). Thus, h

2

and h

v

are to be minimized while h

1

is to be maximized.

Therefore, the optimal stochastic fault detection ﬁlter problem is to ﬁnd the ﬁlter

gain L and the projector

ˆ

H which minimize the cost criterion,

J = tr

1

γ

E[h

2

(t)h

2

(t)

T

] + E[h

v

(t)h

v

(t)

T

] −E[h

1

(t)h

1

(t)

T

]

(3.14)

where t is the current time and γ is a small positive scalar. Making γ small places

a large weighting on reducing the nuisance fault transmission. The trace operator

forms a scalar cost criterion of the matrix output error variance.

3.3 Solution

In this section, the minimization problem given by (3.14) is solved. By using (3.8)

and (3.13), the cost criterion, rewritten as

J = tr

¸

ˆ

HC

t

t

0

Φ(t, τ)

LV L

T

+

1

γ

F

2

Q

2

F

T

2

−F

1

Q

1

F

T

1

+B

w

Q

w

B

T

w

Φ(t, τ)

T

dτC

T

ˆ

H

+

ˆ

HCΦ(t, t

0

)P

0

Φ(t, t

0

)

T

C

T

ˆ

H

**is to be minimized with respect to L and
**

ˆ

H subject to (3.12) and that

ˆ

H is a projector.

To put the minimization problem in a more transparent context, J is manipulated in

the following. By adding the zero term

tr

ˆ

HCΦ(t, t)P(t)Φ(t, t)

T

C

T

ˆ

H −

ˆ

HCΦ(t, t

0

)P(t

0

)Φ(t, t

0

)

T

C

T

ˆ

H

−

ˆ

HC

t

t

0

d

dτ

[Φ(t, τ)P(τ)Φ(t, τ)] dτC

T

ˆ

H

57

to J and using (3.12),

J = tr

ˆ

HC

t

t

0

Φ(t, τ)

(L −PC

T

V

−1

)V (L −PC

T

V

−1

)

T

−

˙

P +AP +PA

T

−PC

T

V

−1

CP +

1

γ

F

2

Q

2

F

T

2

−F

1

Q

1

F

T

1

+B

w

Q

w

B

T

w

Φ(t, τ)

T

dτC

T

ˆ

H

+

ˆ

HCΦ(t, t

0

)[P

0

−P(t

0

)]Φ(t, t

0

)

T

C

T

ˆ

H +

ˆ

HCP(t)C

T

ˆ

H

¸

Then, the problem can be rewritten as

min

L,

ˆ

H

J = min

L,

ˆ

H

tr

¸

ˆ

HC

t

t

0

Φ(t, τ)(L −PC

T

V

−1

)V (L −PC

T

V

−1

)

T

Φ(t, τ)

T

dτC

T

ˆ

H

+

ˆ

HCP(t)C

T

ˆ

H

(3.15)

subject to (3.12) and that

ˆ

H is a projector where

˙

P =AP +PA

T

−PC

T

V

−1

CP +

1

γ

F

2

Q

2

F

T

2

−F

1

Q

1

F

T

1

+B

w

Q

w

B

T

w

, P(t

0

)=P

0

(3.16)

By inspection, the optimal solution for the ﬁlter gain is

L

∗

= PC

T

V

−1

(3.17)

After applying (3.17) to (3.15), the problem reduces to

min

ˆ

H

J = min

ˆ

H

tr[

ˆ

HCP(t)C

T

ˆ

H] (3.18)

subject to that

ˆ

H is a projector. This is an eigenvalue problem. If the rank of

ˆ

H is

chosen as one,

ˆ

H

∗

= ρ

m

ρ

T

m

(3.19)

where ρ

m

is the eigenvector of CP(t)C

T

associated with the smallest eigenvalue λ

m

and m = dimY. The minimal cost J

∗

= λ

m

. Note that (3.19) is a projector such

that

ˆ

H

∗

: Y→Y , Ker

ˆ

H

∗

=Im[ ρ

1

· · · ρ

m−1

] ,

ˆ

H

∗

=I −[ ρ

1

· · · ρ

m−1

][ ρ

1

· · · ρ

m−1

]

T

(3.20)

58

where ρ

1

· · · ρ

m−1

are the eigenvectors of CP(t)C

T

and their associated eigenvalues

λ

1

≥ λ

2

≥ · · · ≥ λ

m−1

.

In Sections 3.4 and 3.5, it is shown that CP(t)C

T

has p

2

inﬁnite eigenvalues in

the limit as γ →0 where p

2

= dimF

2

. Therefore, CP(t)C

T

has p

2

large eigenvalues

when γ is small. Then, if the rank of

ˆ

H is chosen as m−p

2

,

ˆ

H

∗

= [ ρ

m

· · · ρ

p

2

+1

][ ρ

m

· · · ρ

p

2

+1

]

T

(3.21)

where ρ

m

· · · ρ

p

2

+1

are the eigenvectors associated with the smallest m−p

2

eigenval-

ues. (3.21) can be written as

ˆ

H

∗

: Y→Y , Ker

ˆ

H

∗

=Im[ ρ

1

· · · ρ

p

2

] ,

ˆ

H

∗

=I −[ ρ

1

· · · ρ

p

2

][ ρ

1

· · · ρ

p

2

]

T

(3.22)

Note that J

∗

=

¸

m

i=p

2

+1

λ

i

, the sum of the smallest m−p

2

eigenvalues of CP(t)C

T

.

In Sections 3.4 and 3.5, it is shown that Im[ ρ

1

· · · ρ

p

2

] contains the nuisance

fault in the limit. Therefore, (3.22) becomes equivalent to the projector used by

the classical unknown input observer in the limit. Although the J

∗

associated with

(3.22) is larger than the J

∗

associated with (3.20), (3.22) allows more target fault

transmission because it only blocks p

2

directions and (3.20) blocks m−1 directions

where p

2

≤ m−1. Therefore, (3.22) is a better choice for

ˆ

H

∗

than (3.20) for the

purpose of fault detection.

Remark 10. For implementation, the ﬁlter gain (3.17) and the projector (3.22) have

to be constructed continuously with respect to time because in the cost criterion, t is

the current time.

Remark 11. When Q

1

= 0, there exists a positive deﬁnite P that satisﬁes (3.16)

and the ﬁlter is stable. When Q

1

increases, P becomes less positive deﬁnite because

−F

1

Q

1

F

T

1

is nonpositive deﬁnite in

˙

P. Eventually, P becomes indeﬁnite if the sta-

bilizing solution exists. For time-invariant systems and the steady-state case, some

59

eigenvalues of the ﬁlter move towards the imaginary axis as Q

1

increases. This can be

interpreted as an attempt to make the residual sensitive to the target fault. If Q

1

is too

large, the target fault could destabilize the ﬁlter. This is illustrated by the numerical

example in Section 3.6.3.

3.4 Limiting Case

In this section, some properties of the optimal stochastic fault detection ﬁlter are

determined for the limiting case where γ →0. It is shown that the ﬁlter generates an

invariant subspace for the nuisance fault in the limit. This invariant subspace is equiv-

alent to the minimal (C, A)-unobservability subspace for time-invariant systems and a

similar invariant subspace for time-varying systems. Therefore, the optimal stochastic

fault detection ﬁlter becomes equivalent to the unknown input observer in the limit

and extends the unknown input observer to the time-varying case. The minimal

(C, A)-unobservability subspace of F

2

is the unobservable subspace of (

˜

HC, A −LC)

(Massoumnia et al., 1989) for some ﬁlter gains L and

˜

H : Y →Y , Ker

˜

H = Im[ CA

β

1

f

1

· · · CA

βp

2

f

p

2

]

˜

H = I −(Ker

˜

H)[(Ker

˜

H)

T

(Ker

˜

H)]

−1

(Ker

˜

H)

T

(3.23)

For time-varying systems,

˜

H is (Chung and Speyer, 1998)

˜

H : Y →Y , Ker

˜

H = Im[ C(t)b

1,β

1

· · · C(t)b

p

2

,βp

2

]

˜

H = I −(Ker

˜

H)[(Ker

˜

H)

T

(Ker

˜

H)]

−1

(Ker

˜

H)

T

(3.24)

Assume the Riccati matrix P (3.16) is positive deﬁnite. Then, P can be written

as

P(t) =

n

¸

i=1

1

¯

λ

i

ρ

i

ρ

T

i

60

where

¯

λ

i

is the inverse of the ith eigenvalue of P and ρ

i

is the associated eigenvector.

In the limit, P goes to inﬁnity because of the term

1

γ

F

2

Q

2

F

T

2

in (3.16). Therefore,

some of the

¯

λ

i

’s go to zero. Let

Π(t) = P(t)

−1

=

n

¸

i=1

¯

λ

i

ρ

i

ρ

T

i

Then, P goes to inﬁnity in the limit along the null space of Π. From (3.16),

−

d

dt

(P

−1

) = P

−1

˙

PP

−1

= P

−1

A+A

T

P

−1

−C

T

V

−1

C+P

−1

1

γ

F

2

Q

2

F

T

2

−F

1

Q

1

F

T

1

+B

w

Q

w

B

T

w

P

−1

Then,

−

˙

Π = ΠA +A

T

Π + Π

1

γ

F

2

Q

2

F

T

2

−F

1

Q

1

F

T

1

+B

w

Q

w

B

T

w

Π −C

T

V

−1

C (3.25)

with initial condition Π

0

= P

−1

0

. In the limit, in order for (3.25) to have a solution,

ΠF

2

→0 as γ →0 (3.26)

Therefore, Ker Π includes F

2

in the limit. Other directions, which are also included

in Ker Π, will be obtained shortly. The result is that Ker Π is equivalent to the min-

imal (C, A)-unobservability subspace of F

2

for time-invariant systems and a similar

invariant subspace for time-varying systems. Theorem 3.1 shows that Ker Π is a

(C, A)-invariant subspace in the limit. Theorem 3.2 shows that Ker Π contains the

minimal (C, A)-invariant subspace of F

2

in the limit.

Theorem 3.1. In the limit, Ker Π is a (C, A)-invariant subspace.

Proof. The optimal stochastic fault detection ﬁlter can be written as

Π

˙

ˆ x = ΠAˆ x + ΠB

u

u +C

T

V

−1

(y −Cˆ x)

61

The dynamic equation of the error, e = x − ˆ x, in the absence of the target fault,

process noise and sensor noise is

Π˙ e = (ΠA −C

T

V

−1

C)e + ΠF

2

µ

2

By adding

˙

Πe to both sides and using (3.25),

d

dt

(Πe) = −

¸

A

T

+ Π

1

γ

F

2

Q

2

F

T

2

−F

1

Q

1

F

T

1

+B

w

Q

w

B

T

w

Πe + ΠF

2

µ

2

(3.27)

In the limit, if the error initially lies in Ker Π, (3.27) implies that the error will never

leave Ker Π because of (3.26). Therefore, Ker Π is a (C, A)-invariant subspace.

Theorem 3.2. In the limit as γ →0, for time-varying systems

Π

b

1,0

b

1,1

· · · b

1,β

1

· · · b

p

2

,0

b

p

2

,1

· · · b

p

2

,βp

2

→0

and for time-invariant systems,

Π

f

1

Af

1

· · · A

β

1

f

1

· · · f

p

2

Af

p

2

· · · A

βp

2

f

p

2

→0

Proof. In the limit, from (3.26),

d

dt

(Πb

1,0

) =

˙

Πb

1,0

+ Π

˙

b

1,0

→0 (3.28)

By multiplying (3.25) by b

T

1,0

from the left and b

1,0

from the right and using (3.26),

1

√

γ

F

T

2

Πb

1,0

→0 (3.29)

By using (3.28), (3.25), (3.26) and (3.29),

Πb

1,1

= Π(Ab

1,0

−

˙

b

1,0

) →C

T

V

−1

Cb

1,0

= 0

Similarly, it can be shown

d

dt

(Πb

1,1

) →0 ⇒Πb

1,2

→0

62

By iterating this procedure,

Π

b

1,0

b

1,1

· · · b

1,β

1

→0

Similarly, it can be shown that Π[ b

i,0

, b

i,1

, · · · , b

i,β

i

] →0 for i = 2, · · · , p

2

. There-

fore, for time-varying systems, in the limit, Ker Π contains the minimal (C, A)-

invariant subspace of F

2

. For time-invariant systems, the proof is similar.

For time-invariant systems, from Theorem 3.2 and Assumption 3.4, Ker Π con-

tains the minimal (C, A)-unobservability subspace of F

2

in the limit. In Section 2.5,

Theorem 2.3 shows that Ker Π is contained in the minimal (C, A)-unobservability

subspace of F

2

in the limit. Therefore, Ker Π is equivalent to the minimal (C, A)-

unobservability subspace of F

2

in the limit, and the optimal stochastic fault detection

ﬁlter becomes equivalent to the unknown input observer. Note that the invariant zero

and the minimal (C, A)-unobservability subspace are only deﬁned for time-invariant

systems. For time-varying systems, Theorems 3.1, 3.2 and 2.3 imply that Ker Π is

a similar invariant subspace in the limit. Therefore, the optimal stochastic fault

detection ﬁlter extends the unknown input observer to the time-varying case.

Remark 12. Since P goes to inﬁnity in the limit along Ker Π, CPC

T

goes to inﬁn-

ity along C Ker Π where C Ker Π = [ CA

β

1

f

1

· · · CA

βp

2

f

p

2

] for time-invariant systems

and C Ker Π = [ C(t)b

1,β

1

· · · C(t)b

p

2

,βp

2

] for time-varying systems. Therefore, CPC

T

has p

2

inﬁnite eigenvalues in the limit. Since CPC

T

goes to inﬁnity along C Ker Π and

C Ker Π contains the nuisance fault in the limit, the eigenvectors of CPC

T

associated

with the p

2

inﬁnite eigenvalues contain the nuisance fault. Therefore, in the limit,

(3.22) is equivalent to (3.23) or (3.24), the projectors used by the classical unknown

input observer.

Remark 13. By using the optimal ﬁlter gain (3.17) and projector (3.22), the

63

minimization problem (3.14) can be written as

1

γ

tr{E[h

2

(t)h

2

(t)

T

]} + tr{E[h

v

(t)h

v

(t)

T

]} −tr{E[h

1

(t)h

1

(t)

T

]} =

n

¸

i=k

2

+1

λ

i

⇒

tr{E[h

2

(t)h

2

(t)

T

]} +γ tr{E[h

v

(t)h

v

(t)

T

]}

tr{E[h

1

(t)h

1

(t)

T

]}

= γ

1 +

¸

n

i=k

2

+1

λ

i

tr{E[h

1

(t)h

1

(t)

T

]}

**In the limit as γ →0,
**

tr{E[h

2

(t)h

2

(t)

T

]}

tr{E[h

1

(t)h

1

(t)

T

]}

→0

This implies that the transmission from the nuisance fault to the residual is zero.

Therefore, the nuisance fault is completely blocked.

In this section, some properties of the Riccati matrices P and Π are determined

for the limiting case. However, how P and Π approach the limit and what they are in

the limit are still unknown. The next section will answer these questions by using an

asymptotic expansion of P and Π in which they are explicitly expressed as functions

of γ.

3.5 Perturbation Analysis

In this section, a perturbation analysis of the steady-state Riccati matrix Π (3.25)

for the time-invariant case with small γ is given. Consider

0 = ΠA +A

T

Π + Π

1

γ

F

2

Q

2

F

T

2

−F

1

Q

1

F

T

1

Π −C

T

V

−1

C (3.30)

In Section 3.5.1, Π is expanded around γ = 0. This shows explicitly how Π approaches

the limit and what Π and its null space are in the limit. In Section 3.5.2, the inverse

of Π is discussed. This shows explicitly how P approaches the limit and what P is

in the limit.

64

3.5.1 Expansion

In this section, Π is expanded around γ = 0 as

Π = Π

0

+γ

1/4

Π

1

+γ

1/2

Π

2

+γ

3/4

Π

3

+γΠ

4

+· · · (3.31)

By substituting (3.31) into (3.30) and collecting terms of common power, the equa-

tions used for solving Π are obtained in Lemma 3.3.

Lemma 3.3.

Π =

u

1

u

2

¸

0 0

0 Π

022

¸

u

T

1

u

T

2

+γ

1/4

u

1

u

2

¸

0 0

0 Π

122

¸

u

T

1

u

T

2

+γ

1/2

u

1

u

2

¸

Π

211

Π

212

Π

T

212

Π

222

¸

u

T

1

u

T

2

+γ

3/4

u

1

u

2

¸

Π

311

Π

312

Π

T

312

Π

322

¸

u

T

1

u

T

2

+· · ·

where

F

2

Q

2

F

T

2

=

u

1

u

2

¸

σ 0

0 0

¸

u

T

1

u

T

2

= u

1

σu

T

1

and σ > 0. Note that

¯

U = [ u

1

u

2

],

¯

U

¯

U

T

= I,

¯

U

T

=

¯

U

−1

and Imu

1

= ImF

2

. For

example, u

1

= F

2

(F

T

2

F

2

)

−1/2

. Π

022

, Π

211

and Π

212

require the solution to

0 = Π

211

σΠ

211

−R

11

(3.32a)

0 = Π

T

212

σΠ

211

+ Π

022

A

21

−R

T

12

(3.32b)

0 = Π

022

A

22

+A

T

22

Π

022

−Π

022

Q

22

Π

022

−R

22

+ Π

T

212

σΠ

212

(3.32c)

Π

122

, Π

311

and Π

312

require the solution to

0 = Π

311

σΠ

211

+ Π

211

σΠ

311

(3.33a)

0 = Π

T

312

σΠ

211

+ Π

122

A

21

+ Π

T

212

σΠ

311

(3.33b)

0 = Π

122

(A

22

−Q

22

Π

022

) + (A

22

−Q

22

Π

022

)

T

Π

122

+ Π

T

212

σΠ

312

+ Π

T

312

σΠ

212

(3.33c)

65

where

¸

u

T

1

u

T

2

A

u

1

u

2

=

¸

A

11

A

12

A

21

A

22

¸

u

T

1

u

T

2

F

1

Q

1

F

T

1

u

1

u

2

=

¸

Q

11

Q

12

Q

T

12

Q

22

¸

u

T

1

u

T

2

C

T

V

−1

C

u

1

u

2

=

¸

R

11

R

12

R

T

12

R

22

**The equations for higher-order terms can be found in Appendix 3.7.1.
**

Proof. See Appendix 3.7.1.

In Lemma 3.4, the asymptotic solution of (3.32) and (3.33) is obtained when

CF

2

= 0. In Lemma 3.5, the asymptotic solution is obtained when CF

2

= 0 and

CAF

2

= 0. The generalization, such as CF

2

= CAF

2

= 0 and CA

2

F

2

= 0, can be

derived similarly.

Lemma 3.4. When CF

2

= 0,

Π =

u

1

u

2

¸

0 0

0 Π

022

¸

u

T

1

u

T

2

+γ

1/2

u

1

u

2

¸

Π

211

Π

212

Π

T

212

Π

T

212

Π

−1

211

Π

212

¸

u

T

1

u

T

2

+· · ·

where

0 = Π

022

(A

22

−A

21

R

−1

11

R

12

) + (A

22

−A

21

R

−1

11

R

12

)

T

Π

022

+ Π

022

(A

21

R

−1

11

A

T

21

−Q

22

)Π

022

−(R

22

−R

T

12

R

−1

11

R

12

)

0 = Π

211

σΠ

211

−R

11

Π

212

= σ

−1

Π

−1

211

(R

12

−A

T

21

Π

022

)

Proof. See Appendix 3.7.2.

In the limit, when CF

2

= 0,

Π =

u

1

u

2

¸

0 0

0 Π

022

¸

u

T

1

u

T

2

66

Note that Π

022

is positive deﬁnite when (C, A, F

2

) does not have any invariant zero.

Therefore, Ker Π =Imu

1

= ImF

2

in the limit. From Section 2.5, when (C, A, F

2

) has

invariant zeros, the nuisance fault direction F

2

is replaced by the invariant zero direc-

tion ν. Since Cν = 0, the case where Cν = 0 and CAν = 0 is included in Lemma 3.5.

Lemma 3.5. When CF

2

= 0 and CAF

2

= 0,

Π =

u

1

u

2

v

1

u

2

v

2

γ

3/4

Π

311

γ

1/2

Π

2121

γ

1/2

Π

2122

γ

1/2

Π

T

2121

γ

1/4

Π

12211

γ

1/4

Π

12212

γ

1/2

Π

T

2122

γ

1/4

Π

T

12212

Π

02222

¸

¸

u

T

1

v

T

1

u

T

2

v

T

2

u

T

2

¸

¸

+· · ·

where

¯

V = [ v

1

v

2

],

¯

V

¯

V

T

= I,

¯

V

T

=

¯

V

−1

and Imv

1

= ImA

21

. Note that only the

highest-order term for each element is kept for simplicity. The equation for each

element can be found in Appendix 3.7.3.

Proof. See Appendix 3.7.3.

In the limit, when CF

2

= 0 and CAF

2

= 0,

Π =

u

1

u

2

v

1

u

2

v

2

0 0 0

0 0 0

0 0 Π

02222

¸

¸

u

T

1

v

T

1

u

T

2

v

T

2

u

T

2

¸

¸

Note that Π

02222

is positive deﬁnite when (C, A, F

2

) does not have any invariant

zero. Therefore, Ker Π = Im[ u

1

u

2

v

1

] = Im[ F

2

AF

2

] in the limit. From Section 2.5,

when (C, A, F

2

) has invariant zeros, the nuisance fault direction F

2

is replaced by the

invariant zero direction ν. Since Cν = CAν = 0, the case where Cν = CAν = 0 and

CA

2

ν = 0 is included in the case where CF

2

= CAF

2

= 0 and CA

2

F

2

= 0 which can

be derived similarly.

3.5.2 Analysis

In this section, the inverse of Π is discussed. This shows explicitly how P approaches

the limit and what P is in the limit. In Lemma 3.6, P is discussed when CF

2

= 0.

In Lemma 3.7, P is discussed when CF

2

= 0 and CAF

2

= 0.

67

Lemma 3.6. When CF

2

= 0,

P = γ

−1/2

u

1

u

2

¸

Π

−1

211

0

0 0

¸

u

T

1

u

T

2

+

u

1

u

2

¸

Π

−1

211

(Π

212

Π

−1

022

Π

T

212

−Π

411

)Π

−1

211

−Π

−1

211

Π

212

Π

−1

022

−Π

−1

022

Π

T

212

Π

−1

211

Π

−1

022

¸

u

T

1

u

T

2

+· · · (3.34)

Proof. By using Lemma 3.4 and matrix inversion lemma, P in the above form is

obtained. Note that Π

211

and Π

022

are invertible from Appendix 3.7.2.

Lemma 3.7. When CF

2

= 0 and CAF

2

= 0,

P =

u

1

u

2

v

1

u

2

v

2

¸

¯

Π

1111

¯

Π

1112

¯

Π

T

1112

¯

Π

1122

¯

Π

12

¯

Π

T

12

Π

−1

02222

¸

¸

¸

u

T

1

v

T

1

u

T

2

v

T

2

u

T

2

¸

¸

+· · · (3.35)

where

¯

Π

1111

= γ

−3/4

(Π

311

−Π

2121

Π

−1

12211

Π

T

2121

)

−1

¯

Π

1112

= −γ

−1/2

Π

−1

311

Π

2121

(Π

12211

−Π

T

2121

Π

−1

311

Π

2121

)

−1

¯

Π

1122

= γ

−1/4

(Π

12211

−Π

T

2121

Π

−1

311

Π

2121

)

−1

¯

Π

12

=

¸

0

(Π

12211

−Π

T

2121

Π

−1

311

Π

2121

)

−1

(Π

T

2121

Π

−1

311

Π

2122

−Π

12212

)

**Note that only the highest-order term for each element is kept for simplicity.
**

Proof. See Appendix 3.7.4.

In the limit, from Lemma 3.6, when CF

2

= 0, P goes to inﬁnity in the direction

of u

1

which is equivalent to F

2

. In the limit, from Lemma 3.7, when CF

2

= 0 and

CAF

2

= 0, P goes to inﬁnity in the directions of u

1

and u

2

v

1

which are equivalent to

F

2

and AF

2

.

Remark 14. By using the result from (Kwakernaak and Sivan, 1972b), for time-

invariant systems and the steady-state case, under the assumption that (C, A, F

2

)

68

does not have right-half plane invariant zeros,

γP →0 (3.36a)

L →

1

γ

1/2

F

2

Q

1/2

2

U

T

V

−1/2

(3.36b)

as γ →0 where U is an arbitrary m by p

2

matrix such that U

T

U = I.

By multiplying (3.34) and (3.35) by γ, (3.36a) is satisﬁed. By substituting (3.34)

into (3.17),

L →

1

γ

1/2

u

1

Π

−1

211

u

T

1

C

T

V

−1

as γ →0. Then, L goes to inﬁnity along the direction of

1

γ

1/2

F

2

because Imu

1

= ImF

2

,

and this is consistent with (3.36b). By substituting (3.35) into (3.17),

L →

1

γ

1/2

u

1

Π

−1

311

Π

2121

(Π

12211

−Π

T

2121

Π

−1

311

Π

2121

)

−1

v

T

1

u

T

2

C

T

+

1

γ

1/4

u

2

v

1

(Π

12211

−Π

T

2121

Π

−1

311

Π

2121

)

−1

v

T

1

u

T

2

C

T

as γ →0. Then, L goes to inﬁnity essentially along the direction of

1

γ

1/2

F

2

, and this

is consistent with (3.36b). However, L also goes to inﬁnity along the direction of

1

γ

1/4

AF

2

because Im[ u

1

u

2

v

1

] = Im[ F

2

AF

2

]. Therefore, the perturbation approach

is consistent with the result from (Kwakernaak and Sivan, 1972b). However, it pro-

vides more information about L and P.

3.6 Example

In this section, three numerical examples are used to demonstrate the performance

of the optimal stochastic fault detection ﬁlter. In Section 3.6.1, the ﬁlter is applied

to a time-invariant system. In Section 3.6.2, the ﬁlter is applied to a time-varying

system. In Section 3.6.3, the eﬀect of the target fault’s power spectral density Q

1

on

the Riccati matrix P and the ﬁlter is discussed.

69

3.6.1 Example 1

This time-invariant system is from (White and Speyer, 1987).

A =

0 3 4

1 2 3

0 2 5

¸

¸

, C =

¸

0 1 0

0 0 1

, F

1

=

0

0

1

¸

¸

, F

2

=

5

1

1

¸

¸

where F

1

is the target fault direction and F

2

is the nuisance fault direction. There

is no process noise. The power spectral densities are chosen as Q

1

= 1, Q

2

= 1 and

V = I. The steady-state solutions to the Riccati equation (3.16) when γ = 10

−4

and

10

−6

are obtained, respectively. Figure 3.1 shows the frequency response from both

faults to the residual (3.10). The left one is γ = 10

−4

, and the right one is γ = 10

−6

.

In each ﬁgure, there are two solid lines representing the frequency response from the

target fault to the residual with projectors (3.22) and (3.23), respectively. Note that

the two solid lines are overlapped. The dashdot line and the dashed line represent

the frequency response from the nuisance fault to the residual with projectors (3.22)

and (3.23), respectively. This example shows that the nuisance fault transmission

can be decreased by using a smaller γ while the target fault transmission is not

aﬀected. Also, the projector (3.22), derived from solving the minimization problem,

is better than (3.23), used by classical unknown input observer, at low frequency.

This suggests that (3.23) might not be the best choice for the approximate unknown

input observer.

3.6.2 Example 2

This time-varying system is from modifying the time-invariant system in the previous

section by adding some time-varying elements to A and F

2

matrices while C and F

1

matrices are the same.

A =

−cos(t) 3 + 2sin(t) 4

1 2 3 −2cos(t)

5sin(t) 2 5 + 3cos(t)

¸

¸

, F

2

=

5 −2cos(t)

1

1 +sin(t)

¸

¸

70

10

0

10

5

-250

-200

-150

-100

-50

0

gamma = 10^(-4)

Frequency (rad/s)

S

i

n

g

u

l

a

r

v

a

l

u

e

(

d

b

)

10

0

10

5

-250

-200

-150

-100

-50

0

gamma = 10^(-6)

Frequency (rad/s)

S

i

n

g

u

l

a

r

v

a

l

u

e

(

d

b

)

Figure 3.1: Frequency response from both faults to the residual

The Riccati equation (3.16) is solved with Q

1

= 1, Q

2

= 1, V = I and γ = 10

−5

for

t ∈ [0, 25]. Figure 3.2 shows the time response of the norm of the residual (3.10) when

there is no fault, a target fault and a nuisance fault, respectively. The faults are unit

steps that occur at the ﬁfth second. In each case, there is no sensor noise. The left

three ﬁgures use projector (3.22) and the right three ﬁgures use (3.23). There is a

transient response until about two seconds due to the initial condition error. This

example shows that the ﬁlter works well for time-varying systems and projector (3.22)

blocks the nuisance fault better than (3.23). This suggests that (3.23) might not be

the best choice for the approximate unknown input observer.

3.6.3 Example 3

This example shows how the target fault’s power spectral density Q

1

aﬀects the

Riccati matrix P (3.16) and the ﬁlter. The system matrices are

A =

¸

−3 2

−5 −1

, C =

¸

1 0

0 1

, F

1

=

¸

1

0

, F

2

=

¸

0

1

71

0 5 10 15 20 25

0

0.5

1

x 10

-3

Nuisance fault

Time (sec)

R

e

s

i

d

u

a

l

Projector (3.22) Projector (3.23)

0 5 10 15 20 25

0

0.2

0.4

0.6

Target fault

R

e

s

i

d

u

a

l

0 5 10 15 20 25

0

0.5

1

x 10

-3

No fault

R

e

s

i

d

u

a

l

0 5 10 15 20 25

0

0.5

1

x 10

-3

No fault

R

e

s

i

d

u

a

l

0 5 10 15 20 25

0

0.2

0.4

0.6

Target fault

R

e

s

i

d

u

a

l

0 5 10 15 20 25

0

0.5

1

x 10

-3

Nuisance fault

Time (sec)

R

e

s

i

d

u

a

l

Figure 3.2: Time response of the residual

where F

1

is the target fault direction and F

2

is the nuisance fault direction. There is no

process noise. The steady-state solutions to the Riccati equation (3.16) with Q

2

= 1,

V = I and γ = 10

−5

are obtained for Q

1

between 0 and 12. The upper two ﬁgures

of Figure 3.3 show how Q

1

aﬀects the deﬁniteness of P by plotting the eigenvalues

of P versus Q

1

. When Q

1

increases, one of the eigenvalues decreases showing that P

is less positive deﬁnite and eventually, P becomes indeﬁnite. When Q

1

is too large,

a stabilizing P can not be found. The lower two ﬁgures of Figure 3.3 show how Q

1

aﬀects the eigenvalues of the ﬁlter. When Q

1

increases, one of the ﬁlter eigenvalues

moves towards the imaginary axis while the other eigenvalue, which is associated with

the nuisance fault, stays the same. This indicates the ability of detecting the target

fault is increased by using a larger Q

1

while the ability of blocking the nuisance fault

is not aﬀected. Figure 3.4 shows the frequency response from the target fault to the

residual (3.10) for diﬀerent Q

1

. It shows the sensitivity of the residual to the target

fault can be enhanced by using a larger Q

1

.

72

0 2 4 6 8 10

-3

-2

-1

0

1

1st eigenvalue of P

Q1

E

i

g

e

n

v

a

l

u

e

0 2 4 6 8 10

315

315.2

315.4

315.6

315.8

316

2nd eigenvalue of P

Q1

E

i

g

e

n

v

a

l

u

e

0 2 4 6 8 10

-4

-3

-2

-1

0

1st filter eigenvalue

Q1

E

i

g

e

n

v

a

l

u

e

0 2 4 6 8 10

-317

-316.8

-316.6

-316.4

-316.2

-316

2nd filter eigenvalue

Q1

E

i

g

e

n

v

a

l

u

e

Figure 3.3: Eigenvalues of the Riccati matrix P and the ﬁlter for diﬀerent Q

1

10

-3

10

-2

10

-1

10

0

10

1

10

2

10

3

0

0.2

0.4

0.6

0.8

1

1.2

Frequency (rad/s)

S

i

n

g

u

l

a

r

v

a

l

u

e

Q1 = 0

Q1 = 6

Q1 = 12

Figure 3.4: Frequency response from the target fault to the residual

73

3.7 Appendix

In this section, the proof of Lemmas 3.3, 3.4, 3.5 and 3.7 are given.

3.7.1 Proof of Lemma 3.3

By substituting (3.31) into (3.30) and collecting terms of common power,

γ

−1

: 0 = Π

0

¯

Q

2

Π

0

(3.37a)

γ

−3/4

: 0 = Π

1

¯

Q

2

Π

0

+ Π

0

¯

Q

2

Π

1

(3.37b)

γ

−1/2

: 0 = Π

2

¯

Q

2

Π

0

+ Π

1

¯

Q

2

Π

1

+ Π

0

¯

Q

2

Π

2

(3.37c)

γ

−1/4

: 0 = Π

3

¯

Q

2

Π

0

+ Π

2

¯

Q

2

Π

1

+ Π

1

¯

Q

2

Π

2

+ Π

0

¯

Q

2

Π

3

(3.37d)

γ

0

: 0 = Π

0

A +A

T

Π

0

−C

T

V

−1

C + Π

4

¯

Q

2

Π

0

+ Π

3

¯

Q

2

Π

1

+ Π

2

¯

Q

2

Π

2

+ Π

1

¯

Q

2

Π

3

+ Π

0

¯

Q

2

Π

4

−Π

0

¯

Q

1

Π

0

(3.37e)

γ

1/4

: 0 = Π

1

A +A

T

Π

1

+ Π

5

¯

Q

2

Π

0

+ Π

4

¯

Q

2

Π

1

+ Π

3

¯

Q

2

Π

2

+ Π

2

¯

Q

2

Π

3

+ Π

1

¯

Q

2

Π

4

+ Π

0

¯

Q

2

Π

5

−Π

1

¯

Q

1

Π

0

−Π

0

¯

Q

1

Π

1

(3.37f)

γ

1/2

: 0 = Π

2

A +A

T

Π

2

+ Π

6

¯

Q

2

Π

0

+ Π

5

¯

Q

2

Π

1

+ Π

4

¯

Q

2

Π

2

+ Π

3

¯

Q

2

Π

3

+ Π

2

¯

Q

2

Π

4

+ Π

1

¯

Q

2

Π

5

+ Π

0

¯

Q

2

Π

6

−Π

2

¯

Q

1

Π

0

−Π

1

¯

Q

1

Π

1

−Π

0

¯

Q

1

Π

2

(3.37g)

.

.

.

where

¯

Q

2

= F

2

Q

2

F

T

2

and

¯

Q

1

= F

1

Q

1

F

T

1

.

From (3.37a), Ker Π

0

contains F

2

. Π

0

can be written as

Π

0

=

u

1

u

2

¸

0 0

0 Π

022

¸

u

T

1

u

T

2

= u

2

Π

022

u

T

2

(3.38)

where Π

022

is to be determined. Note that (3.37b) is trivially satisﬁed because of

(3.38). By using (3.38) and (3.37c),

Π

1

=

u

1

u

2

¸

0 0

0 Π

122

¸

u

T

1

u

T

2

= u

2

Π

122

u

T

2

(3.39)

74

where Π

122

is to be determined. Note that (3.37d) is trivially satisﬁed because of

(3.38) and (3.39).

By using (3.38) and (3.39), (3.37e) becomes

0 = Π

0

A +A

T

Π

0

−C

T

V

−1

C + Π

2

¯

Q

2

Π

2

−Π

0

¯

Q

1

Π

0

(3.40)

Let

Π

2

=

u

1

u

2

¸

Π

211

Π

212

Π

T

212

Π

222

¸

u

T

1

u

T

2

(3.41)

By multiplying (3.40) by [ u

1

u

2

]

T

from the left and [ u

1

u

2

] from the right and

substituting (3.38) and (3.41), (3.32) is obtained.

By using (3.38) and (3.39), (3.37f) becomes

0 = Π

1

(A −

¯

Q

1

Π

0

) + (A −

¯

Q

1

Π

0

)

T

Π

1

+ Π

3

¯

Q

2

Π

2

+ Π

2

¯

Q

2

Π

3

(3.42)

Let

Π

3

=

u

1

u

2

¸

Π

311

Π

312

Π

T

312

Π

322

¸

u

T

1

u

T

2

(3.43)

By multiplying (3.42) by [ u

1

u

2

]

T

from the left and [ u

1

u

2

] from the right and

substituting (3.38), (3.39), (3.41) and (3.43), (3.33) is obtained.

By using (3.38) and (3.39), (3.37g) becomes

0 = Π

2

(A −

¯

Q

1

Π

0

+

¯

Q

2

Π

4

) + (A −

¯

Q

1

Π

0

+

¯

Q

2

Π

4

)

T

Π

2

+ Π

3

¯

Q

2

Π

3

−Π

1

¯

Q

1

Π

1

(3.44)

Let

Π

4

=

u

1

u

2

¸

Π

411

Π

412

Π

T

412

Π

422

¸

u

T

1

u

T

2

(3.45)

75

By multiplying (3.44) by [ u

1

u

2

]

T

from the left and [ u

1

u

2

] from the right and

substituting (3.38), (3.39), (3.41), (3.43) and (3.45),

0 = Π

411

σΠ

211

+ Π

211

σΠ

411

+ Π

311

σΠ

311

+ Π

211

A

11

+A

T

11

Π

211

+ Π

212

A

21

+A

T

21

Π

T

212

(3.46a)

0 = Π

T

412

σΠ

211

+ Π

222

A

21

+ Π

T

212

σΠ

411

+ Π

T

212

A

11

+A

T

22

Π

T

212

+A

T

12

Π

211

−Π

022

Q

22

Π

T

212

−Π

022

Q

T

12

Π

211

+ Π

T

312

σΠ

311

(3.46b)

0 = Π

222

(A

22

−Q

22

Π

022

) + (A

22

−Q

22

Π

022

)

T

Π

222

+ Π

T

212

(A

12

−Q

12

Π

022

+σΠ

412

)

+ (A

12

−Q

12

Π

022

+σΠ

412

)

T

Π

212

+ Π

T

312

σΠ

312

−Π

122

Q

22

Π

122

(3.46c)

The same procedure can be done for the higher-order terms if needed.

3.7.2 Proof of Lemma 3.4

When CF

2

= 0, R

11

is positive deﬁnite because Imu

1

= ImF

2

. Then, Π

211

is also

positive deﬁnite from (3.32a). From (3.32b),

Π

212

= σ

−1

Π

−1

211

(R

12

−A

T

21

Π

022

) (3.47)

By substituting (3.47) into (3.32c) and using (3.32a),

0 = Π

022

(A

22

−A

21

R

−1

11

R

12

) + (A

22

−A

21

R

−1

11

R

12

)

T

Π

022

+ Π

022

(A

21

R

−1

11

A

T

21

−Q

22

)Π

022

−(R

22

−R

T

12

R

−1

11

R

12

) (3.48)

Therefore, the zeroth-order term Π

0

(3.38) can be obtained by solving (3.48). Part

of the second-order term Π

2

(3.41) can be obtained from (3.32a) and (3.47).

From (3.33a),

Π

311

= 0 (3.49)

because σ and Π

211

are positive deﬁnite. By substituting (3.49) into (3.33b),

Π

312

= −σ

−1

Π

−1

211

A

T

21

Π

122

(3.50)

76

By substituting (3.50) into (3.33c),

0 = Π

122

(A

22

−Q

22

Π

022

−A

21

Π

−1

211

Π

212

)+(A

22

−Q

22

Π

022

−A

21

Π

−1

211

Π

212

)

T

Π

122

(3.51)

By using (3.47),

A

22

−Q

22

Π

022

−A

21

Π

−1

211

Π

212

= (A

22

−A

21

R

−1

11

R

12

) −(Q

22

−A

21

R

−1

11

A

T

21

)Π

022

= −[(A

22

−A

21

R

−1

11

R

12

) −Π

−1

022

(R

22

−R

T

12

R

−1

11

R

12

)] (3.52)

Given (A

22

−A

21

R

−1

11

R

12

)−Π

−1

022

(R

22

−R

T

12

R

−1

11

R

12

), the closed-loop A matrix of (3.48),

is stable, A

22

−Q

22

Π

022

−A

21

Π

−1

211

Π

212

is invertible. Then, from (3.51) and (3.50),

Π

122

= 0 (3.53)

Π

312

= 0 (3.54)

Therefore, the ﬁrst-order term Π

1

(3.39) is zero from (3.53). Part of the third-order

term Π

3

(3.43) is also zero from (3.49) and (3.54).

By substituting (3.49) into (3.46a) and (3.46b),

0 = Π

411

σΠ

211

+ Π

211

σΠ

411

+ Π

211

A

11

+A

T

11

Π

211

+ Π

212

A

21

+A

T

21

Π

T

212

(3.55)

Π

412

= −σ

−1

Π

−1

211

[A

T

21

Π

222

+ Π

411

σΠ

212

+A

T

11

Π

212

+ Π

212

A

22

+ Π

211

A

12

−Π

212

Q

22

Π

022

−Π

211

Q

12

Π

022

] (3.56)

By substituting (3.56) into (3.46c) and using (3.55),

0 = (Π

222

−Π

T

212

Π

−1

211

Π

212

)(A

22

−Q

22

Π

022

−A

21

Π

−1

211

Π

212

)

+ (A

22

−Q

22

Π

022

−A

21

Π

−1

211

Π

212

)

T

(Π

222

−Π

T

212

Π

−1

211

Π

212

)

Since A

22

−Q

22

Π

022

−A

21

Π

−1

211

Π

212

is invertible (3.52),

Π

222

= Π

T

212

Π

−1

211

Π

212

(3.57)

Therefore, the second-order term Π

2

(3.41) can be obtained from (3.32a), (3.47) and

(3.57). Part of the fourth-order term Π

4

(3.45) can be obtained from (3.55) and

(3.56). The same procedure can be done for the higher-order terms if needed, i.e.,

obtaining Π

322

and Π

422

.

77

3.7.3 Proof of Lemma 3.5

When CF

2

= 0, R

11

= 0 and R

12

= 0 because Imu

1

= ImF

2

. From (3.32a),

Π

211

= 0 (3.58)

because σ is positive deﬁnite. Then, (3.32b) becomes

Π

022

A

21

= 0 (3.59)

By multiplying (3.59) by u

2

from the left,

Π

0

Au

1

= 0

Since Imu

1

= ImF

2

, Π

0

AF

2

= 0. Therefore, Ker Π

0

also contains AF

2

besides F

2

.

Let

Π

022

=

v

1

v

2

¸

0 0

0 Π

02222

¸

v

T

1

v

T

2

(3.60)

and

Π

212

=

Π

2121

Π

2122

¸

v

T

1

v

T

2

(3.61)

where

¯

V = [ v

1

v

2

],

¯

V

¯

V

T

= I,

¯

V

T

=

¯

V

−1

and Imv

1

= ImA

21

. By multiplying (3.32c)

by [ v

1

v

2

]

T

from the left and [ v

1

v

2

] from the right and substituting (3.60) and

(3.61),

0 = Π

T

2121

σΠ

2121

−R

2211

(3.62a)

0 = Π

T

2122

σΠ

2121

+ Π

02222

A

2221

−R

T

2212

(3.62b)

0 = Π

02222

A

2222

+A

T

2222

Π

02222

−Π

02222

Q

2222

Π

02222

−R

2222

+ Π

T

2122

σΠ

2122

(3.62c)

where

¸

v

T

1

v

T

2

A

22

v

1

v

2

=

¸

A

2211

A

2212

A

2221

A

2222

¸

v

T

1

v

T

2

Q

22

v

1

v

2

=

¸

Q

2211

Q

2212

Q

T

2212

Q

2222

¸

v

T

1

v

T

2

R

22

v

1

v

2

=

¸

R

2211

R

2212

R

T

2212

R

2222

78

Since Imu

1

= ImF

2

, Cu

1

= 0 and CAu

1

= 0. Let Au

1

= u

1

α

1

+u

2

α

2

. Then, Cu

2

α

2

= 0. Since R

2211

= v

T

1

u

T

2

C

T

V

−1

Cu

2

v

1

and Imv

1

= ImA

21

, R

2211

> 0 because

A

T

21

u

T

2

C

T

V

−1

Cu

2

A

21

= u

T

1

A

T

u

2

u

T

2

C

T

V

−1

Cu

2

u

T

2

Au

1

= α

T

2

u

T

2

C

T

V

−1

Cu

2

α

2

> 0

Therefore, from (3.62a), Π

2121

is invertible, but can not be determined uniquely since

it is not symmetric. However, additional constraints are obtained later to determine

Π

2121

uniquely. From (3.62b),

Π

2122

= σ

−1

Π

−T

2121

(R

2212

−A

T

2221

Π

02222

) (3.63)

By substituting (3.63) into (3.62c) and using (3.62a),

0 = Π

02222

(A

2222

−A

2221

R

−1

2211

R

2212

) + (A

2222

−A

2221

R

−1

2211

R

2212

)

T

Π

02222

−Π

02222

(Q

2222

−A

2221

R

−1

2211

A

T

2221

)Π

02222

+R

T

2212

R

−1

2211

R

2212

−R

2222

(3.64)

Therefore, the zeroth-order term Π

0

(3.38) can be obtained from (3.60) and (3.64).

Part of the second-order term Π

2

(3.41) can be obtained from (3.58).

By substituting (3.58) into (3.33a), the equation becomes trivial. By substituting

(3.58) into (3.46a),

0 = Π

311

σΠ

311

+ Π

212

A

21

+A

T

21

Π

T

212

(3.65)

By substituting (3.61) into (3.65),

0 = Π

311

σΠ

311

+ Π

2121

v

T

1

A

21

+A

T

21

v

1

Π

T

2121

(3.66)

because v

T

2

A

21

= 0. Let

Π

122

=

v

1

v

2

¸

Π

12211

Π

12212

Π

T

12212

Π

12222

¸

v

T

1

v

T

2

(3.67)

and

Π

312

=

Π

3121

Π

3122

¸

v

T

1

v

T

2

(3.68)

79

By multiplying (3.33b) by [ v

1

v

2

]

T

from the left and substituting (3.58) and (3.67),

Π

12211

= −Π

T

2121

σΠ

311

(v

T

1

A

21

)

−1

(3.69a)

Π

12212

= −(A

T

21

v

1

)

−1

Π

311

σΠ

2122

(3.69b)

Note that v

T

1

A

21

is invertible because ImA

21

= Imv

1

. Since Π

12211

is symmetric,

Π

T

2121

σΠ

311

(v

T

1

A

21

)

−1

= (A

T

21

v

1

)

−1

Π

311

σΠ

2121

(3.70)

By combining (3.70) with (3.62a) and (3.66), Π

2121

and Π

311

can be determine

uniquely. By multiplying (3.33c) by [ v

1

v

2

]

T

from the left and [ v

1

v

2

] from the

right and substituting (3.67) and (3.68),

0 = Π

T

2121

σΠ

3121

+ Π

T

3121

σΠ

2121

+ Π

12211

A

2211

+ Π

12212

A

2221

+A

T

2211

Π

12211

+A

T

2221

Π

12212

(3.71a)

0 = Π

T

2121

σΠ

3122

+ Π

T

3121

σΠ

2122

+A

T

2221

Π

12222

+A

T

2211

Π

12212

+ Π

12211

A

2212

+ Π

12212

A

2222

−Π

12211

Q

2212

Π

02222

−Π

12212

Q

2222

Π

02222

(3.71b)

0 = Π

12222

(A

2222

−Q

2222

Π

02222

) + (A

2222

−Q

2222

Π

02222

)

T

Π

12222

+ Π

T

12212

(A

2212

−Q

2212

Π

02222

) + (A

2212

−Q

2212

Π

02222

)

T

Π

12212

+ Π

T

2122

σΠ

3122

+ Π

T

3122

σΠ

2122

(3.71c)

From (3.71b),

Π

3122

= −σ

−1

Π

−T

2121

(Π

T

3121

σΠ

2122

+A

T

2221

Π

12222

+A

T

2211

Π

12212

+ Π

12211

A

2212

+ Π

12212

A

2222

−Π

12211

Q

2212

Π

02222

−Π

12212

Q

2222

Π

02222

) (3.72)

80

By substituting (3.72) into (3.71c) and using (3.71a),

0 = Π

12222

(A

2222

−Q

2222

Π

02222

−A

2221

Π

−1

2121

Π

2122

)

+ (A

2222

−Q

2222

Π

02222

−A

2221

Π

−1

2121

Π

2122

)

T

Π

12222

+ Π

T

12212

(A

2212

−Q

2212

Π

02222

) + (A

2212

−Q

2212

Π

02222

)

T

Π

12212

+ Π

T

2122

Π

−T

2121

(Π

12211

A

2211

+A

T

2211

Π

12211

+ Π

12212

A

2221

+A

T

2221

Π

T

12212

)Π

−1

2121

Π

2122

−Π

T

2122

Π

−T

2121

(Π

12211

A

2212

−Π

12211

Q

2212

Π

02222

+ Π

12212

A

2222

−Π

12212

Q

2222

Π

02222

+A

T

2211

Π

12212

) −(Π

12211

A

2212

−Π

12211

Q

2212

Π

02222

+ Π

12212

A

2222

−Π

12212

Q

2222

Π

02222

+A

T

2211

Π

12212

)

T

Π

−1

2121

Π

2122

(3.73)

Therefore, part of the second-order term Π

2

(3.41) and part of the third-order term

Π

3

(3.43) can be obtained by solving (3.62a), (3.66) and (3.70) and using (3.61) and

(3.63). The ﬁrst-order term Π

1

(3.39) can be obtained from (3.67), (3.69) and (3.73).

Part of the third-order term Π

3

(3.43) can be obtained from (3.68), (3.71a) and (3.72).

The same procedure can be done for the higher order terms if needed, i.e., obtaining

Π

222

and Π

322

.

Therefore, Π can be expressed as

Π =

u

1

u

2

γ

3/4

Π

311

γ

1/2

Π

212

γ

1/2

Π

T

212

v

1

v

2

¸

γ

1/4

Π

12211

γ

1/4

Π

12212

γ

1/4

Π

T

12212

Π

02222

+γ

1/4

Π

12222

¸

v

T

1

v

T

2

¸

¸

¸

u

T

1

u

T

2

+· · ·

=

u

1

u

2

v

1

u

2

v

2

γ

3/4

Π

311

γ

1/2

Π

2121

γ

1/2

Π

2122

γ

1/2

Π

T

2121

γ

1/4

Π

12211

γ

1/4

Π

12212

γ

1/2

Π

T

2122

γ

1/4

Π

T

12212

Π

02222

+γ

1/4

Π

12222

¸

¸

u

T

1

v

T

1

u

T

2

v

T

2

u

T

2

¸

¸

+· · ·

Note that only the highest-order term for each element is kept for simplicity.

81

3.7.4 Proof of Lemma 3.7

By using Lemma 3.5 and matrix inversion lemma,

P = Π

−1

=

u

1

u

2

v

1

u

2

v

2

γ

3/4

Π

311

γ

1/2

Π

2121

γ

1/2

Π

2122

γ

1/2

Π

T

2121

γ

1/4

Π

12211

γ

1/4

Π

12212

γ

1/2

Π

T

2122

γ

1/4

Π

T

12212

Π

02222

¸

¸

−1

u

T

1

v

T

1

u

T

2

v

T

2

u

T

2

¸

¸

+· · ·

=

u

1

u

2

v

1

u

2

v

2

¸

¯

Π

11

¯

Π

12

¯

Π

T

12

Π

−1

02222

¸

u

T

1

v

T

1

u

T

2

v

T

2

u

T

2

¸

¸

+· · ·

where

¯

Π

11

=

¸

¯

Π

1111

¯

Π

1112

¯

Π

T

1112

¯

Π

1122

¯

Π

1111

= γ

−3/4

(Π

311

−Π

2121

Π

−1

12211

Π

T

2121

)

−1

¯

Π

1112

= −γ

−1/2

Π

−1

311

Π

2121

(Π

12211

−Π

T

2121

Π

−1

311

Π

2121

)

−1

¯

Π

1122

= γ

−1/4

(Π

12211

−Π

T

2121

Π

−1

311

Π

2121

)

−1

¯

Π

12

=

¸

¯

Π

121

¯

Π

122

¯

Π

121

= γ

−1/4

[Π

−1

311

Π

2121

(Π

12211

−Π

T

2121

Π

−1

311

Π

2121

)

−1

Π

12212

−(Π

311

−Π

2121

Π

−1

12211

Π

T

2121

)

−1

Π

2122

]

¯

Π

122

= (Π

12211

−Π

T

2121

Π

−1

311

Π

2121

)

−1

(Π

T

2121

Π

−1

311

Π

2122

−Π

12212

)

Note that Π

311

, Π

12211

and Π

02222

are invertible from Appendix 3.7.3. By using (3.69a)

and (3.66),

Π

12211

−Π

T

2121

Π

−1

311

Π

2121

= Π

T

2121

Π

−1

311

(A

T

21

v

1

)Π

T

2121

(v

T

1

A

21

)

−1

Since Π

2121

is invertible, Π

12211

−Π

T

2121

Π

−1

311

Π

2121

is invertible. By using matrix inver-

sion lemma,

(Π

311

−Π

2121

Π

−1

12211

Π

T

2121

)

−1

= Π

−1

311

+ Π

−1

311

Π

2121

(Π

12211

−Π

T

2121

Π

−1

311

Π

2121

)

−1

Π

T

2121

Π

−1

311

Then, Π

311

−Π

2121

Π

−1

12211

Π

T

2121

is also invertible.

82

By using matrix inversion lemma and substituting (3.69) and (3.70),

Π

−1

311

Π

2121

(Π

12211

−Π

T

2121

Π

−1

311

Π

2121

)

−1

Π

12212

−(Π

311

−Π

2121

Π

−1

12211

Π

T

2121

)

−1

Π

2122

=Π

−1

311

Π

2121

(Π

12211

−Π

T

2121

Π

−1

311

Π

2121

)

−1

(Π

12212

−Π

T

2121

Π

−1

311

Π

2122

) −Π

−1

311

Π

2122

=0

Therefore,

¯

Π

121

= 0 and

¯

Π

12

remains ﬁnite in the limit.

83

Chapter 4

Robust Multiple-Fault Detection

Filter

In this chapter, a new robust multiple-fault detection and identiﬁcation algorithm

is derived by dividing the output error into several subspaces. For each subspace,

the transmission from one fault, denoted the associated target fault, is maximized,

and the transmission from other faults, denoted the associated nuisance fault, is

minimized. Therefore, each projected residual is aﬀected primarily by one fault and

minimally by other faults. It is shown that this ﬁlter approximates the properties

of the classical fault detection ﬁlter such that in the limit where the weighting on

each associated nuisance fault transmission goes to inﬁnity, the robust multiple-fault

detection ﬁlter becomes equivalent to the RDD ﬁlter of which the BJD ﬁlter is a spe-

cial case. Diﬀerent from other algorithms for the RDD or BJD ﬁlter which explicitly

force the geometric structure by using eigenstructure assignment or geometric theory,

this ﬁlter is derived from solving an optimization problem and only in the limit, is

the geometric structure of the RDD ﬁlter recovered. When it is not in the limit, the

ﬁlter only isolates the faults within approximate unobservable subspaces. This new

feature allows the ﬁlter to be potentially more robust since the ﬁlter structure is less

constrained. Filter designs can be obtained for both time-invariant and time-varying

systems.

84

In Section 4.1, the system model and four essential assumptions about the system

are given. The problem is formulated in Section 4.2 and its solution is derived in

Section 4.3. In Section 4.4, the ﬁlter is derived in the limit when there is no comple-

mentary subspace. It is shown that the ﬁlter becomes equivalent to the RDD ﬁlter

for the time-invariant case and extends the RDD ﬁlter to the time-varying case. In

Section 4.5, the projectors used for dividing the output error are derived from solving

the optimization problem. In Section 4.6, numerical examples are given.

4.1 System Model and Assumptions

In this section, the system model and four assumptions about the system that are

needed in order to have a well-conditioned detection ﬁlter are given. Consider a linear

system,

˙ x = Ax +B

u

u (4.1a)

y = Cx (4.1b)

where u is the control input and y is the measurement. System matrices A, B

u

and C

can be time-varying. All system variables belong to real vector spaces, x ∈ X, u ∈ U

and y ∈ Y.

Following the development in Section 1.1.1, any plant, actuator and sensor fault

can be modeled as an additive term in the state equation (4.1a). Therefore, a linear

system with q failure modes can be modeled by

˙ x = Ax +B

u

u +

q

¸

i=1

F

i

µ

i

(4.2a)

y = Cx (4.2b)

where F

i

can be time-varying and µ

i

belong to real vector spaces. Assume the F

i

are

monic so that µ

i

= 0 imply F

i

µ

i

= 0.

85

There are four assumptions about the system (4.2) that are needed in order to

have a well-conditioned detection ﬁlter. Assumption 4.1 is the general requirement to

design any linear observer (Kwakernaak and Sivan, 1972a). Assumption 4.2 ensures

that each fault can be isolated from other faults (Massoumnia, 1986; Chung and

Speyer, 1998). Assumption 4.3 is the requirement to design any detection ﬁlter

for time-invariant systems (Massoumnia, 1986). Assumption 4.4 ensures for time-

invariant systems, a nonzero projected residual in steady state when its associated

target fault occurs.

Assumption 4.1. For time-varying systems, (C, A) is uniformly observable. For

time-invariant systems, (C, A) is detectable.

Assumption 4.2. F

1

· · · F

q

are output separable.

Assumption 4.3. For time-invariant systems, the invariant zeros of ( C, A, [ F

1

· · ·

F

q

] ) are either the invariant zeros of (C, A, F

i

), i = 1 · · · q, or in the left-half plane.

Assumption 4.4. For time-invariant systems, (C, A, F

i

) does not have invariant

zeros at origin if µ

i

needs to be detected.

Remark 15. The output separability test is

Rank

CT

1

· · · CT

q

=

q

¸

i=1

p

i

(4.3)

where p

i

= dimF

i

. For time-invariant systems (Massoumnia, 1986),

CT

i

=

CA

δ

i,1

f

i,1

· · · CA

δ

i,p

i

f

i,p

i

(4.4)

The vector f

i,j

, i = 1 · · · q, j = 1 · · · p

i

, is the j-th column of F

i

. δ

i,j

is the smallest

non-negative integer such that CA

δ

i,j

f

i,j

= 0. For time-varying systems (Chung and

Speyer, 1998),

CT

i

=

C(t)b

i,1,δ

i,1

(t) · · · C(t)b

i,p

i

,δ

i,p

i

(t)

(4.5)

86

The vectors b

i,j,δ

i,j

(t), i = 1 · · · q, j = 1 · · · p

i

, are found from the iteration deﬁned by

the Goh transformation (Bell and Jacobsen, 1975),

b

i,j,0

(t) = f

i,j

(t)

b

i,j,k

(t) = A(t)b

i,j,k−1

(t) −

˙

b

i,j,k−1

(t)

where f

i,j

(t) is the j-th column of F

i

. δ

i,j

is the smallest non-negative integer such

that C(t)b

i,j,δ

i,j

(t) = 0 for t ∈ [t

0

, t

1

].

The output separability test (4.3) is based on the assumption that the column

vectors of F

i

are output separable, i.e.,

Rank CT

i

= p

i

where i = 1 · · · q. If the vectors of F

i

are not output separable, from Section 2.4, a

new basis for F

i

can be found such that the vectors of F

i

are output separable.

Remark 16. For time-invariant systems, F

1

· · · F

q

are mutually detectable if ( C, A,

[ F

1

· · · F

q

] ) does not have more invariant zeros than (C, A, F

i

), i = 1 · · · q (Massoum-

nia, 1986). If F

1

· · · F

q

are not mutually detectable, the extra invariant zeros will be-

come part of the eigenvalues of the detection ﬁlter. If the extra invariant zeros are in

the right-half plane, no stable detection ﬁlter can be found. This will be demonstrated

by the numerical example in Section 4.6.2.

Remark 17. For time-invariant systems, if the invariant zero directions of (C, A, F

i

)

are not in the invariant subspace of F

i

generated by the detection ﬁlter, the associated

invariant zeros will become part of the eigenvalues of the detection ﬁlter (Massoumnia,

1986). In Chapters 2 and 3, the nuisance fault direction F

2

has to be modiﬁed so that

the generalized least-squares fault detection ﬁlter and the optimal stochastic fault de-

tection ﬁlter include every invariant zero direction in the invariant subspace. However,

as demonstrated by the numerical examples in Section 4.6.2, the robust multiple-fault

87

detection ﬁlter automatically includes the invariant zero directions in the invariant

subspaces.

4.2 Problem Formulation

In this section, the RDD ﬁlter problem is formulated based on a linear system with

all the disturbance inputs modeled as zero mean, white Gaussian noise. Consider a

linear system similar to (4.2)

˙ x = Ax +B

u

u +B

w

w +

q

¸

i=1

F

i

µ

i

(4.6a)

y = Cx +v (4.6b)

where w is the process noise, v is the sensor noise, and B

w

can be time-varying.

Assume that the unknown and arbitrary failure modes µ

i

, i = 1 · · · q, and the distur-

bances w, v are zero mean, white Gaussian noise with variance

E[µ

i

(t)µ

j

(τ)

T

] =

Q

i

δ(t −τ) , i = j

0 , i = j

(4.7a)

E[w(t)w(τ)

T

] = Q

w

δ(t −τ) (4.7b)

E[v(t)v(τ)

T

] = V δ(t −τ) (4.7c)

and the initial state is a random vector with zero mean and

E[x(t

0

)x(t

0

)

T

] = P

0

(4.7d)

where E[•] is the expectation operator. Also, µ

i

, i = 1 · · · q, w and v are uncorrelated

with each other and with x(t

0

).

If the ﬁrst s faults need to be detected where s ≤ q, the objective of the robust

multiple-fault detection ﬁlter problem is to ﬁnd a ﬁlter gain L for the linear observer,

˙

ˆ x = Aˆ x +B

u

u +L(y −Cˆ x) (4.8)

88

and projectors

ˆ

H

i

, i = 1 · · · s, which operate on the residual,

r = y −Cˆ x (4.9)

such that each projected residual

ˆ

H

i

r is aﬀected primarily by its associated target

fault µ

i

and minimally by its associated nuisance fault ˆ µ

i

= [ µ

1

· · · µ

i−1

µ

i+1

· · · µ

q

]

T

,

process noise w, sensor noise v and initial condition error x(t

0

) − ˆ x(t

0

). When s = q,

every fault is detected and this is equivalent to the BJD ﬁlter problem. When s < q,

only a subset of the faults are detected and this is equivalent to the RDD ﬁlter

problem. This more general form is important because there might exist some faults

which do not need to be detected. This problem imposes less constraint and relaxes

the ﬁlter structure which leads to a more robust detection ﬁlter (Massoumnia, 1986;

Douglas and Speyer, 1996). Although the q −s faults can not be detected, they are

blocked from the s projected residuals used for detecting the s faults. Note that the

optimal stochastic fault detection ﬁlter in Chapter 3 is a special case of this ﬁlter

when s = 1.

By using (4.6) and (4.8), the dynamic equation of the error, e = x − ˆ x, is

˙ e = (A −LC)e +

q

¸

i=1

F

i

µ

i

+B

w

w −Lv

Then, the error can be written as

e(t) = Φ(t, t

0

)e(t

0

) +

t

t

0

Φ(t, τ)

q

¸

i=1

F

i

µ

i

+B

w

w −Lv

dτ (4.10)

subject to

d

dt

Φ(t, t

0

) = (A −LC)Φ(t, t

0

) , Φ(t

0

, t

0

) = I (4.11)

The residual (4.9) can be written as

r = Ce +v

89

Now a cost criterion is needed for deriving the ﬁlter gain L and the projectors

ˆ

H

i

,

i = 1 · · · s. If the cost criterion is associated with the projected residual

ˆ

H

i

(Ce +v), it

is unusable from the statistical viewpoint since the variance of the projected residual

generates a δ-function due to the sensor noise. Therefore, the cost criterion will be

associated with the projected output error

ˆ

H

i

Ce.

ˆ

H

i

can be derived from optimizing

the cost criterion or deﬁned apriori (Massoumnia, 1986; Chung and Speyer, 1998) as

ˆ

H

i

: Y →Y , Ker

ˆ

H

i

= [ CT

1

· · · CT

i−1

CT

i+1

· · · CT

q

]

= C

ˆ

T

i

ˆ

H

i

= I −C

ˆ

T

i

[(C

ˆ

T

i

)

T

C

ˆ

T

i

]

−1

(C

ˆ

T

i

)

T

(4.12)

where C

ˆ

T

i

can be found by (4.4) or (4.5). For time-invariant systems, (4.12) is the

projector used by the RDD and BJD ﬁlters which maps the reachable subspace of

ˆ µ

i

to zero (Massoumnia, 1986). For now,

ˆ

H

i

is deﬁned apriori as (4.12), but it will

be derived from optimizing the cost criterion in Section 4.5. In Section 4.4, it is

shown that (4.12) optimizes the cost criterion in the limit where the weighting on

each associated nuisance fault transmission given below goes to inﬁnity. This implies

that (4.12) is the optimal projector in this limit.

In order to determine the cost criterion, deﬁne

h

i

(t)

=

ˆ

H

i

C

t

t

0

Φ(t, τ)F

i

µ

i

dτ (4.13a)

ˆ

h

i

(t)

=

ˆ

H

i

C

t

t

0

Φ(t, τ)

ˆ

F

i

ˆ µ

i

dτ (4.13b)

h

iv

(t)

=

ˆ

H

i

C

¸

Φ(t, t

0

)e(t

0

) +

t

t

0

Φ(t, τ)(B

w

w −Lv)dτ

(4.13c)

where

ˆ

F

i

= [ F

1

· · · F

i−1

F

i+1

· · · F

q

]. From (4.10), h

i

represents the transmission

from µ

i

to

ˆ

H

i

Ce.

ˆ

h

i

represents the transmission from ˆ µ

i

to

ˆ

H

i

Ce. h

iv

represents the

transmission from w, v and e(t

0

) to

ˆ

H

i

Ce. Since the objective of the robust multiple-

fault detection ﬁlter problem is to make each

ˆ

H

i

Ce sensitive to µ

i

, but insensitive to

ˆ µ

i

, w, v and e(t

0

). Thus,

ˆ

h

i

and h

iv

are to be minimized while h

i

is to be maximized.

90

Therefore, the robust multiple-fault detection ﬁlter problem is to ﬁnd the ﬁlter

gain L which minimizes the cost criterion,

J =

1

t

1

−t

0

t

1

t

0

tr

s

¸

i=1

1

γ

i

E[

ˆ

h

i

(t)

ˆ

h

i

(t)

T

]+E[h

iv

(t)h

iv

(t)

T

]−E[h

i

(t)h

i

(t)

T

]

¸

dt (4.14)

where t

1

is the ﬁnal time and γ

i

are small positive scalars. Making γ

i

small places large

weightings on reducing the associated nuisance fault transmissions. The summation

is used to sum the s projected output error variances for detecting the s faults. The

trace operator forms a scalar cost criterion of the matrix output error variance.

Remark 18. The process noise can be considered as a fault so that it could be

completely blocked from the projected residuals. However, the number of the faults

in a ﬁlter is limited because the faults have to be output separable. Therefore, it is

not always possible to consider every process noise as a fault. The plant uncertainties

can also be considered similarly to the process noise. If the process noise and plant

uncertainties are considered as faults, they could be the faults which do not need to be

detected. In (Douglas and Speyer, 1996), the process noise and plant uncertainties can

only be considered as faults.

4.3 Solution

In this section, the minimization problem given by (4.14) is solved. By using (4.7)

and (4.13), the cost criterion, rewritten as

J =

1

t

1

−t

0

t

1

t

0

tr

s

¸

i=1

¸

ˆ

H

i

C

t

t

0

Φ(t, τ)

LV L

T

+

1

γ

i

ˆ

F

i

ˆ

Q

i

ˆ

F

T

i

−F

i

Q

i

F

T

i

+B

w

Q

w

B

T

w

Φ(t, τ)

T

dτC

T

ˆ

H

i

+

ˆ

H

i

CΦ(t, t

0

)P

0

Φ(t, t

0

)

T

C

T

ˆ

H

i

¸

dt

91

is to be minimized with respect to L subject to (4.11) where

E[ˆ µ

i

(t)ˆ µ

i

(τ)

T

] =

Q

1

0 0 0 0 0

0

.

.

. 0 0 0 0

0 0 Q

i−1

0 0 0

0 0 0 Q

i+1

0 0

0 0 0 0

.

.

. 0

0 0 0 0 0 Q

q

¸

¸

¸

¸

¸

¸

¸

¸

¸

δ(t −τ)

=

ˆ

Q

i

δ(t −τ)

To put the minimization problem in a more transparent context, J is manipulated in

the following. By adding the zero term,

1

t

1

−t

0

t

1

t

0

tr

s

¸

i=1

ˆ

H

i

C

¸

Φ(t, t)P

i

(t)Φ(t, t)

T

−Φ(t, t

0

)P

i

(t

0

)Φ(t, t

0

)

T

−

t

t

0

d

dτ

Φ(t, τ)P

i

(τ)Φ(t, τ)

T

dτ

C

T

ˆ

H

i

dt

to J and using (4.11), the problem can be rewritten as

min

L

J = min

L

1

t

1

−t

0

t

1

t

0

tr

s

¸

i=1

¸

ˆ

H

i

C

t

t

0

Φ(t, τ)(L −P

i

C

T

V

−1

)V (L −P

i

C

T

V

−1

)

T

Φ(t, τ)

T

dτC

T

ˆ

H

i

¸

dt

= min

L

1

t

1

−t

0

t

1

t

0

tr

s

¸

i=1

ˆ

H

i

CW

i

C

T

ˆ

H

i

dt (4.15)

subject to

˙

W

i

=(A −LC)W

i

+W

i

(A −LC)

T

+ (L −P

i

C

T

V

−1

)V (L −P

i

C

T

V

−1

)

T

(4.16)

where W

i

(t

0

) = 0 and

˙

P

i

=AP

i

+P

i

A

T

−P

i

C

T

V

−1

CP

i

+

1

γ

i

ˆ

F

i

ˆ

Q

i

ˆ

F

T

i

−F

i

Q

i

F

T

i

+B

w

Q

w

B

T

w

, P

i

(t

0

)=P

0

(4.17)

The term

1

t

1

−t

0

t

1

t

0

tr

¸

s

i=1

ˆ

H

i

CP

i

C

T

ˆ

H

i

**dt is dropped for now because it is ﬁxed
**

with respect to L, but it will be brought back in Section 4.5 when the cost criterion

is also minimized with respect to

ˆ

H

i

, i = 1 · · · s. Note that (4.17) can be solved

independently of L and

ˆ

H

i

.

92

The variational Hamiltonian of the problem is deﬁned as

H =

s

¸

i=1

tr(

ˆ

H

i

CW

i

C

T

ˆ

H

i

) + tr

¸

K

i

[(A −LC)W

i

+W

i

(A −LC)

T

+(L −P

i

C

T

V

−1

)V (L −P

i

C

T

V

−1

)

T

]

¸¸

where K

i

∈ R

n×n

is a continuously diﬀerentiable matrix Lagrange multiplier. The

ﬁrst-order necessary conditions (Athans, 1968) imply that the optimal solution for L

and the dynamics of K

i

are

∂H

∂L

=

s

¸

i=1

[−2CW

i

K

i

+ 2V (L

∗

−P

i

C

T

V

−1

)

T

K

i

] = 0

⇒L

∗

=

s

¸

i=1

K

i

−1

¸

s

¸

i=1

K

i

(P

i

+W

i

)

¸

C

T

V

−1

(4.18)

and

−

˙

K

i

=

∂H

∂W

i

= K

i

(A −LC) + (A −LC)

T

K

i

+C

T

ˆ

H

i

C , K

i

(t

1

) = 0 (4.19)

where i = 1 · · · s. Since the determination of the ﬁlter gain (4.18) requires the solution

to a two-point boundary value problem satisfying (4.16), (4.19) and (4.18) which can

be computed oﬀ-line, the on-line ﬁlter implementation is as straightforward as the

RDD ﬁlter. An alternative approach is to solve (4.15) numerically by using a gradient

method. This is demonstrated by the numerical examples in Section 4.6.

For the inﬁnite-time case, the minimization problem (4.15) becomes

lim

t

1

→∞

min

L

J = min

L

tr

s

¸

i=1

ˆ

H

i

CW

i

C

T

ˆ

H

i

(4.20)

satisfying

0 = (A −LC)W

i

+W

i

(A −LC)

T

+ (L −P

i

C

T

V

−1

)V (L −P

i

C

T

V

−1

)

T

(4.21)

where

0 = AP

i

+P

i

A

T

−P

i

C

T

V

−1

CP

i

+

1

γ

i

ˆ

F

i

ˆ

Q

i

ˆ

F

T

i

−F

i

Q

i

F

T

i

+B

w

Q

w

B

T

w

(4.22)

93

The optimal solution for L can be derived similarly.

L

∗

=

s

¸

i=1

K

i

−1

¸

s

¸

i=1

K

i

(P

i

+W

i

)

¸

C

T

V

−1

(4.23)

subject to (4.21) and

0 = K

i

(A −LC) + (A −LC)

T

K

i

+C

T

ˆ

H

i

C (4.24)

Remark 19. For the special case where s = 1 and µ

i

is detected, the minimization

problem (4.15) becomes

min

L

J = min

L

1

t

1

−t

0

t

1

t

0

tr

¸

ˆ

H

i

C

t

t

0

Φ(t, τ)(L −P

i

C

T

V

−1

)V (L −P

i

C

T

V

−1

)

T

Φ(t, τ)

T

dτC

T

ˆ

H

i

dt (4.25)

The optimal solution for L is

L

∗

= P

i

C

T

V

−1

(4.26)

where

˙

P

i

= AP

i

+P

i

A

T

−P

i

C

T

V

−1

CP

i

+

1

γ

i

ˆ

F

i

ˆ

Q

i

ˆ

F

T

i

−F

i

Q

i

F

T

i

+B

w

Q

w

B

T

w

, P

i

(t

0

) = P

0

Note that this single-fault ﬁlter is equivalent to the optimal stochastic fault detection

ﬁlter in Chapter 3.

Remark 20. For the single-fault ﬁlter, the minimization problem (4.25) is convex,

and a global solution (4.26) is obtained. For the multiple-fault ﬁlter, a numerical min-

imization method must be used and only a local minimum can be guaranteed. This

is because the robust multiple-fault detection ﬁlter problem (4.15) is no longer convex.

94

4.4 Limiting Case

In this section, the recovery of the geometric properties of the robust multiple-fault

detection ﬁlter is discussed in the limit where γ

i

→0, i = 1 · · · s. In this limit, using

the simpliﬁcation of Assumption 4.5, it is shown that, if s = q, the ﬁlter becomes

equivalent to both the RDD and BJD ﬁlters for the time-invariant case and extends

both the RDD and BJD ﬁlters to the time-varying case.

Assumption 4.5. There is no complementary subspace.

For time-invariant systems, the RDD ﬁlter places each associated nuisance fault

ˆ µ

i

into an invariant subspace

ˆ

T

i

which is the unobservable subspace of (

ˆ

H

i

C, A −LC)

where

ˆ

H

i

is (4.12) (Massoumnia, 1986).

ˆ

T

i

is also called the minimal (C, A)-unob-

servability subspace of

ˆ

F

i

. For time-invariant systems, the BJD ﬁlter places each

fault µ

i

into an invariant subspace T

i

which is the minimal (C, A)-unobservability

subspace of F

i

(Massoumnia, 1986). T

i

is also called the detection space of F

i

and

can be found (Wonham, 1985) by

T

i

= W

i

⊕V

i

(4.27)

where W

i

is the minimal (C, A)-invariant subspace of F

i

W

i

=

f

i,1

· · · A

δ

i,1

f

i,1

f

i,2

· · · A

δ

i,2

f

i,2

· · · f

i,p

i

· · · A

δ

i,p

i

f

i,p

i

and V

i

is the subspace spanned by the invariant zero directions of (C, A, F

i

). For

time-invariant systems, Assumption 4.5 implies that T

1

⊕· · · ⊕T

q

spans the state

space.

For time-varying systems, the minimal (C, A)-invariant subspace of F

i

is (Chung

and Speyer, 1998)

W

i

=

b

i,1,0

(t) · · · b

i,1,δ

i,1

(t) b

i,2,0

(t) · · · b

i,2,δ

i,2

(t) · · · b

i,p

i

,0

(t) · · · b

i,p

i

,δ

i,p

i

(t)

95

However, the idea of the invariant zero direction is only deﬁned for time-invariant

systems. Therefore,

ˆ

T

i

, the unobservable subspace of (

ˆ

H

i

C, A −LC), can not be

determined by (4.27). The interpretation of Assumption 4.5 for time-varying systems

is in the proof of Theorem 4.6 in Appendix 4.7.6.

To begin, it is assumed that in the limit,

ˆ

T

i

, i = 1 · · · q, are (A −LC)-invariant

where L is (4.18). This will be shown to be true in Theorem 4.6. First, the ﬁlter

gain (4.18) is simpliﬁed in the limit by using Lemmas 4.1 to 4.3 so that the simpliﬁed

ﬁlter gain does not require the solution to the two-point boundary value problem,

(4.16) and (4.19). Then, Lemma 4.4 shows that the simpliﬁed ﬁlter gain minimizes

the cost criterion. This implies that the simpliﬁed ﬁlter gain is equivalent to (4.18)

in the limit. Finally, Theorem 4.6 shows that

ˆ

T

i

, i = 1 · · · q, are (A −LC)-invariant

where L is the simpliﬁed ﬁlter gain. Therefore, the robust multiple-fault detection

ﬁlter becomes equivalent to the RDD ﬁlter in the limit and extends the RDD ﬁlter to

the time-varying case. Lemma 4.7 shows that T

i

, i = 1 · · · q, are (A −LC)-invariant

where L is the simpliﬁed ﬁlter gain. Therefore, the robust multiple-fault detection

ﬁlter becomes also equivalent to the BJD ﬁlter in the limit and extends the BJD ﬁlter

to the time-varying case.

Lemma 4.1. In the limit,

Ker K

i

=

ˆ

T

i

where i = 1 · · · q.

Proof. See Appendix 4.7.1.

To remove K

i

from the ﬁlter gain (4.18), a projector H

i

with similar properties

to K

i

is deﬁned as

H

i

: X →X , Ker H

i

=

ˆ

T

i

, H

i

= I −

ˆ

T

i

(

ˆ

T

T

i

ˆ

T

i

)

−1

ˆ

T

T

i

(4.28)

Lemma 4.2 shows the relationship between K

i

and H

i

.

96

Lemma 4.2. In the limit,

q

¸

i=1

K

i

−1

K

j

=

q

¸

i=1

H

i

−1

H

j

where j = 1 · · · q.

Proof. See Appendix 4.7.2.

In the limit, by applying Lemma 4.2 to (4.18),

L

∗

=

q

¸

i=1

H

i

−1

¸

q

¸

i=1

H

i

(P

i

+W

i

)

¸

C

T

V

−1

(4.29)

Lemma 4.3 is used to remove W

i

from (4.29).

Lemma 4.3. In the limit,

H

i

W

i

= 0

where L is (4.29) and i = 1 · · · q.

Proof. See Appendix 4.7.3.

In the limit, by applying Lemma 4.3 to (4.29),

L

∗

=

q

¸

i=1

H

i

−1

q

¸

i=1

H

i

P

i

C

T

V

−1

(4.30)

which does not require the solution to the two-point boundary value problem, (4.16)

and (4.19). (4.30) only requires the solution to the Riccati equation (4.17) which can

be obtained independently of L. Lemma 4.4 shows that (4.30) minimizes the cost

criterion. This implies that (4.30) is equivalent to (4.18) in the limit. Lemma 4.4

also implies that (4.12) is the optimal projector in the limit. Lemma 4.5 shows that

H

i

P

i

remains ﬁnite in the limit even though P

i

goes to inﬁnity. This shows that the

limiting ﬁlter gain (4.30) remains ﬁnite.

97

Lemma 4.4. In the limit, the cost criterion associated with (4.30) is zero.

Proof. See Appendix 4.7.4.

Lemma 4.5. In the limit, for the steady-state P

i

, H

i

P

i

remains ﬁnite where i = 1

· · · q.

Proof. See Appendix 4.7.5.

Remark 21. For the single-fault ﬁlter, the ﬁlter gain (4.26) goes to inﬁnity in the

limit and there exists a reduced-order ﬁlter. However, for the multiple-fault ﬁlter, the

limiting ﬁlter gain (4.30) remains ﬁnite.

Theorem 4.6 shows that

ˆ

T

i

, i = 1 · · · q, are (A −LC)-invariant where L is (4.30).

Therefore, the robust multiple-fault detection ﬁlter becomes equivalent to the RDD

ﬁlter in the limit and extends the RDD ﬁlter to the time-varying case. Lemma 4.7

shows that T

i

, i = 1 · · · q, are (A −LC)-invariant where L is (4.30). Therefore, the

robust multiple-fault detection ﬁlter becomes also equivalent to the BJD ﬁlter in the

limit and extends the BJD ﬁlter to the time-varying case.

Theorem 4.6.

ˆ

T

i

is (A −LC)-invariant where L is (4.30) and i = 1 · · · q.

Proof. See Appendix 4.7.6.

Lemma 4.7. T

i

is (A −LC)-invariant where L is (4.30) and i = 1 · · · q.

Proof. See Appendix 4.7.7.

Remark 22. In the limit, by using Lemma 4.4 and tr(

ˆ

H

i

CP

i

C

T

ˆ

H

i

) is ﬁnite from

Chapter 3, the robust multiple-fault detection ﬁlter satisﬁes

trE

ˆ

h

i

(t)

ˆ

h

i

(t)

T

trE[h

i

(t)h

i

(t)

T

]

= 0

98

where i = 1 · · · q. This implies that the transmissions from the associated nuisance

faults to their associated projected residuals are zero. Therefore, the associated

nuisance faults are completely blocked.

4.5 Minimization with respect to

ˆ

H

In this section, the projectors

ˆ

H

i

, i = 1 · · · s, are derived from solving the mini-

mization problem instead of being deﬁned apriori as (4.12). Similar to (4.15), the

minimization problem is

min

L,

ˆ

H

i

,i=1···s

¯

J = min

L,

ˆ

H

i

,i=1···s

1

t

1

−t

0

t

1

t

0

tr

¸

s

¸

i=1

ˆ

H

i

C(W

i

+P

i

)C

T

ˆ

H

i

¸

dt

subject to (4.16) and

ˆ

H

i

, i = 1 · · · s, are projectors. Since the partial derivatives of

the extra term tr(

¸

s

i=1

ˆ

H

i

CP

i

C

T

ˆ

H

i

) with respect to L and W

i

are zero, from the

ﬁrst-order necessary conditions of the Hamiltonian, the optimal solution for L and the

dynamics of K

i

are (4.18) and (4.19), respectively. Since

ˆ

H

i

is not in the constraint

(4.16), this is an eigenvalue problem for solving

ˆ

H

i

. If the rank of

ˆ

H

i

is chosen as

one, the additional necessary condition for the optimal

ˆ

H

i

is

ˆ

H

∗

i

= ρ

i,m

ρ

T

i,m

(4.31)

where ρ

i,m

is the eigenvector of C(W

i

+P

i

)C

T

associated with the smallest eigenvalue

λ

i,m

and m = dimY. The optimal cost

¯

J

∗

=

¸

s

i=1

λ

i,m

, the sum of the smallest

eigenvalues of C(W

i

+P

i

)C

T

, i = 1 · · · s. Note that (4.31) is a projector such that

ˆ

H

∗

i

: Y →Y , Ker

ˆ

H

∗

i

= Im[ ρ

i,1

· · · ρ

i,m−1

]

ˆ

H

∗

i

= I −[ ρ

i,1

· · · ρ

i,m−1

][ ρ

i,1

· · · ρ

i,m−1

]

T

(4.32)

where ρ

i,1

· · · ρ

i,m−1

are the eigenvectors of C(W

i

+P

i

)C

T

and their associated eigen-

values λ

i,1

≥ λ

i,2

≥ · · · ≥ λ

i,m−1

.

99

In the limit, from Theorem 4.6, each associated nuisance fault

ˆ

F

i

is contained in

the output subspace C

ˆ

T

i

. When it is not in the limit,

ˆ

F

i

is approximately contained

in C

ˆ

T

i

. Therefore, dim(Ker

ˆ

H

i

) should be equivalent to dim(C

ˆ

T

i

)

= ˆ p

i

. Then, if the

rank of

ˆ

H

i

is chosen as m− ˆ p

i

, the necessary condition for the optimal

ˆ

H

i

is

ˆ

H

∗

i

= [ ρ

i,m

· · · ρ

i, ˆ p

i

+1

][ ρ

i,m

· · · ρ

i, ˆ p

i

+1

]

T

(4.33)

where ρ

i,m

· · · ρ

i, ˆ p

i

+1

are the eigenvectors associated with the smallest m− ˆ p

i

eigen-

values. (4.33) can be written as

ˆ

H

∗

i

: Y→Y , Ker

ˆ

H

∗

i

=Im[ ρ

i,1

· · · ρ

i, ˆ p

i

] ,

ˆ

H

∗

i

=I −[ ρ

i,1

· · · ρ

i, ˆ p

i

][ ρ

i,1

· · · ρ

i, ˆ p

i

]

T

(4.34)

Note that

¯

J

∗

=

¸

s

i=1

¸

m

j=ˆ p

i

+1

λ

i,j

, the sum of the smallest m− ˆ p

i

eigenvalues of

C(W

i

+P

i

)C

T

, i = 1 · · · s. To obtain the optimal solutions for L and

ˆ

H

i

, i = 1 · · · s,

(4.18), (4.16), (4.19) and (4.33) have to be solved simultaneously. For the inﬁnite-time

case, (4.18), (4.21), (4.24) and (4.33) have to be solved simultaneously.

In the limit, from Lemma 4.4, tr(

ˆ

H

i

CW

i

C

T

ˆ

H

i

) = 0 if (4.12) is used . In the

limit, from Chapter 3, CP

i

C

T

has ˆ p

i

inﬁnite eigenvalues and tr(

ˆ

H

i

CP

i

C

T

ˆ

H

i

) is

the sum of the m− ˆ p

i

ﬁnite eigenvalues if (4.12) is used. Therefore, in the limit,

Im[ ρ

i,1

· · · ρ

i, ˆ p

i

] = C

ˆ

T

i

and (4.34) becomes equivalent to (4.12). For time-invariant

systems, (4.12) is the projector used by the RDD and BJD ﬁlters. Although the

¯

J

∗

associated with (4.34) is larger than the

¯

J

∗

associated with (4.32), (4.34) allows more

associated target fault transmission because it only blocks ˆ p

i

directions and (4.32)

blocks m−1 directions. Therefore, (4.34) is a better choice for

ˆ

H

i

than (4.32) for

the purpose of fault detection.

4.6 Example

In this section, two numerical examples are used to demonstrate the performance of

the robust multiple-fault detection ﬁlter. In Section 4.6.1, the ﬁlters are derived in the

100

forms of the unknown input observer, BJD ﬁlter and RDD ﬁlter. In Section 4.6.2, the

ﬁlters are derived to show that the robust multiple-fault detection ﬁlter has similar

behavior to the BJD and RDD ﬁlters.

4.6.1 Example 1

In this section, the F16XL aircraft model (Douglas and Speyer, 1996; Wilbers and

Speyer, 1989) is used to demonstrate the performance of the robust multiple-fault

detection ﬁlter. The aircraft model has four states (longitudinal velocity x

u

, normal

velocity x

w

, pitch rate x

q

and pitch angle x

θ

), one control input (elevon deﬂection

angle u

δ

), four measurements (longitudinal velocity y

u

, normal velocity y

w

, pitch

rate y

q

and pitch angle y

θ

), and one disturbance input (wind gust u

wg

). The system

matrices are

A =

**−0.0674 0.0430 −0.8886 −0.5587
**

0.0205 −1.4666 16.5800 −0.0299

0.1377 −1.6788 −0.6819 0

0 0 1 0

¸

¸

¸

¸

, C = I

B

δ

=

−0.1672

−1.5179

−9.7842

0

¸

¸

¸

¸

, B

wg

=

0.0430

−1.4666

−1.6788

0

¸

¸

¸

¸

Three faults, pitch angle sensor y

θ

, elevon deﬂector u

δ

and wind gust u

wg

, are con-

sidered. The failure signatures used for the fault detection ﬁlter design are

F

θ

=

0 −0.5587

0 −0.0299

0 0

1 0

¸

¸

¸

¸

, F

δ

=

−0.1672

−1.5179

−9.7842

0

¸

¸

¸

¸

, F

wg

=

0.0430

−1.4666

−1.6788

0

¸

¸

¸

¸

Note that the pitch angle sensor fault aﬀects the system as an additive term E

θ

µ

θ

in the measurement equation (4.6b) where E

θ

= [ 0 0 0 1 ]

T

. However, for the fault

detection ﬁlter design, the pitch angle sensor fault is modeled as an additive term

F

θ

[ ˙ µ

θ

−µ

θ

]

T

in the state equation (4.6a) where F

θ

= [ f

θ

Af

θ

] and Cf

θ

= E

θ

. Here,

the wind gust is considered as a fault instead of the process noise.

101

The robust multiple-fault detection ﬁlters used for detecting these three faults are

derived in four cases. In the ﬁrst case, the ﬁlter is derived in the form of the unknown

input observer where s = 1. In the second case, the ﬁlter is derived in the form of the

BJD ﬁlter where s = 3. In the third case, the ﬁlter is derived in the form of the RDD

ﬁlter where s = 2. In the last case, a ﬁlter is derived to show that the sensitivity of

the projected residuals to their associated target faults can be enhanced.

Unknown Input Observer

In this case, the ﬁlter is derived in the form of the unknown input observer where

s = 1. Since each ﬁlter can detect only one fault, three ﬁlters are needed to detect

all three faults. Let F

1

= F

θ

, F

2

= F

δ

and F

3

= F

wg

. The power spectral densities

are chosen as Q

1

= 0.1I, Q

2

= 1, Q

3

= 1 and V = I. The ﬁrst ﬁlter has F

1

as the

associated target fault and

ˆ

F

1

= [ F

2

F

3

] as the associated nuisance fault. The second

ﬁlter has F

2

as the associated target fault and

ˆ

F

2

= [ F

3

F

1

] as the associated nuisance

fault. The third ﬁlter has F

3

as the associated target fault and

ˆ

F

3

= [ F

1

F

2

] as the

associated nuisance fault. The weightings are chosen as γ

1

= γ

2

= γ

3

= 10

−6

. The

steady-state solutions to (4.17) are obtained when i = 1, 2 and 3, respectively. Then,

three single-fault ﬁlters are obtained by (4.26). Note that these single-fault ﬁlters

are equivalent to the optimal stochastic fault detection ﬁlter in Chapter 3. The

frequency response from each fault to the projected residual

ˆ

H

i

r of each ﬁlter is

shown in Figure 4.1. Note that each ﬁlter has only one projected residual

ˆ

H

i

r for

detecting fault F

i

. The projectors

ˆ

H

i

, i = 1 · · · 3, are deﬁned apriori as (4.12). The

dashed line represents the frequency response from the pitch angle sensor fault. The

dashdot line represents the frequency response from the elevon deﬂector fault. The

solid line represents the frequency response from the wind gust fault. Note that

the frequency response from the pitch angle sensor fault to its associated projected

residual is almost a constant through all frequencies because the sensor fault is a

102

10

0

10

5

-300

-250

-200

-150

-100

-50

0

50

1st filter

Frequency (rad/s)

S

i

n

g

u

l

a

r

v

a

l

u

e

(

d

b

)

10

0

10

5

-300

-250

-200

-150

-100

-50

0

50

2nd filter

Frequency (rad/s)

10

0

10

5

-300

-250

-200

-150

-100

-50

0

50

3rd filter

Frequency (rad/s)

Figure 4.1: Frequency response of the three single-fault ﬁlters

direct feedthrough term to its associated projected residual. This example shows

that the projected residual of each ﬁlter is only sensitive to its associated target

fault, but not to its associated nuisance fault.

Beard-Jones Detection Filter

In this case, the ﬁlter is derived in the form of the BJD ﬁlter where s = 3. Since the

ﬁlter can detect all three faults, only one ﬁlter is needed. The ﬁlter, satisfying (4.23),

(4.21) and (4.24), is obtained by using the gradient method to solve (4.20) numeri-

cally when s = 3. The projectors

ˆ

H

i

, i = 1 · · · 3, are deﬁned apriori as (4.12). The

frequency response from each fault to the three projected residuals

ˆ

H

i

r, i = 1 · · · 3, of

the ﬁlter is shown in Figure 4.2. The dashed line represents the frequency response

from the pitch angle sensor fault. The dashdot line represents the frequency response

from the elevon deﬂector fault. The solid line represents the frequency response from

the wind gust fault. This example shows that one multiple-fault ﬁlter works as well

as the three single-fault ﬁlters.

103

10

0

10

5

-300

-250

-200

-150

-100

-50

0

50

1st projected residual

Frequency (rad/s)

S

i

n

g

u

l

a

r

v

a

l

u

e

(

d

b

)

10

0

10

5

-300

-250

-200

-150

-100

-50

0

50

3rd projected residual

Frequency (rad/s)

10

0

10

5

-300

-250

-200

-150

-100

-50

0

50

2nd projected residual

Frequency (rad/s)

Figure 4.2: Frequency response of the multiple-fault ﬁlter when s = 3

Restricted Diagonal Detection Filter

In this case, the ﬁlter is derived in the form of the RDD ﬁlter where s = 2. Since

the wind gust is a disturbance, it does not need to be detected. Therefore, the ﬁlter,

satisfying (4.23), (4.21) and (4.24), is obtained by using the gradient method to solve

(4.20) numerically when s = 2. The projectors

ˆ

H

i

, i = 1 and 2, are deﬁned apriori as

(4.12). In Figure 4.3, the left and middle ﬁgures show the frequency response from

each fault to the two projected residuals

ˆ

H

i

r, i = 1 and 2, of the ﬁlter. The dashed

line represents the frequency response from the pitch angle sensor fault. The dashdot

line represents the frequency response from the elevon deﬂector fault. The solid line

represents the frequency response from the wind gust fault. These two ﬁgures show

that the pitch angle sensor fault and elevon deﬂector fault can still be detected even

though s = 2 now. For comparison with the previous case where s = 3, the right

ﬁgure in Figure 4.3 shows the frequency response from each fault to the projected

residual used for detecting the wind gust fault in previous case. This ﬁgure shows

104

10

0

10

5

-300

-250

-200

-150

-100

-50

0

50

1st projected residual

Frequency (rad/s)

S

i

n

g

u

l

a

r

v

a

l

u

e

(

d

b

)

10

0

10

5

-300

-250

-200

-150

-100

-50

0

50

2nd projected residual

Frequency (rad/s)

10

0

10

5

-300

-250

-200

-150

-100

-50

0

50

Pseudo projected residual

Frequency (rad/s)

Figure 4.3: Frequency response of the multiple-fault ﬁlter when s = 2

that the wind gust fault can no longer be detected. This example shows that the

multiple-fault ﬁlter still works well after relaxing the constraint on detecting the wind

gust fault which does not need to be detected.

Associated Target Fault Sensitivity Enhancement

In this case, a ﬁlter is derived to show that the sensitivity of the projected residuals

to their associated target faults can be enhanced. The ﬁlter is derived in the form of

the RDD ﬁlter where s = 2 similarly to the previous example. However, the power

spectral densities Q

1

and Q

2

are chosen as 0.64 and 4.73, respectively while other

power spectral densities and the weightings are keeping the same. In Figure 4.4,

the performance of this ﬁlter is compared to the ﬁlter derived in the previous case.

The left ﬁgure shows the frequency response from the pitch angle sensor fault to its

associated projected residual when Q

1

= 0.1 and 0.64. The right ﬁgure shows the

frequency response from the elevon deﬂector fault to its associated projected residual

when Q

2

= 1 and 4.73. After increasing Q

1

and Q

2

, the frequency response from the

105

10

0

10

5

0

0.2

0.4

0.6

0.8

1

1.2

1.4

1.6

1.8

2

1st projected residual

Frequency (rad/s)

S

i

n

g

u

l

a

r

v

a

l

u

e

10

0

10

5

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1

2nd projected residual

Frequency (rad/s)

S

i

n

g

u

l

a

r

v

a

l

u

e

Q2 = 4.73

Q2 = 1

Q1 = 0.64

Q1 = 0.1

Figure 4.4: Frequency response of the multiple-fault ﬁlter when s = 2 for diﬀerent

Q

1

associated target faults to their associated projected residuals increases about 100

percent. This example shows that the sensitivity of the projected residuals to their

associated target faults can be enhanced by increasing the power spectral densities

of the associated target faults.

4.6.2 Example 2

In this section, three cases are used to show that the robust multiple-fault detection

ﬁlter has similar behavior to the RDD and BJD ﬁlters. In the ﬁrst case, the ﬁlter

is derived when one of the faults has a right-half-plane invariant zero. In the second

case, the ﬁlter is derived when one of the faults has a left-half-plane invariant zero.

In the third case, the ﬁlter is derived when the faults are not mutually detectable.

106

Right-Half-Plane Invariant Zero

This example is from (White and Speyer, 1987). The system matrices are

A =

0 3 4

1 2 3

0 2 5

¸

¸

, C =

¸

0 1 0

0 0 1

, F

1

=

1

−0.5

0.5

¸

¸

, F

2

=

−3

1

0

¸

¸

There is no process noise. (C, A, F

2

) has an invariant zero at 3 and the invariant zero

direction ν is [ 1 0 0 ]

T

. From (Massoumnia, 1986), T

1

= ImF

1

and T

2

= Im[ F

2

ν ].

Since T

1

⊕T

2

= X, there is no complementary subspace.

For the fault detection ﬁlter design, the power spectral densities are chosen as

Q

1

= Q

2

= 0.25 and V = I. The weightings are chosen as γ

1

= γ

2

= 10

−6

. First, the

steady-state solutions to (4.17) are obtained when i = 1 and 2, respectively. Then,

two single-fault ﬁlters are obtained by (4.26). Finally, the multiple-fault ﬁlter, sat-

isfying (4.23), (4.21) and (4.24), is obtained by using the gradient method to solve

(4.20) numerically when s = 2. The projectors

ˆ

H

i

, i = 1 and 2, are deﬁned apriori as

(4.12). The eigenvectors of the multiple-fault ﬁlter are very close to T

1

and T

2

just

like the RDD and BJD ﬁlters. Since the invariant zero direction is approximately

included in the invariant subspace of F

2

generated by the multiple-fault ﬁlter, none

of the eigenvalues will be close to the invariant zero 3 (Massoumnia, 1986). The

eigenvalues of the multiple-fault ﬁlter are −0.5865, −5.3789 and −7.1102. Note that

the single-fault ﬁlter for detecting fault F

1

has an eigenvalue at −3.0001 which is very

close to the mirror image of the invariant zero.

The frequency response from each fault to the projected residuals of the two

single-fault ﬁlters and one multiple-fault ﬁlter is shown in Figure 4.5. The left ﬁgure

shows the projected residuals used for detecting fault F

1

, i.e., the projected residual

of the ﬁrst single-fault ﬁlter and the ﬁrst projected residual of the multiple-fault ﬁlter.

The right ﬁgure shows the projected residuals used for detecting fault F

2

, i.e., the

107

projected residual of the second single-fault ﬁlter and the second projected residual

of the multiple-fault ﬁlter. The solid lines represent the frequency response from F

1

to the projected residual of the two single-fault ﬁlters. The dashed lines represent the

frequency response from F

2

to the projected residual of the two single-fault ﬁlters.

The dashdot lines represent the frequency response from F

1

to the two projected

residuals of the multiple-fault ﬁlter. The dotted lines represent the frequency response

from F

2

to the two projected residuals of the multiple-fault ﬁlter. Note that the

lines, representing the frequency response from each associated target fault to the

projected residual of its associated single-fault ﬁlter and the associated projected

residual of the multiple-fault ﬁlter, overlap and are large. The lines, representing the

frequency response from each associated nuisance fault to the projected residual of its

associated single-fault ﬁlter and the associated projected residual of the multiple-fault

ﬁlter, are very small. Therefore, the single multiple-fault ﬁlter works as well as the

two single-fault ﬁlters. The frequency response of the multiple-fault ﬁlter when the

projectors are derived from solving the minimization problem is similar to Figure 4.5

and therefore not shown here.

The performance of the multiple-fault ﬁlter under plant uncertainty is shown in

Figure 4.6. The plant uncertainty is applied by increasing the ﬁrst element of F

1

by 25 percent and adding 0.05 to the third element of F

2

. The solid and dashed

lines represent the frequency response from F

1

and F

2

to the ﬁrst projected residual,

respectively. The dotted and dashdot lines represent the frequency response from F

1

and F

2

to the second projected residual, respectively. The frequency response from

each associated target fault to its projected residual is almost the same as the case

without any plant uncertainty. However, the frequency response from each associated

nuisance fault to its projected residual has increased due to the plant uncertainty,

but it is still much smaller than the frequency response from the associated target

fault. The case where the plant uncertainty is applied by decreasing the ﬁrst element

108

10

0

10

5

-250

-200

-150

-100

-50

0

Projected residuals for detecting F1

Frequency (rad/s)

S

i

n

g

u

l

a

r

v

a

l

u

e

(

d

b

)

10

0

10

5

-250

-200

-150

-100

-50

0

Projected residuals for detecting F2

Frequency (rad/s)

S

i

n

g

u

l

a

r

v

a

l

u

e

(

d

b

)

Figure 4.5: Frequency response of the two single-fault ﬁlters and the multiple-fault

ﬁlter

of F

1

by 25 percent and subtracting 0.05 to the third element of F

2

is similar and not

shown here.

Left-Half-Plane Invariant Zero

This example is from modifying the previous case such that the invariant zero is in

the left-half plane instead of the right-half plane. The system matrices are the same

except

F

2

=

3

1

0

¸

¸

(C, A, F

2

) has an invariant zero at −3 and the invariant zero direction ν is [ 1 0 0 ]

T

.

From (Massoumnia, 1986), T

1

= ImF

1

and T

2

= Im[ F

2

ν ]. Since T

1

⊕T

2

= X, there

is no complementary subspace.

The two single-fault ﬁlters and one multiple-fault ﬁlter are obtained with the same

Q

1

, Q

2

, V , γ

1

and γ

2

. The eigenvectors of the multiple-fault ﬁlter are very close to

109

10

0

10

5

-250

-200

-150

-100

-50

0

Projected residuals for detecting F1

Frequency (rad/s)

S

i

n

g

u

l

a

r

v

a

l

u

e

(

d

b

)

10

0

10

5

-250

-200

-150

-100

-50

0

Projected residuals for detecting F2

Frequency (rad/s)

S

i

n

g

u

l

a

r

v

a

l

u

e

(

d

b

)

Figure 4.6: Frequency response of the multiple-fault ﬁlter under plant uncertainties

T

1

and T

2

just like the RDD and BJD ﬁlters. Since the invariant zero direction is

approximately included in the invariant subspace of F

2

generated by the multiple-

fault ﬁlter, none of the eigenvalues will be close to the invariant zero −3 (Massoumnia,

1986). The eigenvalues of the multiple-fault ﬁlter are −0.5865, −5.3789 and −7.1102.

Note that the single-fault ﬁlter for detecting fault F

1

has an eigenvalue at −3.0001

because the invariant zero direction is not included in the invariant subspace of F

2

generated by the single-fault ﬁlter. The frequency response is similar to Figure 4.5

and therefore not shown here.

Remark 23. For the single-fault ﬁlter in Chapters 2 and 3, the invariant zero

directions associated with the left-half-plane invariant zeros are not included in the

invariant subspace and part of the eigenvalues are very close to the invariant zeros.

Although the invariant zero directions associated with the right-half-plane invariant

zeros are included in the invariant subspace, part of the eigenvalues are very close

to the mirror images of the invariant zeros. To avoid this situation, the fault di-

110

rection has to be modiﬁed so that the single-fault ﬁlter includes the invariant zero

directions in the invariant subspace. However, as demonstrated by the numerical ex-

amples in this and previous sections, the multiple-fault ﬁlter automatically includes

the invariant zero directions in the invariant subspaces and none of the eigenval-

ues is close to the invariant zeros nor the mirror images of the invariant zeros.

Nonmutually Detectable Faults

This example is from modifying the previous case such that both faults do not have

invariant zeros. The system matrices are the same except

F

2

=

5

1

1

¸

¸

F

1

and F

2

are not mutually detectable because (C, A, [ F

1

F

2

]) has an invariant zero at

−1.5 while (C, A, F

1

) and (C, A, F

2

) do not have any invariant zero. From (Massoum-

nia, 1986), T

1

= ImF

1

and T

2

= ImF

2

. Since T

1

⊕T

2

⊂ X, there is a complementary

subspace.

The two single-fault ﬁlters and one multiple-fault ﬁlter are obtained with the same

Q

1

, Q

2

, V , γ

1

and γ

2

. Two of the eigenvectors of the multiple-fault ﬁlter are very close

to T

1

and T

2

just like the RDD and BJD ﬁlters. Since F

1

and F

2

are not mutually

detectable, one of the ﬁlter eigenvalues should be very close to −1.5 (Massoumnia,

1986). The eigenvalues of the multiple-fault ﬁlter are −1.5008, −5.7648 and −6.8185.

The frequency response is similar to Figure 4.5 and therefore not shown here.

Remark 24. A multiple-fault ﬁlter is also obtained for two nonmutually detectable

faults where the extra invariant zero is on the right-half plane. Although a sta-

ble ﬁlter can be obtained numerically from minimizing the cost criterion by the

gradient method, the minimal cost is large and therefore the ﬁlter can not iso-

late these two faults. This is consistent with the RDD and BJD ﬁlters because

111

the extra invariant zero will be part of the ﬁlter eigenvalues if the ﬁlter forms the

invariant subspaces to isolate the faults. Therefore, it is impossible to obtain a

stable multiple-fault ﬁlter when there is any extra invariant zero on the right-half

plane. However, two single-fault ﬁlters can be used to monitor these two faults.

4.7 Appendix

In this section, the proof of Theorem 4.6 and Lemmas 4.1, 4.2, 4.3, 4.4, 4.5 and 4.7

are given.

4.7.1 Proof of Lemma 4.1

Since Ker

ˆ

H

i

= C

ˆ

T

i

(4.12) and

ˆ

T

i

is (A −LC)-invariant by the assumption, the un-

observable subspace of (

ˆ

H

i

C, A −LC) is

ˆ

T

i

. Therefore, from the Lyapunov equation

(4.19), the observability grammian K

i

has a null space

ˆ

T

i

.

4.7.2 Proof of Lemma 4.2

For j = 1, by using Lemma 4.8 in Appendix 4.7.8,

Γ

−1

q

¸

i=1

K

i

−1

K

1

Γ =

q

¸

i=1

Γ

T

K

i

Γ

−1

Γ

T

K

1

Γ =

¯

K

1

0 0

0

.

.

. 0

0 0

¯

K

q

¸

¸

¸

−1

¸

¯

K

1

0

0 0

=

¸

I 0

0 0

Γ

−1

q

¸

i=1

H

i

−1

H

1

Γ =

q

¸

i=1

Γ

T

H

i

Γ

−1

Γ

T

H

1

Γ =

¯

H

1

0 0

0

.

.

. 0

0 0

¯

H

q

¸

¸

¸

−1

¸

¯

H

1

0

0 0

=

¸

I 0

0 0

Therefore, (

¸

q

i=1

K

i

)

−1

K

1

= (

¸

q

i=1

H

i

)

−1

H

1

. It can be shown similarly for j = 2 · · · q.

112

4.7.3 Proof of Lemma 4.3

By multiplying (4.16) by H

i

from the left and right, substituting (4.29) and applying

Lemma 4.9 in Appendix 4.7.8,

H

i

−

˙

W

i

+ (A −P

i

C

T

V

−1

C)W

i

+W

i

(A −P

i

C

T

V

−1

C)

T

−W

i

C

T

V

−1

CW

i

H

i

= 0

Note that A −P

i

C

T

V

−1

C is the closed-loop A matrix of the single-fault ﬁlter. Then,

˙

W

i

= (A −P

i

C

T

V

−1

C)W

i

+W

i

(A −P

i

C

T

V

−1

C)

T

−W

i

C

T

V

−1

CW

i

+

ˆ

T

i

ˆ

T

T

i

because Ker H

i

=

ˆ

T

i

where Im

ˆ

T

i

=

ˆ

T

i

. Since

ˆ

T

i

is (A −P

i

C

T

V

−1

C)-invariant from

Chapter 3, the controllable subspace of (A −P

i

C

T

V

−1

C,

ˆ

T

i

) is

ˆ

T

i

and ImW

i

=

ˆ

T

i

.

Therefore, H

i

W

i

= 0.

4.7.4 Proof of Lemma 4.4

By multiplying (4.16) by H

i

from the left and right, substituting (4.30) and applying

Lemma 4.9 in Appendix 4.7.8,

H

i

−

˙

W

i

+ (A −P

i

C

T

V

−1

C)W

i

+W

i

(A −P

i

C

T

V

−1

C)

T

H

i

= 0

Then,

˙

W

i

= (A −P

i

C

T

V

−1

C)W

i

+W

i

(A −P

i

C

T

V

−1

C)

T

+

ˆ

T

i

ˆ

T

T

i

because Ker H

i

=

ˆ

T

i

. Since the controllable subspace of (A −P

i

C

T

V

−1

C,

ˆ

T

i

) is

ˆ

T

i

,

ImW

i

=

ˆ

T

i

. Since Ker

ˆ

H

i

= C

ˆ

T

i

(4.12),

ˆ

H

i

CW

i

C

T

ˆ

H

i

= 0. Therefore,

J

∗

=

1

t

1

−t

0

t

1

t

0

tr

s

¸

i=1

ˆ

H

i

CW

i

C

T

ˆ

H

i

dt = 0

113

4.7.5 Proof of Lemma 4.5

From Lemma 3.6, when C

ˆ

F

i

= 0,

P

i

= γ

−1/2

u

1

u

2

¸

Π

−1

211

0

0 0

¸

u

T

1

u

T

2

+

u

1

u

2

¸

Π

−1

211

(Π

212

Π

−1

022

Π

T

212

−Π

411

)Π

−1

211

−Π

−1

211

Π

212

Π

−1

022

−Π

−1

022

Π

T

212

Π

−1

211

Π

−1

022

¸

u

T

1

u

T

2

+· · ·

In the limit, the projector H

i

(4.28) is

H

i

: X →X , Ker H

i

= Imu

1

, H

i

= I −u

1

u

T

1

Then, in the limit

H

i

P

i

= u

2

−Π

−1

022

Π

T

212

Π

−1

211

Π

−1

022

¸

u

T

1

u

T

2

+· · ·

which is ﬁnite.

From Lemma 3.6, when C

ˆ

F

i

= 0 and CA

ˆ

F

i

= 0,

P

i

=

u

1

u

2

v

1

u

2

v

2

¸

¯

Π

1111

¯

Π

1112

¯

Π

T

1112

¯

Π

1122

¯

Π

12

¯

Π

T

12

Π

−1

02222

¸

¸

¸

u

T

1

v

T

1

u

T

2

v

T

2

u

T

2

¸

¸

+· · ·

In the limit, the projector H

i

(4.28) is

H : X →X , Ker H = Im[ u

1

u

2

v

1

] , H = I −[ u

1

u

2

v

1

][ u

1

u

2

v

1

]

T

Then, in the limit,

H

i

P

i

= u

2

v

2

¯

Π

T

12

Π

−1

02222

¸

u

T

1

v

T

1

u

T

2

v

T

2

u

T

2

¸

¸

which is ﬁnite. By induction, the hypothesis is true.

4.7.6 Proof of Theorem 4.6

Since P

i

goes to inﬁnity in the limit, Π

i

= P

−1

i

has a null space and

−

˙

Π

i

= Π

i

A +A

T

Π

i

+ Π

i

1

γ

i

ˆ

F

i

ˆ

Q

i

ˆ

F

T

i

−F

i

Q

i

F

T

i

+B

w

Q

w

B

T

w

Π

i

−C

T

V

−1

C (4.35)

114

The dynamic equation of the error without process and sensor noise can be written

as

Π

i

˙ e = Π

i

(A −LC)e + Π

i

ˆ

F

i

ˆ µ

i

when the associated nuisance fault occurs. By substituting (4.30),

Π

i

˙ e =

Π

i

A −Π

i

q

¸

i=1

H

i

−1

q

¸

i=1

H

i

P

i

C

T

V

−1

C

¸

¸

e + Π

i

ˆ

F

i

ˆ µ

i

Since Π

i

(

¸

q

k=1

H

k

)

−1

H

j=i

= 0 which can be shown similarly to Lemma 4.9 in Ap-

pendix 4.7.8,

Π

i

˙ e =

Π

i

A −Π

i

q

¸

i=1

H

i

−1

H

i

P

i

C

T

V

−1

C

¸

¸

e + Π

i

ˆ

F

i

ˆ µ

i

Since Π

i

(

¸

q

k=1

H

k

)

−1

H

i

= Π

i

which can also be shown similarly to Lemma 4.9,

Π

i

˙ e = (Π

i

A −C

T

V

−1

C)e + Π

i

ˆ

F

i

ˆ µ

i

By adding

˙

Π

i

e to both sides and substituting (4.35),

d

dt

(Π

i

e) = −

¸

A

T

+ Π

i

1

γ

i

ˆ

F

i

ˆ

Q

i

ˆ

F

T

i

−F

i

Q

i

F

T

i

+B

w

Q

w

B

T

w

Π

i

e + Π

i

ˆ

F

i

ˆ µ

i

Since Π

i

ˆ

F

i

→0 in the limit from Chapter 3, the error will always stay in Ker Π

i

when

the associated nuisance fault

ˆ

F

i

occurs. Therefore, Ker Π

i

is (A −LC)-invariant

where L is (4.30). For time-invariant systems, Ker Π

i

=

ˆ

T

i

from Chapter 3. For

time-varying systems, Ker Π

i

⊆

ˆ

T

i

from Chapter 3. Since the idea of the invariant

zero direction is not deﬁned for time-varying systems, Assumption 4.5 is assumed

to imply that Ker Π

1

⊕· · · ⊕Ker Π

q

spans the state space for time-varying systems.

Then, under Assumption 4.5, Ker Π

i

=

ˆ

T

i

for both time-invariant and time-varying

systems. Therefore,

ˆ

T

i

is (A −LC)-invariant where L is (4.30).

115

4.7.7 Proof of Lemma 4.7

When the faults are mutually detectable (Massoumnia, 1986),

ˆ

T

i

=

T

1

· · · T

i−1

T

i+1

· · · T

q

**Since Assumption 4.5 implies that the faults are mutually detectable,
**

ˆ

T

1

∩ · · · ∩

ˆ

T

i−1

∩

ˆ

T

i+1

∩ · · · ∩

ˆ

T

q

= T

i

From Theorem 4.6,

ˆ

T

1

· · ·

ˆ

T

q

are (A −LC)-invariant where L is (4.30). Therefore, T

i

is (A −LC)-invariant where L (4.30).

4.7.8 Lemmas

Lemma 4.8. There exists a state transformation Γ,

T

1

· · · T

q

= Γ

Z

1

0 0

0

.

.

. 0

0 0 Z

q

¸

¸

¸

where Z

i

, i = 1 · · · q, are any invertible k

i

×k

i

matrices and k

i

= dimT

i

such that

Γ

T

K

1

Γ =

¸

¯

K

1

0

0 0

, Γ

T

K

2

Γ =

0 0 0

0

¯

K

2

0

0 0 0

¸

¸

, · · · , Γ

T

K

q

Γ =

¸

0 0

0

¯

K

q

**in the limit and
**

Γ

T

H

1

Γ =

¸

¯

H

1

0

0 0

, Γ

T

H

2

Γ =

0 0 0

0

¯

H

2

0

0 0 0

¸

¸

, · · · , Γ

T

H

q

Γ =

¸

0 0

0

¯

H

q

**Proof. From Lemma 4.1,
**

Ker K

1

=

T

2

· · · T

q

= Γ

¸

0

ˆ

Z

1

where

ˆ

Z

1

is a block diagonal matrix with diagonal matrix elements Z

2

· · · Z

q

. Then,

K

1

Γ

¸

0

ˆ

Z

1

= 0 ⇒ Γ

T

K

1

Γ

¸

0

ˆ

Z

1

= 0

116

Since

ˆ

Z

1

is invertible by deﬁnition and Γ

T

K

1

Γ is symmetric,

Γ

T

K

1

Γ =

¸

¯

K

1

0

0 0

**It can be shown similarly for K
**

i

, i = 2 · · · q, and H

i

, i = 1 · · · q.

Lemma 4.9.

H

i

q

¸

k=1

H

k

−1

H

j

=

H

i

, i = j

0 , i = j

Proof. For i = j = 1, by using Lemma 4.8,

Γ

T

H

1

q

¸

k=1

H

k

−1

H

1

Γ = (Γ

T

H

1

Γ)

q

¸

k=1

Γ

T

H

k

Γ

−1

(Γ

T

H

1

Γ)

=

¸

¯

H

1

0

0 0

¯

H

1

0 0

0

.

.

. 0

0 0

¯

H

q

¸

¸

¸

−1

¸

¯

H

1

0

0 0

=

¸

I 0

0 0

¸

¯

H

1

0

0 0

=

¸

¯

H

1

0

0 0

= Γ

T

H

1

Γ

Therefore, H

1

(

¸

q

k=1

H

k

)

−1

H

1

= H

1

. It can be shown similarly for other cases where

i = j. For i = 1 and j = 2,

Γ

T

H

1

(

q

¸

k=1

H

k

)

−1

H

2

Γ = (Γ

T

H

1

Γ)(

q

¸

k=1

Γ

T

H

k

Γ)

−1

(Γ

T

H

2

Γ)

=

¸

¯

H

1

0

0 0

¯

H

1

0 0

0

.

.

. 0

0 0

¯

H

q

¸

¸

¸

−1

0 0 0

0

¯

H

2

0

0 0 0

¸

¸

=

¸

I 0

0 0

0 0 0

0

¯

H

2

0

0 0 0

¸

¸

= 0

Therefore, H

1

(

¸

q

k=1

H

k

)

−1

H

2

= 0. It can be shown similarly for other cases where

i = j.

117

Chapter 5

Conclusion

In this dissertation, the robust multiple-fault detection ﬁlter has been developed.

Two special cases of the ﬁlter are the optimal stochastic fault detection ﬁlter and the

generalized least-squares fault detection ﬁlter. This ﬁlter is derived by dividing the

output error into several subspaces. For each subspace, the transmission from one

fault is maximized, and the transmission from other faults is minimized. Therefore,

each projected residual is aﬀected primarily by one fault and minimally by other

faults. It is shown that this ﬁlter becomes equivalent to the RDD ﬁlter in the limit

and extends the RDD ﬁlter to the time-varying case. Diﬀerent from other algorithms

for the RDD and BJD ﬁlters which explicitly force the geometric structure by us-

ing eigenstructure assignment or geometric theory, this ﬁlter is derived from solving

an optimization problem and only in the limit, is the geometric structure of the

RDD ﬁlter recovered. When it is not in the limit, the ﬁlter only isolates the faults

within approximate unobservable subspaces. This new feature allows the ﬁlter to

be potentially more robust since the ﬁlter structure is less constrained. This unique

optimization problem allows the design of the detection ﬁlter in its most general and

potentially most robust form: an approximate RDD ﬁlter. Although the process of

deriving the ﬁlter gain requires the solution to a two-point boundary value problem,

the ﬁlter gain computation can be done oﬀ-line so that the ﬁlter implementation is

118

as straightforward as the RDD ﬁlter. Future work should include the development of

a robust numerical algorithm for solving the two-point boundary value problem.

119

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c Copyright by Robert Hsu Chen 2000

The dissertation of Robert Hsu Chen is approved.

D. Lewis Mingori

James S. Gibson

Fernando Paginini

Randal K. Douglas

Jason L. Speyer, Committee Chair

University of California, Los Angeles 2000

ii

To my parents iii .

. vi vii viii viii x 1 3 4 5 10 12 14 16 21 22 25 29 30 38 41 45 Fault Modeling . . . . . . . . . . . . . . . . . . Abstract . . . . . Limiting Case . . .4 2. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Acknowledgments . . . . . . . . . . . . . .2 1. . . . . .1. . . . . . . iv . . . . . . . . . . . . . . .5 2. . . . . . . . . . . . . .1. . .4 1. . . .7 Problem Formulation . . . . . . .3 2. . .6 2. . . . . . . . . . . . . . . . . . . . . . . Properties of the Null Space of S . . . . . . . . . . . . . . . . . . . . . . . . . Example . . . . . . . . . . . . . . . . . Vita . . . . . . . . . . . . . . .1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .2 2. . . . . . . . . . . . . . . . .5 1. . . . . . . . . . . . . . . . . . . . . . . . . . .3 1. . . . . Conditions for the Nonpositivity of the Cost Criterion . . . . . . . . . . . . . . . . . . . . . . . Unknown Input Observer . . . . . . . . . . 2 A Generalized Least-Squares Fault Detection Filter 2. . . . . . . . . . . . . . Overview of the Dissertation . . . . . . . . .TABLE OF CONTENTS List of Figures . Restricted Diagonal Detection Filter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .2 . . . . . . . . . . . . . . . . . . Reduced-Order Filter . . . . . Beard-Jones Detection Filter . . . . . . Approximate Unknown Input Observer . . . . . . . . . . . Solution . . . . . . . Publications . . . . . . . . . . . .1 1. .1 Fault Detection Filter Background 1. . . . . . .1. . . . . . .1 2. . . . . . 1 Introduction 1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1. . . . . . . . . . . .

. . . . . . . . . . . . . . . . . . . . . . . Limiting Case . . . . . . . . . . . Limiting Case . . . . . . . . . . . . . . . . .5. . . . . . . . . . . .2 4. . . . . . .5 System Model and Assumptions .6 3. . . . . . . . . . . . . . .4 4. . . . . . . 4 Robust Multiple-Fault Detection Filter 4. . . .5 4. . . . . . . . Appendix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1 4. . . . . . . . . . . . . . . . . Example . . . . . 100 Appendix . . . . . .2 3. . . . . . . . . .7 . . . . . . .2 3. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Solution . . . . . .1 3. . . . . . . . . . . . . . . . . . . . . . . . .3 4.3 3. . . . . . . . . . . . . . . . . .5. . . . . . . . . . . . . Solution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Example . . . . . . . . . . . . . . . . . . 120 v . . . . . . . . . . . . . . .6 4. . Problem Formulation . . . . . . . . . . . . . . . . . . . . . . Analysis . . . . . . . . . . .7 System Model and Assumptions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ˆ Minimization with respect to H . . . . 112 118 5 Conclusion Bibliography . . . . . . . . . . .3 Optimal Stochastic Fault Detection Filter 3. . . . . . . . . . . . . . . . . . . . . . . . Perturbation Analysis 3. . . . . . . . . . Problem Formulation .4 3. . . . 51 52 55 57 60 64 65 67 69 74 84 85 88 91 95 99 Expansion . . . . . . . .1 3. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

. .5 Frequency response of the two single-fault ﬁlters and the multiple-fault ﬁlter . . . . . .3 4. 109 4. . . . . . . . . . .3 3. . Frequency response from the target fault to the residual . 106 4. . . . . . . . . . . .1 2. . 110 vi . . . . . . . . . . . . . . . .6 Frequency response of the multiple-fault ﬁlter under plant uncertainties . . . . . . . . . . . . . . . .1 3.2 3. . . . . . . . . . . . . . .2 4. . . . . Time response of the residual . . . . . . 105 Frequency response of the multiple-fault ﬁlter when s = 2 for diﬀerent Q1 . . . . . . . . . . . . . . . . . . . . . . . . . 103 Frequency response of the multiple-fault ﬁlter when s = 3 .1 4. . . . . . . . . . . . . . . .2 Frequency response from both faults to the residual . . . . . . . . . . . . . . . . 104 Frequency response of the multiple-fault ﬁlter when s = 2 . . . . . . . . . . . .4 Time response of the residual . . . . . Eigenvalues of the Riccati matrix P and the ﬁlter for diﬀerent Q1 . . . . . . . . . . . . . . . . . .3 3. . . . . . . . . . . . . . . . . Frequency response from the target fault and sensor noise to the residual . . . . . . . . . . . . . . . 47 48 49 71 72 73 73 2. . . . . Frequency response from both faults to the residual . . . . . . . . . .LIST OF FIGURES 2. . . . . . . . . . . . Frequency response of the three single-fault ﬁlters .4 4. . . . . . . . . .

Randal K.ACKNOWLEDGMENTS I would like to thank Professor Jason L. vii . Speyer for his patience. I would also like to thank Professor D. Lewis Mingori for his help over the years in the PATH project. I have beneﬁted immensely by being his student. I would like to thank Dr. guidance and encouragement through the years I have been at UCLA. Douglas for sharing his insight and expertise especially in the ﬁeld of fault detection and identiﬁcation and for his continued support. My appreciation also goes to the rest of my committee for their time and helpful comments in support of my dissertation.

Speyer. Speyer.Special Issue on Fault Detection and Isolation. 1997.. Robert H.S. 1999. Speyer. 3882-3886. Robert H. pp. 91-96. pp. 1970 Born.S.”Model Input Reduction. Mechanical Engineering University of California. Anderson. Los Angeles Graduate Research Assistant Mechanical and Aerospace Engineering Department University of California.. Chen and Jason L. Robert H.” Proceedings of the American Control Conference. Chen and Jason L.” to be published in the International Journal of Adaptive Control and Signal Processing . Chen and Jason L.” Proceedings of the 38th Conference on Decision and Control. pp. 1999. Power Mechanical Engineering National Tsing Hua University Taiwan M.VITA June 17. ”Optimal Stochastic Fault Detection Filter. Los Angeles 1994 1993-2000 PUBLICATIONS Robert H.” Proceedings of the American Control Conference. 2000. Speyer. Robert H. viii . ”Residual-Sensitive Fault Detection Filter. 835-851 Randal K. South Carolina 1992 B. Chen and Jason L. Chen and Jason L. Speyer. 1999. 4965-4970. pp.” Proceedings of the 7th IEEE Mediterranean Conference on Control and Automation. ”Optimal Stochastic Multiple-Fault Detection Filter. ”A Generalized Least-Squares Fault Detection Filter. Douglas.

Douglas. Lewis Mingori and Jason L. D. Speyer. 201-206. pp.”Fault Detection and Identiﬁcation for Advanced Vehicle Control Systems. ix .Randal K.” Proceedings of the 13th World Congress. Robert H. Malladi. Durga P. Chen. 1996.

The ﬁrst two design algorithms. Los Angeles. The ﬁrst ﬁlter is derived from solving a min-max problem with a generalized least-squares cost criterion which explicitly makes the residual sensitive to the target fault. are determined for the unknown input observer. three fault detection and identiﬁcation algorithms are presented. Speyer. called the generalized least-squares fault detection ﬁlter and the optimal stochastic fault detection ﬁlter.ABSTRACT OF THE DISSERTATION Fault Detection Filters for Robust Analytical Redundancy by Robert Hsu Chen Doctor of Philosophy in Mechanical Engineering University of California. 2000 Professor Jason L. The objective of both ﬁlters is to monitor a single fault called the target fault and block other faults which are called nuisance faults. The second ﬁlter is derived by minimizing the transmission from the nuisance faults to the projected output error while maximizing the transmission from the target fault so that the residual is aﬀected primarily by the target fault x . but insensitive to the nuisance faults. Chair In this dissertation.

Filter designs can be obtained for both time-invariant and time-varying systems. This new feature allows the ﬁlter to be potentially more robust since the ﬁlter structure is less constrained. is the geometric structure of the restricted diagonal detection ﬁlter recovered. The ﬁlter is derived by dividing the output error into several subspaces. this ﬁlter is derived from solving an optimization problem and only in the limit. The third design algorithm. the transmission from one fault is maximized. each projected residual is aﬀected primarily by one fault and minimally by other faults. Therefore. xi . Rather. It is shown that both ﬁlters approximate the properties of the classical unknown input observer. This ﬁlter is diﬀerent from other algorithms for the restricted diagonal or Beard-Jones detection ﬁlter which explicitly force the geometric structure by using eigenstructure assignment or geometric theory. and the transmission from other faults is minimized. It is shown that this ﬁlter approximates the properties of the classical restricted diagonal detection ﬁlter.and minimally by the nuisance faults. Filter designs can be obtained for both time-invariant and time-varying systems. For each subspace. is determined for the restricted diagonal detection ﬁlter of which the Beard-Jones detection ﬁlter is a special case. When it is not in the limit. called the robust multiple-fault detection ﬁlter. the ﬁlter only isolates the faults within approximate invariant subspaces.

If a sensor fails. the controller will not work properly since it is designed on the nominal plant. If an actuator fails. If a fault develops in the plant. additional computation is required. Therefore. This process is called fault detection and identiﬁcation.Chapter 1 Introduction Any system under automatic control demands a high degree of reliability to operate properly. To avoid this situation. the residual is nonzero only when a fault has occurred and is zero at other times. The most common approach to fault detection and identiﬁcation is hardware redundancy which is the direct comparison of the output from identical components. An alternative is analytical redundancy which uses the modeled dynamic relationship between system inputs and measured system outputs to form a residual process used for detecting and identifying faults. hardware redundancy is expensive and limited by space and weight. This approach requires very little computation. The controller also relies on the health of the sensors and actuators. the controller’s command will be generated by using incorrect measurements. However. Nominally. the controller’s command will not be applied properly to the plant. no redundant components are needed. A popular approach to analytical redundancy is the detection ﬁlter which was 1 . However. one needs a health monitoring system capable of detecting a fault as it occurs and identifying the faulty component.

1987). which needs to be detected. 1996). Then.ﬁrst introduced by (Beard. 1999) improves the robustness of the BJD ﬁlter by imposing the geometric structure to completely isolate the faults. it is shown that the RDD ﬁlter is equivalent to the BJD ﬁlter (Massoumnia. which rely on the eigenstructure assignment (White and Speyer. the RDD ﬁlter. In (Massoumnia. 1986) and (White and Speyer. which is more general and more robust. It is also known as Beard-Jones detection (BJD) ﬁlter. is given of which the BJD ﬁlter is a special case. Instead of placing each fault into an invariant subspace like the BJD ﬁlter does. when a nonzero residual is detected. multiple faults can be monitored in one ﬁlter. but not to the other faults. For example. some faults do not need to be detected. certain process noise and plant uncertainties may be modeled as faults. 1986). limit the applicability of the 2 . However. 1996) or geometric theory (Massoumnia. each projected residual is only sensitive to one fault. Douglas and Speyer. When every fault is detected. Douglas and Speyer. In this way. but only need to be blocked from the projected residuals. into the unobservable subspace of a projected residual. Note that the design algorithms for the RDD or BJD ﬁlter. 1999). 1973). A geometric interpretation and a spectral analysis of the BJD ﬁlter are given in (Massoumnia. A design algorithm (Douglas and Speyer. Therefore. called the restricted diagonal detection (RDD) ﬁlter. By relaxing the constraint on detecting some faults which do not need to be detected. The idea of the BJD ﬁlter is to place the reachable subspace of each fault into invariant subspaces which do not overlap each other. the RDD ﬁlter places all the other faults associated with each fault. 1986). a fault can be announced and identiﬁed by projecting the residual onto each of the invariant subspaces. then the design freedom remaining is used to bound the process and sensor noise transmission. 1971) and reﬁned by (Jones. 1986. is obtained (Douglas and Speyer. respectively. a more general form of the detection ﬁlter. 1987.

2. 1998). 1989.3. actuator and sensor faults are given (Beard..detection ﬁlter to time-invariant systems and have not enhanced the sensitivity of the projected residuals to their associated faults from the ﬁlter structure. 1971. Patton and Chen. 1989. but not to the nuisance faults. In Section 1. the background of the fault detection ﬁlter is given. Another beneﬁt of the approximate unknown input observer is that time-varying systems can be treated. 1993).2 and 1. respectively (Massoumnia. the models of the plant. the ﬁlter can either completely block the nuisance faults or partially block the nuisance faults. 3 .1.. The nuisance faults are placed in the unobservable subspace of the residual.1. 1998). the unknown input observer (Massoumnia et al.1. Chung and Speyer. the BJD ﬁlter problem and the RDD ﬁlter problem are stated. Therefore.1. 1992). One related approach. is another special case of the RDD ﬁlter when only one fault is detected.1 Fault Detection Filter Background In this section.5. an approximate unknown input observer can be obtained by solving a disturbance attenuation problem (Chung and Speyer. 1987. 1. 1998). This new feature allows the ﬁlter to be potentially more robust since the ﬁlter structure is less constrained. In Section 1. White and Speyer. Douglas. the residual is sensitive to the target fault. and the geometric solutions are given. the background of the fault detection ﬁlter is given.1. Chung and Speyer. In Sections 1. there is an overview of the dissertation. The faults are divided into two groups: a single target fault and possibly several nuisance faults. 1986.4 and 1. In Section 1. In Sections 1. respectively (Massoumnia et al.1. the unknown input observer problem and the approximate unknown input observer problem are reviewed. Although only one fault can be monitored in each unknown input observer. By adjusting the disturbance attenuation bound.1.

White and Speyer.1a) (1. For a fault in the ith sensor. 1987). For example. x = Ax + Bu u ˙ y = Cx (1. 1971.1b) (Beard. Consider a linear system. x = Ax + Bu u + Fai µai ˙ where Fai is the ith column of Bu and µai is an unknown and arbitrary function of time that is zero when there is no fault. All system variables belong to real vector spaces. it can be modeled similarly by pulling out the corresponding entries in the A matrix. actuator and sensor faults are given (Beard. White and Speyer. 1987. it is modeled as an additive term in the state equation (1.1a) (Beard. The failure mode µsi models the time-varying amplitude of the sensor fault while the failure signature 4 .1.1b) where u is the control input and y is the measurement. 1987). y = Cx + Esi µsi (1. Chung and Speyer. it is modeled as an additive term in the measurement equation (1.1 Fault Modeling In this section. 1971. Bu and C can be time-varying. a stuck ith actuator fault can be modeled as ui + µai = ca where ui is the control command of the ith actuator and ca is a constant. System matrices A.2) where Esi is a column of zeros except a one in the ith position and µsi is an unknown and arbitrary function of time that is zero when there is no fault. the models of the plant. For a fault in the ith actuator. White and Speyer. 1971.1. The failure mode µai models the time-varying amplitude of the actuator fault while the failure signature Fai models the directional characteristics of the actuator fault. 1998). For a fault in the plant.

For example.1. 1. such as in the case of a bias.1. Then.2) is obtained (Chung and Speyer. Following the development in Section 1.3). if it is known that a sensor fault has only low frequency components. Or.2) can be written as y = Cx ¯ and the dynamic equation of x is ¯ ˙ x = A¯ + Bu u + ¯ x Afsi − f˙si fsi −µsi µsi ˙ (1. 1986. The interpretation of (1. an input to the plant which drives the measurement in the same way that µsi does in (1. the fault direction could be approximated by the Afsi − f˙si direction. 1993).Esi models the directional characteristics of the sensor fault. 1998). for the fault detection ﬁlter design. a bias ith sensor fault can be modeled as µsi = cs where cs is a constant. Therefore.3) Here f˙si and µsi are assumed once continuously diﬀerentiable. the sensor fault is modeled as a two-dimension additive term in the state equation (1. Douglas. any 5 .1. the fault direction could be approximated by the fsi direction. the BJD ﬁlter problem is reviewed by using geometry theory (Massoumnia. (1. This suggests that a possible simpliﬁcation when information about the spectral content of the sensor fault is available. Deﬁne a new state x. ¯ x = x + fsi µsi ¯ where Esi = Cfsi .2 Beard-Jones Detection Filter In this section. If it is known that the sensor fault has persistent and signiﬁcant high frequency components. For the fault detection ﬁlter design.3) is that Afsi − f˙si represents the sensor fault magnitude µsi direction and fsi represents the sensor fault rate µsi ˙ direction.

actuator and sensor fault can be modeled as an additive term in the state equation. A)-invariant subspace which contains the 6 . the dynamic equation of the error.4) and (1. Therefore. The objective of the BJD ﬁlter problem is to choose a ﬁlter gain L such that when a fault µi occurs. Consider a linear observer. Therefore. a fault has occurred.5). is ˆ q (1. the error remains in a (C. After the transient response due to the initial condition error.5) e = (A − LC)e + ˙ i=1 Fi µi and the residual can be written as r = Ce If the observer gain L is chosen to make A − LC stable. e = x − x.4a) (1.plant.4b) y = Cx Assume the Fi are monic so that µi = 0 imply Fi µi = 0. any stable observer can detect the occurrence of a fault by monitoring the residual and when it is nonzero. ˙ ˆ x = Aˆ + Bu u + L(y − C x) ˆ x and the residual r = y − Cx ˆ By using (1. a linear time-invariant observable system with q failure modes can be modeled by q x = Ax + Bu u + ˙ i=1 Fi µi (1. A more diﬃcult task is to determine which fault has occurred and that is what a fault detection ﬁlter is designed to do. the residual is nonzero only if a failure mode µi is nonzero and is almost always nonzero whenever µi is nonzero.

To avoid this situation. the (C. 1986). Then. called Wi . 1985) Wi0 = ∅ Wik+1 = ImFi ⊕ A(Wik For dim Fi = 1. Fi ) will not become part of the ﬁlter eigenvalues (Massoumnia. Fi ). the fault can be identiﬁed by projecting the residual onto each of the output subspaces. Ti is called the detection space or the minimal (C. L is not hard to ﬁnd. Fi ). A)-unobservability ˆ subspace of Fi because it is the unobservable subspace of (Hi C.8) where Vi is the subspace spanned by the invariant zero directions of (C. A)-invariant subspaces form the structure of the BJD ﬁlter while the ﬁlter gain L provides little or no insight into this structure. If the (C. Furthermore. Furthermore. A)-invariant subspaces. the residual remains in a ﬁxed output subspace. given a set of (C. 1986). the recursive algorithm implies Wi = Fi AFi · · · Aki Fi Ker C) (1. Thus. The minimal (C.7) where ki is the smallest non-negative integer such that CAki Fi = 0. A)-invariant subspace for each fault is chosen as Ti = Wi ⊕ Vi (1. A − LC) where ˆ ˆ ˆ Hi : Y → Y . the output subspace for each fault is independent to each other.6) (1. Ker Hi = CTi . A)-invariant subspace of Fi .reachable subspace of (A − LC. Fi ) will become part of the eigenvalues of the BJD ﬁlter (Massoumnia. is given by the recursive algorithm (Wonham. the (C. From geometric point of view. A. the invariant zeros of (C. A)-invariant subspaces will be discussed instead of L. Hi = I − CTi [(CTi )T CTi ]−1 (CTi )T 7 . the (C. A. the invariant zeros of (C. Then. A)invariant subspace for each fault is chosen as Wi . Therefore. A.

the designers needs to discard some faults from the design set. Fi ) has invariant zeros at origin if and only if (C. A. Therefore. F1 · · · Fq are mutually detectable if ( C. then usually. Fi ) has invariant zeros at origin (Kwakernaak and Sivan. the extra invariant zeros will become part of the ﬁlter eigenvalues. the fault can be identiﬁed by projecting the residual onto each CTi . If the faults are not output separable. A − LC. [ F1 · · · Fq ]) does not have more invariant zeros than (C. i = 1 · · · q. A. (C. It is desired that the projected residuals remain nonzero as long as their associated faults exist. 1998). Since the ﬁlter gain L does not change the invariant zero. 1972a). If the extra invariant zeros are in the right-half plane. Fi ). i = 1 · · · q. A. do not have invariant zeros at origin. Output separability also implies that the projected residuals will be nonzero for at least a period of time when their associated faults occur (Chung and Speyer. If the faults are not mutually detectable. Note that CTi = CWi because CVi = 0. A − LC. A)-invariant subspace for each fault is chosen as Ti . Fi ). the error remains in the subspace Ti and the residual remains in the output subspace CTi . 8 . A. to ensure a nonzero projected residual in steady state when its associated fault occurs. Mutual detectability ensures that every eigenvalue of the BJD ﬁlter can be assigned. 1986). Fi ) has invariant zeros at origin. When a fault µi occurs. For a bias fault µi . If CT1 · · · CTq are independent. no stable BJD ﬁlter can be obtained. (C.for some ﬁlter gains L. the steady-state residual is zero if (C. the necessary and suﬃcient condition of the existence of the ﬁlter gain L is that F1 · · · Fq are output separable and mutually detectable (Massoumnia. Given that the (C. F1 · · · Fq are output separable if CTi ∩ j=i CTj = 0 Output separability ensures that each fault can be isolated from other faults.

3. Assumption 1.4) that are needed in order to have a well-conditioned BJD ﬁlter. Note that these two design algorithms assign the ﬁlter eigenvalues arbitrarily and have not considered any disturbance. then the design freedom remaining is used to bound the H∞ norm of the transfer matrix from the process and sensor noise to the projected residuals. 1987. (C. Fi ). 1987). which places the left eigenvectors of the BJD ﬁlter to annihilate the minimal (C. 9 . F1 · · · Fq are output separable. Douglas and Speyer. do not have invariant zeros at origin. A)-unobservability subspace of each fault. an eigenstructure assignment algorithm. 1996).By summarizing the results above. the ratio of the H∞ norm of the transfer matrix from each fault to its associated modiﬁed projected residual to the H∞ norm of the transfer matrix from the process and sensor noise to each modiﬁed projected residual is maximized with respect to this vector. i = 1 · · · q. Assumption 1. Each projected residual is modiﬁed by multiplying a constant row vector from the left. the sensitivity of the projected residuals to their associated faults is enhanced. 1999). After the ﬁlter gain has been determined. is presented. There are several design algorithms developed for the BJD ﬁlter to determine the ﬁlter gain (White and Speyer. F1 · · · Fq are mutually detectable. 1999). there are three assumptions about the system (1. Then. In (Douglas and Speyer. is presented. A)-unobservability subspace of each fault. A. In (White and Speyer. the robustness of the BJD ﬁlter is improved by imposing the geometric structure to completely isolate the faults.1. In (Douglas and Speyer.2. which places the right eigenvectors of the BJD ﬁlter to span the minimal (C. Note that the ﬁlter structure is not used to enhance the sensitivity of the projected residuals to their associated faults. Assumption 1. 1996. an eigenstructure assignment algorithm.

1993). 10 . Therefore. Therefore. but not to the other faults [ µT · · · µT µT · · · µT ]T = µi .After the ﬁlter gain has been determined. Hi = I − C Ti [(C Ti )T C Ti ]−1 (C Ti )T (1. i = 1 · · · q. 1986. the dynamic equation of the error is q e = (A − LC)e + ˙ i=1 Fi µi and the projected residuals are ˆ ˆ Hi r = Hi Ce where i = 1 · · · q.2. Ker Hi = C Ti .3 Restricted Diagonal Detection Filter In this section. Fi ) where Fi = [ F1 · · · ˆ Fi−1 Fi+1 · · · Fq ]. 1. If the ﬁlter gain L is chosen to make the unobservable subspace of ˆ ˆ ˆ (Hi C. ˆ which annihilate [ CT1 · · · CTi−1 CTi+1 · · · CTq ] = C Ti . A)-unobservability subspace Ti like the BJD ﬁlter does. Then.9) ˆ The projected residual Hi r is nonzero only when the fault µi is nonzero and is zero ˆ even if other faults µj=i are nonzero. by monitoring Hi r. the error remains in Ti and the residual remains in CTi when a fault µi occurs. The RDD ﬁlter is a more general form of the detection ﬁlter of which the BJD ﬁlter is a special case. the RDD ﬁlter problem is reviewed by using geometry theory (Massoumnia. instead of ˆ 1 i−1 i+1 q placing each µi into its minimal (C. From Section 1. the fault can be identiﬁed by ˆ projecting the residual onto each CTi . the projected residual Hi r is only sensitive to the fault µi . i = 1 · · · q. Douglas. A − LC) contains the reachable subspace of (A − LC.1. Therefore. A)-unobservability subspace ˆ ˆ Ti if µi needs to be detected (Massoumnia.1. This is done by using projectors Hi . 1986). ˆ ˆ ˆ ˆ ˆ ˆ ˆ ˆ Hi : Y → Y . the RDD ﬁlter places each µi into its minimal (C. every fault can be detected and identiﬁed.

6 is less restrict than Assumption 1. F1 · · · Fq are mutually detectable.4. the RDD ﬁlter is a more general form of the detection ﬁlter because it does not require every fault to be detected while the BJD ﬁlter does. (C. 1996) for the RDD ﬁlter is an eigenstructure assignment algorithm which places the left eigenvectors of the RDD ﬁlter to annihilate the minimal (C. 11 .6. Assumption 1. A)-unobservability subspace of each fault. Assumption 1. Therefore. Assumption 1. The only design algorithm (Douglas and Speyer.5 ensures that every eigenvalue of the RDD ﬁlter can be assigned. the RDD ﬁlter is more robust than the BJD ﬁlter (Douglas and Speyer. F1 · · · Fq are output separable. certain process noise and plant uncertainties may be modeled as faults. A.4) that are needed in order to have a well-conditioned RDD ﬁlter (Massoumnia.4 ensures that each fault can be isolated from other faults. it is shown that the RDD ﬁlter is equivalent to the BJD ﬁlter (Massoumnia. For example. 1996). 1986).3. but only need to be blocked from the projected residuals. Assumption 1. some faults do not need to be detected.5. Note that Assumption 1.6 ensures a nonzero projected residual in steady state when its associated fault occurs. By relaxing the constraint on detecting some faults which do not need to be detected.When every fault is detected. However. Assumption 1. Assumption 1. Note that this design algorithm assigns the ﬁlter eigenvalues arbitrarily and has not considered any disturbance. Fi ) does not have invariant zeros at origin if µi needs to be detected. 1986). There are three assumptions about the system (1.

but not to the nuisance faults. ¯ ¯1 ¯i−1 ¯i+1 ¯q let µ1 = µi be the target fault and µ2 = [ µT · · · µT µT · · · µT ]T be the nuisance fault. The faults are divided into two groups: a single target fault and possibly several nuisance faults.11a) (1. 1989).7.10) can be rewritten as x = Ax + Bu u + F1 µ1 + F2 µ2 ˙ y = Cx ¯ ¯ ¯ ¯ ¯ where F1 = Fi and F2 = [ F1 · · · Fi−1 Fi+1 · · · Fq ]. Assumption 1. (1.11) that are needed in order to have a well-conditioned unknown input observer (Massoumnia et al. Then..10b) y = Cx ¯ ¯¯ Assume the Fi are monic so that µi = 0 imply Fi µi = 0. Assumption 1.11b) 12 . Assumption 1. the projected residual is sensitive to the target fault.4 Unknown Input Observer In this section. 1989). The nuisance faults are placed in the unobservable subspace of the projected residual..10a) (1. the unknown input observer problem is reviewed (Massoumnia et al.7 ensures that the target fault can be isolated from the nuisance fault. F1 and F2 are output separable. Consider a linear time-invariant observable system with q failure modes.8 ensures a nonzero projected residual in steady state when the target fault occurs. Since the unknown input ¯ observer is designed to detect only one fault and not to be aﬀected by other faults. q ˙ x = Ax + Bu u + i=1 ¯¯ Fi µ i (1. Therefore. The unknown input observer is another special case of the RDD ﬁlter when only one fault is detected. Note that there is only one projected residual because only the target fault needs to be detected.1.1. (1. There are two assumptions about the system (1.

F1 ) does not have invariant zeros at origin.8. the target fault can be detected. 1987. the RDD ﬁlter is equivalent to the unknown input observer. When only one fault is considered. Note that these design algorithms. the error and residual are not in some particular subspaces because there is no minimal (C. 1999) for the RDD or BJD ﬁlter can be used to determined the ﬁlter gain of the unknown input observer. but not to the nuisance fault where ˆ ˆ ˆ ˆ H : Y → Y . the unknown input observer is a special case of the RDD and BJD ﬁlters. 13 . the BJD ﬁlter is equivalent to the unknown input observer. Since the unknown input observer only places the nuisance fault into its minimal (C. (C. A)-unobservability subspace is formed for the nuisance fault. the projected ˆ residual Hr is only sensitive to the target fault. Douglas and Speyer.Assumption 1. the error remains in T2 and the residual remains in CT2 when the nuisance fault occurs. the design algorithms (White and Speyer. When only one fault is detected. There is no minimal (C. 1999). Therefore. H = I − C T2 [(CT2 )T CT2 ]−1 (CT2 )T (1. 1996. Ker H = CT2 . A)-unobservability subspace T2 while leaves the target fault unrestricted. A. 1987. limit the applicability of the fault detection ﬁlter to time-invariant systems and have not enhanced the sensitivity of the projected residuals to their associated faults from the ﬁlter structure.12) ˆ The projected residual Hr is nonzero only when the target fault is nonzero and is ˆ zero even if the nuisance fault is nonzero. A)-unobservability subspace formed for the target fault. Therefore. Therefore. 1996) or geometric theory (Douglas and Speyer. Note that the unknown input observer problem does not need the mutual detectability assumption because only one minimal (C. which rely on the eigenstructure assignment (White and Speyer. A)-unobservability subspace formed for the target fault. Douglas and Speyer. After the ﬁlter gain has been determined. by monitoring Hr. When the target fault occurs.

9 is the general requirement to design any linear observer (Kwakernaak and Sivan.13b) where the system matrices A. Assumption 1. For time-varying systems. Bu .1. A) is uniformly observable. 1998).13) that are needed in order to have a wellconditioned unknown input observer. Consider a linear system similar to (1. x = Ax + Bu u + F1 µ1 + F2 µ2 ˙ y = Cx (1.11). (C. For time-invariant systems.1.9. F1 · · · Fq are output separable.11 ensures for time-invariant systems.10 ensures that the target fault can be isolated from the nuisance fault (Chung and Speyer. an approximate unknown input observer is obtained by solving a disturbance attenuation problem (Chung and Speyer. Although only one fault can be monitored in each unknown input observer. a nonzero projected residual in steady state when the target fault occurs. Assumption 1.5 Approximate Unknown Input Observer In this section. C.13a) (1. Assumption 1. By adjusting the disturbance attenuation bound. Assumption 1. This new feature allows the ﬁlter to be potentially more robust since the ﬁlter structure is less constrained. Assumption 1. There are three assumptions about the system (1. A) is detectable. F1 and F2 can be time-varying. 1972a). (C. the approximate unknown input observer problem is reviewed (Chung and Speyer. the ﬁlter can either completely block the nuisance fault or partially block the nuisance fault. 1998). 14 . 1998).10. Another beneﬁt of the approximate unknown input observer is that time-varying systems can be treated.

16) The vectors bi. CTi = C(t)bi.1 (t) · · · C(t)bi.j is the smallest non-negative integer such that C(t)bi. i = 1 and 2.δi. δi.pi ..δi.j (t) ˙ bi. For time-varying systems (Chung and Speyer. For time-invariant systems. δi.j (t) = 0 for t ∈ [t0 .11.k (t) = A(t)bi. j = 1 · · · pi .1.pi (t) (1.pi fi.j . Rank CTi = pi 15 .j.j is the smallest non-negative integer such that CAδi. j = 1 · · · pi . 1998). Remark 1. CTi = CAδi.j.j fi. is the j-th column of Fi . are found from the iteration deﬁned by the Goh transformation (Bell and Jacobsen..j. The output separability test (1. The output separability test is Rank CT1 CT2 = p1 + p2 (1. bi. For time-invariant systems (Massoumnia et al.0 (t) = fi.1 fi.15) The vector fi. 1975).14) where p1 = dim F1 and p2 = dim F2 . 1989). A.j.j (t) is the j-th column of Fi .j = 0. t1 ]. respectively. F1 ) does not have invariant zeros at origin. i.1 · · · CAδi.Assumption 1.δi.k−1 (t) − bi.k−1 (t) where fi.δi. (C. i = 1 and 2.j.14) is based on the assumption that the vectors in F1 and F2 are output separable.j (t).j.e.pi (1.

2 · · · Aδi. A)unobservability subspace of Fi can not be determined by (1.2. the residual remains in CT2 . A)-invariant subspace. A (C.1 (t) bi.1.15) or (1.2 for time-invariant systems (Massoumnia et al. Since two other design algorithms will be presented in Chapters 2 and 3.16). called the generalized least-squares fault detection 16 .δi.. when the nuisance ˆ ˆ fault occurs. the minimal (C. After the ﬁlter gain has been determined. The ﬁrst design algorithm for the approximate unknown input observer is (Chung and Speyer.4. a new basis for F1 or F2 can be found such that the vectors in F1 and F2 are output separable.1. three fault detection and identiﬁcation algorithms are presented.8) for time-varying systems because the idea of the invariant zero direction is only deﬁned for timeinvariant systems. by monitoring the projected residual Hr where H is (1. 1989) and Wi = bi.1 fi. Therefore. 1998).0 (t) · · · bi.2 (t) for time-varying systems (Chung and Speyer. the ﬁlter gain determination will be explained later. respectively.16).where i = 1 and 2.15) or (1. 1.2 fi.0 (t) · · · bi. A)-invariant subspace of Fi is Wi = fi.2. the target fault can be detected. 1998).2 Overview of the Dissertation In this dissertation. This will be discussed in Section 2.δi. will be introduced for time-varying systems in Chapter 2.12) subject to (1. The minimal (C. The ﬁrst two design algorithms. (1. However. If the vectors in either F1 or F2 are not output separable.1 fi.1 · · · Aδi. which is similar to the minimal (C. A)-unobservability subspace.

since the target fault direction is now explicitly in the ﬁlter gain calculation. some new important properties are given. Since the ﬁlter is derived similarly to (Chung and Speyer. The third design algorithm. is not required in the derivation of this ﬁlter. 1975) and allowing the explicit dependence on the target fault which is not presented in (Chung and Speyer. Chung and Speyer. are determined for the approximate unknown input observer. 1998). In Chapter 2. 17 . the nuisance fault directions are generalized for time-invariant systems so that their associated invariant zero directions are included in the invariant subspace generated by the ﬁlter. It is also shown that this ﬁlter completely blocks the nuisance faults in the limit where the weighting on the nuisance faults is zero. 1998) also apply to this ﬁlter. 1998). Reduced-order ﬁlters are derived in the limit for both time-invariant and time-varying systems. Finally. In the limit. Therefore. A new least-squares problem with an indeﬁnite cost criterion is formulated as a min-max problem by generalizing the least-squares derivation of the Kalman ﬁlter (Bryson and Ho. many properties obtained in (Chung and Speyer. the generalized least-squares fault detection ﬁlter. 1975. A)-unobservability subspace for time-invariant systems and a similar invariant subspace for time-varying systems. is presented. the nuisance faults are placed in a minimal (C. motivated by (Bryson and Ho. Furthermore. However. the generalized least-squares fault detection ﬁlter becomes equivalent to the unknown input observer in the limit and extends the unknown input observer to the timevarying case. called the robust multiple-fault detection ﬁlter. This prevents the associated invariant zeros from becoming part of the eigenvalues of the ﬁlter. a mechanism is provided which enhances the sensitivity of the projected residual to the target fault. 1998). 1998). which annihilates the residual direction associated with the nuisance faults and is assumed in the problem formulation of (Chung and Speyer. the projector. For example.ﬁlter and the optimal stochastic fault detection ﬁlter. is determined for the approximate RDD ﬁlter.

For both time-invariant and time-varying systems. sensor noise and initial conditional error is to be minimized with respect to the ﬁlter gain and the projectors used for dividing the output error. The cost criterion is constructed such that the output error variance due to each associated target fault is to be maximized and the output error variance due to each associated nuisance fault. A)-unobservability subspace for time-invariant systems and a similar invariant subspace for time-varying systems. Brinsmead et al.In Chapter 3. is deﬁned on the output error by using a matrix projector derived from solving the optimization problem. it is shown that. each associated target and nuisance faults are included in the cost criterion. extensions and analysis of a fault detection ﬁlter. which is generalized to a vector. It is shown that this ﬁlter completely blocks the nuisance faults in the limit by placing them into a minimal (C. called optimal stochastic fault detection ﬁlter. Therefore. is minimized. 1994. are presented. 1997). is maximized. as a sum which produces approximately the geometric structure of the RDD ﬁlter. is derived by minimizing the transmission from the nuisance faults while maximizing the transmission from the target fault. The transmission. the optimal stochastic fault detection ﬁlter recovers the unknown input observer in the limit and extends the unknown input observer to the time-varying case. For each subspace. each projected residual is aﬀected primarily by one fault and minimally by other faults. denoted the associated target fault. Therefore. the transmission from one fault. Therefore. the robust multiple-fault detection ﬁlter is presented. This ﬁlter. and the transmission from other faults. in turn. in the limit where the weighting on each associated nuisance fault transmission goes to inﬁnity. process noise. Some new properties of this ﬁlter in the limit where the weighting on the nuisance fault transmission goes to inﬁnity are given. 18 .. In Chapter 4. ﬁrst developed in (Lee. The ﬁlter is derived by dividing the output error into several subspaces. denoted the associated nuisance fault.

this ﬁlter is derived from solving an optimization problem and only in the limit. These limiting results are important in ensuring that both fault detection and identiﬁcation can occur. this unique optimization problem allows the design of the detection ﬁlter in its most general and potentially most robust form: an approximate RDD ﬁlter. This ﬁlter is diﬀerent from the only other existing algorithm (Douglas and Speyer. the complementary subspace. a mechanism is provided which enhances the sensitivity of the projected residuals to their associated target faults. Finally. Note that the eigenstructure assignment approach (Douglas and Speyer.the robust multiple-fault detection ﬁlter places each associated nuisance fault into the unobservable subspace of the associated projected residual when there is no complementary subspace. Numerical examples show that the ﬁlter is an approximate RDD ﬁlter when it is not in the limit even if there exists the complementary subspace. This new feature allows the ﬁlter to be potentially more robust since the ﬁlter structure is less constrained. which only applies to time-invariant systems. 19 . When it is not in the limit. the ﬁlter only isolates the faults within approximate unobservable subspaces. since the associated target fault directions are explicitly in the ﬁlter gain calculation.1 Therefore. the robust multiple-fault detection ﬁlter becomes equivalent to the RDD ﬁlter in the limit and extends the RDD ﬁlter to the timevarying case. Nevertheless. 1996) for the RDD ﬁlter which explicitly forces the geometric structure by using eigenstructure assignment. the ﬁlter can be applied to time-varying systems since it is derived from solving an optimization problem which also allows the presence of process and sensor noise. Rather. is the geometric structure of the RDD ﬁlter recovered. A)-invariant subspace of each fault is assumed to ﬁll the entire state space leaving no remaining subspace. assigns the ﬁlter eigenvalues arbitrarily and does not consider any disturbance nor enhance the sensitivity of the projected residuals to their associated target faults. 1996). Although this new ﬁlter has all 1 The union of the (C. Furthermore.

the process of deriving the ﬁlter gain requires the solution to a twopoint boundary value problem which includes a set of Lyapunov equations. 20 . the ﬁlter gain computation can be done oﬀ-line so that the ﬁlter implementation is as straightforward as the RDD ﬁlter. However.these advantages.

a fault detection and identiﬁcation algorithm is determined from a generalization of the least-squares derivation of the Kalman ﬁlter.1 and its solution is derived in Section 2. It is shown that this ﬁlter approximates the properties of the classical fault detection ﬁlter such that in the limit where the weighting on the nuisance faults is zero. Bryson and Ho.Chapter 2 A Generalized Least-Squares Fault Detection Filter In this chapter. but insensitive to the nuisance faults. the nuisance fault directions and their associated invariant zero directions must be included in the invariant subspace generated by the generalized least-squares fault detection ﬁlter. 1998).3. Banavar and Speyer. 1991). The problem is formulated in Section 2.2 (Chung and Speyer. 1998. The ﬁlter is derived from solving a min-max problem with a generalized least-squares cost criterion which explicitly makes the residual sensitive to the target fault. However. 1991. The objective of the ﬁlter is to monitor a single fault called the target fault and block other faults which are called nuisance faults. the ﬁlter is derived 21 . In Section 2. the generalized least-squares fault detection ﬁlter becomes equivalent to the unknown input observer where there exists a reduced-order ﬁlter. In Section 2. some conditions for this problem are derived by using linear matrix inequality (Chung and Speyer. Rhee and Speyer.4. Filter designs can be obtained for both time-invariant and time-varying systems. 1975.

Bell and Jacobsen.2) can be rewritten ¯1 ¯i−1 ¯i+1 ¯q 22 . the nuisance faults are placed in an invariant subspace. Then. w is the process noise. Therefore.1a) (2. ¯ ¯¯ Assume the Fi are monic so that µi = 0 imply Fi µi = 0. it is shown that. a linear system with q failure modes can be modeled by q x = Ax + Bu u + Bw w + ˙ i=1 ¯¯ Fi µi (2.1a).1b) where u is the control input. System matrices A. in the limit.1 Problem Formulation Consider a linear system. and sensor fault can be modeled as an additive term in the state equation (2. reduced-order ﬁlters are derived in the limit for both time-invariant and time-varying systems. In Section 2. Bw and C are time-varying and continuously diﬀerentiable. A)-unobservability subspace. actuator. and v is the sensor noise. x = Ax + Bu u + Bw w ˙ y = Cx + v (2.1.6. 1975). 1998. any plant. let µ1 = µi be the target fault and ¯ µ2 = [ µT · · · µT µT · · · µT ]T be the nuisance fault. (2. x ∈ X .in the limit (Chung and Speyer.7. numerical examples are given. u ∈ U and y ∈ Y. this subspace is the minimal (C. and Fi are time-varying and continuously ¯ diﬀerentiable. Following the development in Section 1. All system variables belong to real vector spaces.5. In Section 2.2a) (2. In Section 2. For time-invariant systems. Bu .2b) y = Cx + v ¯ where µi belong to real vector spaces.1. 2. ¯ Since the generalized least-squares fault detection ﬁlter is designed to detect only one fault and not to be aﬀected by other faults. y is the measurement.

3) that are needed in order to have a well-conditioned unknown input observer.3b) (2. For time-invariant systems. The objective of blocking the nuisance fault while detecting the target fault can be achieved by solving the following min-max problem. F1 and F2 are output separable.5) 1 x(t0 ) − x0 ˆ 2 23 .2 ensures that the target fault can be isolated from the nuisance fault (Massoumnia et al. A) is uniformly observable.as x = Ax + Bu u + Bw w + F1 µ1 + F2 µ2 ˙ y = Cx + v ¯ ¯ ¯ ¯ ¯ where F1 = Fi and F2 = [ F1 · · · Fi−1 Fi+1 · · · Fq ]. Assumption 2. Assumption 2. F1 ) does not have invariant zeros at origin. Assumption 2. For time-varying systems. min max max max J µ1 µ2 w x(t0 ) (2. Assumption 2.4) where a generalized least-squares cost criterion is J= 1 2 − t µ1 t0 2 Q−1 1 − 2 Π0 µ2 2 γQ−1 2 − w 2 Q−1 w − y − Cx 2 V −1 dτ (2. 1972a). Assumption 2. Chung and Speyer.1 is the general requirement to design any linear observer (Kwakernaak and Sivan. There are three assumptions about the system (2. a nonzero residual in steady-state when the target fault occurs. Assumption 2. A.3 ensures for time-invariant systems. 1998).2. (C.. A) is detectable.3. For time-invariant systems.3a) (2. 1989.1. (C. (C.

process noise and initial condition. µ∗ .2. Qw . y − C x is more sensitive to the target fault. the residual used for detecting the target fault is ˆ r = H(y − C x) ˆ where x. (2. Qw . but does not enhance the sensitivity to the target fault. Therefore. ˆ the cost criterion blocks the nuisance fault. V and Π0 are positive deﬁnite. The interpretation of the min-max problem is the following. Therefore. H = I −C KerS[(C KerS)T C KerS]−1 (C KerS)T (2. is the optimal trajectory for 1 2 x where τ ∈ [t0 . called x. Note that when Q1 is larger.subject to (2. is given in Section 2. In (Chung and Speyer.7) (2. without the minimization with respect to µ1 . x∗ (t|Yt ) = x(t). called Ker S. When γ is ˆ smaller. Π0 and γ are design parameters to be chosen while V may be physically related to the power spectral density of the sensor noise because of (2. In Section 2. Since µ1 maximizes y − Cx and µ2 . However. Note that Q1 . Note that. t is the current time and y is assumed given. Q2 . 1975). x(t0 ) minimize y − Cx. y − C x is primarily sensitive to the target fault and ˆ ˆ minimally sensitive to the nuisance fault. γ is a non-negative scalar. respectively. the x associated with µ∗ . 1975). y − Cx∗ is made primarily sensitive to µ1 and minimally sensitive to µ2 . µ2 . Ker H = C KerS . Let µ∗ . From the boundary condition in Section 2. a ﬁltered estimate of the state.5) reduces to the standard least-squares cost criterion of the Kalman ﬁlter (Bryson and Ho. µ∗ . 1998). it is shown that the ﬁlter completely blocks the nuisance fault when γ is zero by placing it into an invariant subspace. at the current time t. Q1 . w and x(t0 ). Then. the ﬁltered estimate of the state.3a). w∗ 1 2 and x∗ (t0 ) be the optimal strategies for µ1 . w and x(t0 ).5. y − C x is less sensitive to the nuisance fault. since x∗ is the smoothed estimate of the state. w∗ and x∗ (t0 ).6) 24 . t] and given the measurement history Yt = {y(τ )|t0 ≤ τ ≤ t}. is needed ˆ for implementation. w.3b) (Bryson and Ho.2 and ˆ ˆ ˆ ˆ H : Y → Y . Q2 . x∗ (τ |Yt ).

it is not always possible to include every process noise to the nuisance fault. The plant uncertainties can also be considered similarly to the process noise. The diﬀerential game solved for the game-theoretic fault detection ﬁlter (Chung and Speyer. 1975. 1998) is min max max max J x ˆ µ2 y x(t0 ) where t1 J= t0 ˆ HC(x − x) ˆ 2 Q −γ µ2 2 M −1 − y − Cx 2 V −1 dt− x(t0 ) − x0 ˆ 2 −1 γP0 subject to x = Ax + Bu + F2 µ2 ˙ Note that the target fault is not included in the cost criterion nor the system. Also. Remark 3. In (Chung and Speyer. 1998.Ker S is given and discussed in Sections 2.4 and 2. 1991. the process noise and plant uncertainties can only be considered as part of the nuisance fault. Rhee and Speyer. Therefore. ˆ the derivation of the ﬁlter depends on the projector H which is deﬁned apriori. Remark 2. the size of the nuisance fault is limited because the target fault and nuisance fault have to be output separable.2 Solution In this section. The process noise can be considered as part of the nuisance fault so that it could be completely blocked from the residual.5. Banavar and Speyer. 2. However. Bryson and Ho. However. the min-max problem given by (2. there is no need for the generalized least-squares fault detection ﬁlter to explicitly introduce a projector in the cost criterion. The 25 . 1991).4) is solved (Chung and Speyer. 1998).

11b) (2.9) with boundary conditions (2.8e) (2.8c) into (2.8c). w and the dynamics of λ are T µ∗ = −Q1 F1 λ 1 (2. µ2 .8e) suggests that λ = Π(x∗ − x) ˆ where Π(t0 ) = Π0 x(t0 ) = x0 ˆ ˆ (2. (2. (2. λ(t0 ) = Π0 [x∗ (t0 ) − x0 ] ˆ λ(t) = 0 (2.8b) and (2.3a) and combining with (2.8f) By substituting (2.8e) and (2.8a).8b) (2. the two-point boundary value problem requires the solution to x∗ ˙ ˙ = λ A T −1 C V C 1 T T F Q F T −F1 Q1 F1 +Bw Qw Bw γ 2 2 2 T −A x∗ Bu u + −C T V −1 y λ (2.variational Hamiltonian of the problem is deﬁned as H= 1 2 µ1 2 Q−1 1 − µ2 2 γQ−1 2 − w 2 Q−1 w − y − Cx 2 V −1 + λT (Ax + Bu u + Bw w + F1 µ1 + F2 µ2 ) where λ ∈ Rn is a continuously diﬀerentiable Lagrange multiplier.8f).10) 26 . Note that x∗ is now the state using the optimal strategies (2. The form of (2.8a) (2.11a) (2.8d) µ∗ = 2 1 T Q2 F2 λ γ T w∗ = Qw Bw λ ˙ λ = −AT λ − C T V −1 (y − Cx) with boundary conditions.8b) and (2.8d). The ﬁrst-order necessary conditions (Bryson and Ho.8a).8c) (2. 1975) imply that the optimal strategies for µ1 .

w∗ (2. 1 J = 2 ∗ t t0 1 ˆ x∗ (t0 ) − x0 2 2 Π(t0 ) − 1 ˆ x∗ (t) − x(t) 2 2 Π(t) + 1 2 t t0 d dτ ˆ x∗ − x 2 Π dτ − x∗ − x ˆ 2 1 T T T Π( γ F2 Q2 F2 −F1 Q1 F1 +Bw Qw Bw )Π − y − Cx∗ 2 V −1 ˙ ˙ +(Πx∗ −Πx)T (x∗ − x) + (x∗ − x)T Π(x∗ − x) + (x∗ − x)T (Πx∗ −Πx) dτ ˙ ˆ ˆ ˆ ˙ ˆ ˆ ˙ ˆ 27 . By diﬀerentiating (2.13) 1 T T T F2 Q2 F2 − F1 Q1 F1 + Bw Qw Bw Π − C T V −1 C γ − x∗ − x ˆ 2 1 T T T Π( γ F2 Q2 F2 −F1 Q1 F1 +Bw Qw Bw )Π 2 Π0 − y − Cx∗ 2 V −1 dτ 1 x∗ (t0 ) − x0 ˆ 2 By adding the zero term 0= to J ∗ .and x is an intermediate state.10) into the cost criterion 1 2 (2.8a).9).8c) and (2. x 1 T T T ˙ ˆ 0 = Π + ΠA + AT Π + Π F2 Q2 F2 −F1 Q1 F1 +Bw Qw Bw Π − C T V −1 C (x∗ − x) γ ˙ − Πx + ΠAˆ + ΠBu u + C T V −1 (y − C x) ˆ x ˆ Therefore.11).5).10) is a solution to (2.10) and using (2. µ∗ (2. J∗ = 1 2 − t t0 (2. By substituting µ∗ (2.12) (2.9) if ˙ ˆ Πx = ΠAˆ + ΠBu u + C T V −1 (y − C x) ˆ x ˙ −Π = ΠA + AT Π + Π subject to (2. ˆ ˙ 0 = Π + ΠA + AT Π + Π ˙ − Π + AT Π + Π 1 T T T F2 Q2 F2 − F1 Q1 F1 + Bw Qw Bw Π − C T V −1 C x∗ γ 1 T T T ˆ F2 Q2 F2 − F1 Q1 F1 + Bw Qw Bw Π x γ ˙ − Πx + ΠBu u + C T V −1 y ˆ ˆ By adding and subtracting ΠAˆ and C T V −1 C x. (2.8b).

By substituting Acl into (2. ΠAcl + AT Π ≤ 0 and the ﬁlter cl is exponentially stable for time-varying systems and asymptotically stable for timeinvariant systems (Kwakernaak and Sivan.12). If Q1 is too large.12) is used by the residual (2.8f).13) into J ∗ and expanding ˙ (y − C x) − C(x∗ − x) ˆ ˆ 2 V −1 . For a steady-state ﬁlter. (2. (2.12) is Acl = A − Π−1 C T V −1 C. into J∗ = − 1 2 t t0 y − Cx ˆ 2 V −1 dτ Since x∗ = x at current time t (2.12).Note that x∗ (t) − x(t) ˆ 2 Π(t) = 0 because of the boundary condition (2. Note that (2. This can be interpreted as an attempt to make the cl residual sensitive to the target fault.8f). model reduction can be used to remove the uncontrollable and unstable subspace (Moore. If (A. when Q1 = 0. By suby − Cx∗ 2 V −1 stituting x∗ (2. given that (A. Remark 4. the target fault could destabilize the ﬁlter. 1972a). 1981).9). [ F2 Bw ]) is uniformly controllable for time-varying systems and stabilizable for time-invariant systems. (2.13) becomes 0 = ΠA + AT Π + Π 1 T T T F2 Q2 F2 − F1 Q1 F1 + Bw Qw Bw Π − C T V −1 C γ (2.14).6) to detect the target fault. (2. ΠAcl + AT Π = −Π cl 1 T T T F2 Q2 F2 − F1 Q1 F1 + Bw Qw Bw Π − C T V −1 C γ When Q1 = 0. [ F2 Bw ]) is not stabilizable. However. the generalized least-squares fault detection ˆ ﬁlter is (2. ΠAcl + AT Π might become indeﬁnite. 1998) is always stable because the target fault is not in the problem formulation. Note that the gametheoretic fault detection ﬁlter (Chung and Speyer. 28 .14) The stability of the ﬁlter depends on showing that xT Πˆ is a Lyapunov function where ˆ x the coeﬃcient matrix in the estimator equation (2.10).

3a) and (2. the cost criterion (2. x∗ (t0 )) = 0 ≤ J(µ1 . ˆ ˆ 2 T ˙ Π+ΠA+AT Π−ΠF1 Q1 F1 Π x−x ˆ − µ2 2 γQ−1 2 − w 2 Q−1 w − y − Cx 2 V −1 ˙ + (x − x)T (−Πx + ΠAˆ + ΠBu u + ΠBw w + ΠF2 µ2 ) ˆ ˆ x ˙ +(−Πx + ΠAˆ + ΠBu u + ΠBw w + ΠF2 µ2 )T (x − x) dτ ˆ x ˆ − 1 x(t0 ) − x0 ˆ 2 2 Π0 −Π(t0 ) − 1 x(t) − x(t) ˆ 2 2 Π(t) 29 . associated with the solution optimality.5) and substituting µ∗ (2. 1998).3 Conditions for the Nonpositivity of the Cost Criterion In this section. adding and ˆ ˙ ˆ subtracting J= 1 2 t t0 1 2 t t0 xT AT Π (x − x)dτ to J.5) is converted into an equivalent linear matrix inequality from which the suﬃcient conditions for optimality can be derived (Chung and Speyer.2. x∗ (t0 )) 1 1 2 2 The asterisk indicates that the optimal strategy is being used for that element.8a). ˆ ˆ 2 V −1 x−x ˆ 2 ΠA − µ2 − w 2 Q−1 w − y − Cx +(x − x)T ˆ ˙ ˙ (−Πx + ΠAˆ + ΠBu u + ΠBw w + ΠF2 µ2 ) − (x − x)T Π(x − x) dτ ˆ x ˆ ˙ ˆ − 1 ˆ x(t0 ) − x0 2 2 Π0 ˙ By integrating (x − x)T Π(x − x) by parts. µ∗ . µ∗ . 1 1 J= 2 t t0 − µ2 2 γQ−1 2 − w 2 Q−1 w − y − Cx 2 V −1 +(x − x)T Π ˆ 2 Π0 ˙ (Ax + Bu u + Bw w + F2 µ2 − x)] dτ − By adding and subtracting J= 1 2 t t0 1 2 t (x t0 1 ˆ x(t0 ) − x0 2 1 2 t (x t0 − x)T ΠAˆdτ and ˆ x 2 γQ−1 2 ˙ − x)T Πxdτ to J.3a) to the ˆ cost criterion (2. w∗ . The linear matrix inequality. x(t0 )) ≤ J(µ∗ . w. µ2 . w∗ . By using a Lagrange multiplier (x − x)T Π to adjoin the constraint (2. is just the left half of the saddle point inequality.8a). J(µ∗ . substituting (2.

By expanding

y − Cx

2 V −1

into

(y − C x) − C(x − x) ˆ ˆ

2 V −1

and substituting the dτ

generalized least-squares fault detection ﬁlter (2.12) into J, x−x ˆ t 1 (x − x)T wT µT W w − y − C x ˆ J= ˆ 2 2 t0 µ2 1 1 − ˆ Π x(t0 ) − x0 2 0 −Π(t0 ) − x(t) − x(t) 2 ˆ Π(t) 2 2 where

2 V −1

T ˙ ΠF2 Π + ΠA + AT Π − ΠF1 Q1 F1 Π − C T V −1 C ΠBw T W = Bw Π −Q−1 0 w −1 T F2 Π 0 −γQ2

**Therefore, the suﬃcient conditions for J ≤ 0 are W ≤0 Π0 − Π(t0 ) ≥ 0 Π(t) ≥ 0 In the limit where γ is zero, (2.15) becomes ΠF2 = 0
**

T T ˙ Π + ΠA + AT Π + Π(−F1 Q1 F1 + Bw Qw Bw )Π − C T V −1 C ≤ 0

(2.15)

(2.16a) (2.16b)

More detail about the limit is discussed in next section.

2.4

Limiting Case

In this section, the min-max problem (2.4) is solved in the limit where γ is zero (Chung and Speyer, 1998; Bell and Jacobsen, 1975). It is shown that the solution satisﬁes the suﬃcient condition (2.16) derived from the linear matrix inequality. When γ is zero, there is no constraint on µ2 to minimize y − Cx. Therefore, the nuisance fault is completely blocked from the residual which is shown in Sections 2.5 and 2.6.

30

**In the limit, the cost criterion (2.5) becomes J= 1 2
**

t

µ1

t0

2 Q−1 1

−

w

2 Q−1 w

−

y − Cx

2 V −1

dτ −

1 ˆ x(t0 ) − x0 2

2 Π0

(2.17)

This problem is singular with respect to µ2 . Therefore, the Goh transformation (Bell and Jacobsen, 1975) is used to form a nonsingular problem. Let

τ

φ1 (τ ) =

t0

µ2 (s)ds (2.18)

α1 = x − F2 φ1 By diﬀerentiating (2.18) and using (2.3a), α1 = Aα1 + Bu u + Bw w + F1 µ1 + B1 φ1 ˙

(2.19)

**˙ where B1 = AF2 − F2 . By substituting (2.18) into the limiting cost criterion (2.17), J= 1 2
**

t

µ1

t0

2 Q−1 1

−

w

2 Q−1 w

−

φ1

2 T F2 C T V −1 CF2

−

y − Cα1

2 V −1

T +(y − Cα1 )T V −1 CF2 φ1 + φT F2 C T V −1 (y − Cα1 ) dτ 1

−

1 α1 (t+ ) + F2 φ1 (t+ ) − x0 ˆ 0 0 2

2 Π0

(2.20)

**Then, the new min-max problem is min max max max J +
**

µ1 φ1 w α1 (t0 )

(2.21)

subject to (2.19).

T If F2 C T V −1 CF2 fails to be positive deﬁnite, (2.21) is still a singular problem

**with respect to φ1 . Then, the Goh transformation has to be used until the problem
**

T becomes nonsingular. If F2 C T V −1 CF2 = 0, let τ

φ2 (τ ) =

t0

φ1 (s)ds (2.22)

α2 = α1 − B1 φ2

31

**Then, α2 = Aα2 + Bu u + Bw w + F1 µ1 + B2 φ2 ˙ ˙ where B2 = AB1 − B1 .
**

T If F2 C T V −1 CF2 ≥ 0, the Goh transformation is applied only on the singular part

(2.23)

which is discussed in three cases. First, if some column vectors of CF2 is zero, by rearranging the order of the column vectors of F2 ,

T F2 C T V −1 CF2 =

¯ Q 0 0 0

(2.24)

¯ where Q is positive deﬁnite. Then, φ1 can be divided into φ11 and φ12 such that (2.21) is singular with respect to φ12 , but not φ11 . The associated fault directions of φ11 and φ12 are denoted by B11 and B12 , respectively. Then the Goh transformation is applied only on φ12 ,

τ

φ22 (τ ) =

t0

φ12 (s)ds (2.25)

α2 = α1 − B12 φ22 Then, α2 = Aα2 + Bu u + Bw w + F1 µ1 + B2 φ2 ˙ ˙ where φ2 = [ φT φT ]T and B2 = [ B11 AB12 − B12 ]. 11 22

(2.26)

The second case is that CF2 = 0, rank (CF2 ) < dim(CF2 ), and rank F2 = dim F2 which imply some column vectors of CF2 are the linear combinations of others. Then, a new basis will be chosen for F2 such that some column vectors of the new CF2 are zero and (2.24) is satisﬁed. The third case is that CF2 = 0 and

rank F2 < dim F2 which imply some column vectors of F2 are the linear combinations of others. Then, a new set of lower-order vectors can be formed for F2 such

T that the new F2 C T V −1 CF2 > 0. Note that it is possible that these three cases could

32

in the limit. J= 1 2 t µ1 t0 2 Q−1 1 − w 2 Q−1 w − φ2 2 T B1 C T V −1 CB1 − y − Cα2 2 V −1 T +(y − Cα2 )T V −1 CB1 φ2 + φT B1 C T V −1 (y − Cα2 ) dτ 2 − 1 α2 (t+ ) + [ F2 B1 ][ φ1 (t+ )T φ2 (t+ )T ]T − x0 ˆ 0 0 0 2 2 Π0 Then.28) 33 . Bk−1 C T V −1 CBk−1 .25) into (2. By substituting (2. continue the transformation until there exists Bk such that T the weighting on φk . is positive deﬁnite. Nevertheless.22) or (2. is posi- tive deﬁnite. there always exists a basis for F2 such that T either (2. φ = [ φT φT · · · φT ]T subject to 1 2 k αk = Aαk + Bu u + Bw w + F1 µ1 + Bk φk ˙ (2. T The transformation process stops if the weighting on φ2 .happen at the same time. the min-max problem (2.4) becomes min max max max J + µ1 φk w αk (t0 ) where J= 1 2 t µ1 t0 2 Q−1 1 − w 2 Q−1 w − φk 2 T Bk−1 C T V −1 CBk−1 − y − Cαk 2 V −1 T +(y − Cαk )T V −1 CBk−1 φk + φT Bk−1 C T V −1 (y − Cαk ) dτ k − 1 ¯¯ 0 αk (t+ ) + B φ(t+ ) − x0 ˆ 0 2 2 Π0 (2.24) is satisﬁed or F2 C T V −1 CF2 > 0.26).27) ¯ ¯ and B = [ F2 B1 B2 · · · Bk−1 ]. Then. Otherwise. the new min-max problem is min max max max J + µ1 φ2 w α2 (t0 ) subject to (2. B1 C T V −1 CB1 .23) or (2.20).

29f) (2.29h) 34 . The ﬁrst-order necessary conditions imply that the optimal strategies for µ1 .29d) ˙ λ = −AT λ − C T V −1 (y − Cαk ) + C T V −1 CBk−1 φ∗ k with boundary conditions.29f). ∗ ¯ ¯ ¯ ¯ λ(t+ ) = [Π0 − Π0 B(B T Π0 B)−1 B T Π0 ][αk (t+ ) − x0 ] ˆ 0 0 (2. φk .29a) (2. For time-invariant systems.29e) into (2.14) remains valid.6) (Wonham. ∗ ¯ ¯ ¯ ¯ φ∗ (t+ ) = −(B T Π0 B)−1 B T Π0 [αk (t+ ) − x0 ] ˆ 0 0 ∗ ¯¯ 0 λ(t+ ) = Π0 [αk (t+ ) + B φ∗ (t+ ) − x0 ] ˆ 0 0 (2. w and the dynamics of λ are T µ∗ = −Q1 F1 λ 1 T T T φ∗ = (Bk−1 C T V −1 CBk−1 )−1 [Bk λ + Bk−1 C T V −1 (y − Cαk )] k T w∗ = Qw Bw λ (2. the Goh transformation is equivalent to the recursive algorithm (1.29e) (2. The variational Hamiltonian of the problem is deﬁned as H= 1 2 µ1 2 Q−1 1 − w 2 Q−1 w − φk 2 T Bk−1 C T V −1 CBk−1 − y − Cαk 2 V −1 T +(y − Cαk )T V −1 CBk−1 φk + φT Bk−1 C T V −1 (y − Cαk ) k + λT (Aαk + Bu u + Bw w + F1 µ1 + Bk φk ) where λ ∈ Rn is a continuously diﬀerentiable Lagrange multiplier.29g) λ(t) = 0 By substituting (2.29c) (2. 1985).Remark 5.29b) (2. The Goh transformation implies that there always exists a basis for F2 such that the column vectors of F2 are output separable so that the output separability test (1.

By diﬀerentiating (2.29b).31) ∗ Note that αk is now the state using the optimal strategies (2. ˆ T T T T ˙ ¯ ¯ 0 = S + S A + AT S + S Bk (Bk−1 C T V −1 CBk−1 )−1 Bk − F1 Q1 F1 + Bw Qw Bw S ∗ ¯ ¯ −C T H T V −1 HC αk T T T T ˙ ¯ − S + AT S + S[Bk (Bk−1 C T V −1 CBk−1 )−1 Bk − F1 Q1 F1 + Bw Qw Bw ]S x ˆ T T ˙ ¯ ¯ − S x + SBu u + [SBk (Bk−1 C T V −1 CBk−1 )−1 Bk−1 C T V −1 + C T H T V −1 H]y ˆ (2. a twopoint boundary value problem with boundary conditions (2.30) T T ¯ where A = A − Bk (Bk−1 C T V −1 CBk−1 )−1 Bk−1 C T V −1 C and T T ¯ H = I − CBk−1 (Bk−1 C T V −1 CBk−1 )−1 Bk−1 C T V −1 (2. (2.28) and (2.29h) results for satisfying αk ˙∗ ˙ = λ T T T T ¯ A Bk (Bk−1 C T V −1 CBk−1 )−1 Bk −F1 Q1 F1 +Bw Qw Bw ¯ ¯ ¯ C T H T V −1 HC −AT ∗ αk λ + T T Bu u + Bk (Bk−1 C T V −1 CBk−1 )−1 Bk−1 C T V −1 y ¯ ¯ −C T H T V −1 Hy (2. T T T T ˙ ¯ ¯ 0 = S + S A + AT S + S Bk (Bk−1 C T V −1 CBk−1 )−1 Bk − F1 Q1 F1 + Bw Qw Bw S ∗ ˙ ¯ ¯ ˆ ˆ x −C T H T V −1 HC (αk − x) − S x + SAˆ + SBu u T T ¯ ¯ + [SBk (Bk−1 C T V −1 CBk−1 )−1 Bk−1 C T V −1 + C T H T V −1 H](y − C x) ˆ 35 . (2.30).32) where ¯ ¯ ¯ ¯ S(t+ ) = Π0 − Π0 B(B T Π0 B)−1 B T Π0 0 x(t+ ) = x0 ˆ 0 ˆ and x is an intermediate state.29a). The form of (2.29g) and (2.29h) suggests that ∗ λ = S(αk − x) ˆ (2.33a) (2.29c).29a).29b) into (2.32) and using (2.29c) into (2.29d).33b) ¯x ¯ ¯ ˆ By adding and subtracting S Aˆ and C T H T V −1 HC x. (2.By substituting (2.29b) and (2.

(2.29b).32) is a solution to (2.29g).29a). (2. 1 J = 2 ∗ t t0 ∗ y − Cαk − ∗ ˆ αk − x 2 T T T T S[Bk (Bk−1 C T V −1 CBk−1 )−1 Bk −F1 Q1 F1 +Bw Qw Bw ]S − 2 ¯ ¯ H T V −1 H dτ − 1 ∗ αk (t+ ) − x0 ˆ 0 2 2 ¯ ¯ ¯ ¯ Π0 −Π0 B(B T Π0 B)−1 B T Π0 By adding the zero term 1 ∗ 0= αk (t+ ) − x0 ˆ 0 2 to J ∗ . (2.27). φ∗ (t+ ) (2.34).33).30) if T T ˙ S x = SAˆ + SBu u + [SBk (Bk−1 C T V −1 CBk−1 )−1 Bk−1 C T V −1 ˆ x ¯ ¯ ˆ + C T H T V −1 H](y − C x) T T ˙ −S = S[A − Bk (Bk−1 C T V −1 CBk−1 )−1 Bk−1 C T V −1 C] T T + [A − Bk (Bk−1 C T V −1 CBk−1 )−1 Bk−1 C T V −1 C]T S T T T T + S[Bk (Bk−1 C T V −1 CBk−1 )−1 Bk − F1 Q1 F1 + Bw Qw Bw ]S (2.Therefore.34) ¯ ¯ − C T H T V −1 HC subject to (2. (2. J∗ = 1 2 t t0 2 S(t+ ) 0 1 ∗ αk (t) − x(t) − ˆ 2 2 S(t) 1 + 2 t t0 d dτ ∗ αk − x ˆ 2 S dτ − − ∗ ˆ αk − x ∗ y − Cαk 2 T T T T S[Bk (Bk−1 C T V −1 CBk−1 )−1 Bk −F1 Q1 F1 +Bw Qw Bw ]S 2 ¯ ¯ H T V −1 H ∗ ˙ +(S αk − S x)T (αk − x) ˙∗ ˆ ˆ ∗ ∗ ˙ +(αk − x)T S(αk − x) + (αk − x)T (S αk − S x) dτ ˆ ˙ ∗ ˆ ˆ ˙∗ ˆ Note that ∗ αk (t) − x(t) ˆ 2 S(t) = 0 because of the boundary condition (2.32) into 0 1 k the limiting cost criterion (2. φ∗ (2. (2.35) into J ∗ and expanding ˙∗ into ∗ (y − C x) − C(αk − x) ˆ ˆ 2 ¯.29c). w∗ (2. By sub∗ y − Cαk 2 ¯ ¯ H T V −1 H stituting αk (2.32).30).35) ¯ By substituting µ∗ (2.29e) and (2. ¯ H T V −1 H J∗ = − 1 2 t t0 y − Cx ˆ 2 ¯ ¯ H T V −1 H dτ 36 .

1 shows that the limiting Riccati matrix S has a null space and satisﬁes the suﬃcient condition (2. Theorem 2. a reduced-order ﬁlter for (2.35) by Bk−1 from the right and subtracting S Bk−1 from both sides.1.6. d T T (SBk−1 ) = − AT + S(−F1 Q1 F1 + Bw Qw Bw ) + (SBk − C T V −1 CBk−1 ) dτ T T (Bk−1 C T V −1 CBk−1 )−1 Bk SBk−1 This is a homogeneous diﬀerential equation and the boundary condition is zero be¯ ¯ cause S(t+ )B = 0 from (2. Therefore.∗ Since αk = x at current time t (2.29g). 0 Similarly. (2.33a) and Bk−1 is contained in B. S Bk−1 · · · B1 F2 =0 T T ˙ S + SA + AT S + S(−F1 Q1 F1 + Bw Qw Bw )S − C T V −1 C ≤ 0 Proof.16) derived from the linear matrix inequality which implies that S is the limit of Π. by multiplying (2. S Bk−2 · · · B1 F2 =0 To prove the second part of this theorem.35) can be rewritten as T T ˙ S + SA + AT S + S(−F1 Q1 F1 + Bw Qw Bw )S − C T V −1 C T T T T T = −(Bk S − Bk−1 C T V −1 C)T (Bk−1 C T V −1 CBk−1 )−1 (Bk S − Bk−1 C T V −1 C) and it is nonpositive deﬁnite. However.34) can not be used because S has a null space which is shown in Theorem 2. Therefore SBk−1 = 0.34).35) by Bk−2 · · · B1 and F2 . Theorem 2.1. ˙ By multiplying (2. (2.34) is derived in Section 2. 37 . the limiting generalized least-squares fault ˆ detection ﬁlter is (2. Note that the second half of the optimization problem is solved diﬀerently as (Chung and Speyer. 1998).

Proof.37) If the error initially lies in Ker S. Ker S is a (C. Ker H = CBk−1 . Theorem 2.3 shows that the null space of S is contained in the unobservable subspace of ˜ (HC. H = I −CBk−1 [(CBk−1 )T CBk−1 ]−1 (CBk−1 )T (2. in the absence of the target ˆ fault. Theorem 2. d T T (Se) = − [A − Bk (Bk−1 C T V −1 CBk−1 )−1 Bk−1 C T V −1 C]T dτ T T T T +S[Bk (Bk−1 C T V −1 CBk−1 )−1 Bk − F1 Q1 F1 + Bw Qw Bw ] Se (2. T T ¯ ¯ S e = [SA − SBk (Bk−1 C T V −1 CBk−1 )−1 Bk−1 C T V −1 C − C T H T V −1 HC]e ˙ ˙ because SF2 = 0. some properties of the null space of S are given. Therefore. process noise and sensor noise can be obtained by using (2. The minimal (C. Ker S is a (C. It is shown that the null space of S is equivalent to the minimal (C. A − LC).37) implies that the error will never leave Ker S. (2.2 shows that the null space of S is a (C.35). A)-invariant subspace. A)-unobservability subspace for time-invariant systems and a similar invariant subspace for time-varying systems. A)-invariant subspace. 38 .5 Properties of the Null Space of S In this section.. the limiting generalized least-squares fault detection ﬁlter is equivalent to the unknown input observer and extends the unknown input observer to the timevarying case.2.31).36) ˜ ¯ Note that Ker H = Ker H (2. Theorem 2.34). 1989) for some ﬁlter gains L and ˜ ˜ ˜ H : Y → Y . A)-unobservability subspace of F2 is the unobservable ˜ subspace of (HC.2. A)-invariant subspace.3) and (2. e = x − x. A − LC) (Massoumnia et al. Therefore. The dynamic equation of the error. By adding Se to both sides and using (2.

For time-invariant systems. C Ker S = CBk−1 and H (2.36) ˆ is a better way to form H which is used by the residual (2.3. F2 ) will become part of the eigenvalues of the ﬁlter if their associated invariant zero directions are not included in the invariant subspace of F2 (Massoumnia et al. By multiplying (2.2. Therefore. d T ¯ ¯ (ζ Sζ) = ζ T C T H T V −1 HCζ = 0 dτ ˜ ¯ ˜ ¯ Then. From Theorem 2.7) is equivalent to H (2. A. Ker S is a (C.35). the null space of S needs to include at least the invariant zero directions associated with the invariant zeros on the right-half plane and jω-axis. A)-invariant subspace.3. F2 ) is z at which zI − A F2 C 0 Let ζ ∈ Ker S. Ker S is contained in the unobservable subspace ˜ of (HC. Ker S is contained in the unobservable subspace of (HC. A − LC). However. A − LC). the invariant zeros on the left-half plane might become part of the ﬁlter eigenvalues since there is no guarantee that their associated invariant zero directions are in the null space of S. Proof.6) because it does not require the solution to the limiting Riccati equation (2. Note that (2. From Theorem 2.36).˜ Theorem 2. A.1. C Ker S ⊇ CBk−1 . It is important that the left-half-plane invariant zeros are not part of the ﬁlter eigenvalues because they might be ill-conditioned even though stable. The invariant zeros of (C. From Theorem 2. it is important to discuss the invariant zero directions when designing the unknown input observer. This can be done by modifying the nuisance fault directions to enforce the null space of S to include the invariant zero directions.. HCζ = 0 because HCζ = 0 and Ker H = Ker H. The invariant zero of (C. 1989). C Ker S ⊆ CBk−1 . ˆ ˜ Therefore. right.35) by ζ T from the left and ζ from the 39 . Therefore.

38). For time-varying systems.3 imply that the null space of S is a similar invariant subspace. By replacing F2i by νi as the nuisance fault direction.1. the null space of S contains the minimal (C. Therefore. but several column vectors of F2 . only one of these vectors will be replaced by the invariant zero direction. A)-unobservability subspace are only deﬁned for time-invariant systems. A)unobservability subspace of F2 . νi might not be included. If the invariant zero is associated with not just one. and the limiting generalized leastsquares fault detection ﬁlter is equivalent to the unknown input observer.1 and the modiﬁed nuisance fault directions. Theorems 2. this modiﬁcation guarantees that the invariant zero direction is in the null space of S. the limiting generalized least-squares fault detection ﬁlter extends the unknown input observer to the time-varying case. An invariant zero direction ν is formed from a partitioning of the null space as zI − A F2 C 0 ν ν ¯ =0 (2. Therefore. the same procedure above will be repeated until there is no invariant zero.1. Therefore. For time-invariant systems. A)-unobservability subspace of F2 . 2. the null space of S includes Im[ νi Aνi · · · Ak2i νi ] which is equivalent to Im[ F2i AF2i · · · Ak2i −1 F2i νi ] by (2. From Theorem 2. called F2i . 40 .3. If (C.38) If one of the column vectors of F2 . A)-unobservability subspace of F2 . the null space of S includes Im[ F2i AF2i · · · Ak2i −1 F2i ] where k2i is the smallest positive integer such that CAk2i −1 F2i = 0.7. However. the null space of S is equivalent to the minimal (C.3.2 and 2. Note that the invariant zero and the minimal (C. νi ) has invariant zeros. the null space of S is contained in the minimal (C. A. This is demonstrated by the numerical examples in Section 2. from Theorem 2.loses rank. from Theorem 2. has an invariant zero and the invariant zero direction is νi .

The reduced-order ﬁlter is necessary for implementation because (2.Remark 6. Theorem 2.4 provides a way to form the transformation Γ(t).40) ¯ Z is any n × (n − k2 ) continuously diﬀerentiable matrix such that itself and Ker S span the state space where n = dim X and k2 = dim(Ker S). the target fault will be diﬃcult or impossible to detect even though the ﬁlter can still be derived by solving the min-max problem. reduced-order ﬁlters are derived for the limiting generalized leastsquares fault detection ﬁlter (2. Since S(t) is non-negative deﬁnite. F1 can not intersect the null space of S which is unobservable to the residual. It is shown that the reduced-order ﬁlter completely blocks the nuisance fault. Z1 and Z2 are any 41 .6 Reduced-Order Filter In this section. there exists a state transformation Γ(t) such that Γ(t)T S(t)Γ(t) = ¯ S(t) 0 0 0 (2.4. If it does. Remark 7. Theorem 2.34) can not be used due to the null space of S. 2.39) ¯ where S(t) is positive deﬁnite. In order to detect the target fault. The modiﬁcation of the nuisance fault directions can apply to the game-theoretic fault detection ﬁlter (Chung and Speyer. There exists a state transformation Γ(t) where ¯ Z(t) Ker S(t) = Γ(t) Z1 (t) 0 0 Z2 (t) (2.34) for both time-varying and time-invariant systems. 1998) so that it could become equivalent to the unknown input observer in the limit.

CΓ = C1 C2 . and using ΓΓ−1 = I.40).4 does not deﬁne Γ uniquely and Γ can be computed apriori because Ker S can be obtained apriori.1.40) satisﬁes (2. respectively. Ker S = Γ 0 Z2 ⇒ SΓ 0 Z2 = 0 ⇒ ΓT SΓ 0 Z2 =0 Since Z2 is invertible by deﬁnition and ΓT SΓ is symmetric. the Γ(t) obtained from (2.39) is true. ¯ S 0 0 0 + ˙ η1 ˆ ˙ η ˆ 2 =− G1 G2 ¯ S 0 −1 ˙ η1 ˆ Γ Γ 0 0 η2 ˆ T D1 T D2 T C1 T C2 + V −1 ¯ S 0 0 0 A11 A12 A21 A22 D1 D2 −1 η1 ˆ η2 ˆ + ¯ S 0 0 0 T C1 T C2 M1 u M2 V −1 (2. From (2.34) by ΓT from the left. Then.(n − k2 ) × (n − k2 ) and k2 × k2 invertible continuously diﬀerentiable matrices.39). By applying the transformation Γ to the estimator states. Note that Theorem 2. (2. adding ΓT SΓΓ−1 x to both sides. Γ−1 Bk = Since SBk−1 = 0 from Theorem 2. ΓT SΓΓ−1 Bk−1 = ¯ SD1 0 =0 42 . Proof.41) ¯ S 0 0 0 + T C1 T C2 C1 C2 η1 ˆ η2 ˆ T T D1 D2 ¯ ¯ H T V −1 H y− C1 C2 where Γ−1 AΓ = Γ−1 Bk−1 = A11 A12 A21 A22 D1 D2 . Γ−1 Bu = G1 G2 M1 M2 . Γ−1 x = η = ˆ ˆ η1 ˆ η2 ˆ ˙ ˆ By multiplying (2.

˙ By multiplying (2. Then.which implies D1 = 0. Γ−1 F1 = N1 N2 43 . and using ΓΓ−1 = I. the limiting Riccati equation can be transformed into two equations.40). T T T T ¯ 0 = S[A12 − Γ12 − G1 (D2 C2 V −1 C2 D2 )−1 D2 C2 V −1 C2 ] T T T T ˙ ¯ ¯ −S = S[A11 − Γ11 − G1 (D2 C2 V −1 C2 D2 )−1 D2 C2 V −1 C1 ] T T T T ¯ + [A11 − Γ11 − G1 (D2 C2 V −1 C2 D2 )−1 D2 C2 V −1 C1 ]T S T T T T ¯ ¯ + S[G1 (D2 C2 V −1 C2 D2 )−1 GT − N1 Q1 N1 + R1 Qw R1 ]S 1 T ¯ ¯ − C1 H T V −1 HC1 (2.42b) where ˙ Γ−1 Γ = Γ11 Γ12 Γ21 Γ22 ˙ Note that Γ−1 and Γ can be computed apriori from (2. T T T T ˙ ¯ˆ ¯ ¯ ¯ ¯ S η 1 = S(A11 −Γ11 )ˆ1 + S(A12 −Γ12 )ˆ2 + SM1 u+[SG1 (D2 C2 V −1 C2 D2 )−1 D2 C2 V −1 η η T ¯ ¯ +C1 H T V −1 H](y−C1 η1 −C2 η2 ) ˆ ˆ T ¯ ¯ ˆ ˆ 0 = C2 H T V −1 H(y − C1 η1 − C2 η2 ) (2.41) can be transformed into two equations.43) (2. subtracting ΓT SΓ ˙ and ΓS ΓT to both sides.35) by ΓT from the left and Γ from the right.42a) (2. (2.44) where Γ−1 Bw = and Γ(t+ )T S(t+ )Γ(t+ ) = 0 0 0 From (2.45) ¯ 0 S(t+ ) 0 0 0 R1 R2 . ¯ HC2 = 0 (2.42b).

45) and Ker H = Ker H.45) into (2.47) 44 . By substituting (2.6) becomes ˆ r = H(y − C1 η1 ) ˆ ˆ ˆ ¯ because HC2 = 0 from (2. In the limit.44).43) and (2.5. Note that Γ11 can be computed apriori.3) into η1 = (A11 − Γ11 )η1 + (A12 − Γ12 )η2 + M1 u + R1 w + N1 µ1 ˙ η2 = (A21 − Γ21 )η1 + (A22 − Γ22 )η2 + M2 u + R2 w + N2 µ1 + K2 µ2 ˙ y = C1 η1 + C2 η2 + v where Γ−1 F2 = Then.46) completely blocks the nuisance fault. ˆ ˆ the reduced-order limiting generalized least-squares fault detection ﬁlter is T T T T ˙ η 1 = (A11 − Γ11 )ˆ1 + M1 u + [G1 (D2 C2 V −1 C2 D2 )−1 D2 C2 V −1 ˆ η T ¯ ¯ ¯ + S −1 C1 H T V −1 H](y − C1 η1 ) ˆ (2. the residual (2. Theorem 2.47). By applying the transformation to the system states. Theorem 2.because y − C1 η1 − C2 η2 is arbitrary.5 shows that the reduced-order limiting ﬁlter (2.42a).46) ¯ where S is the solution of (2. the residual (2. Γ−1 x = η = to transform (2.48a) η1 η2 (2. The dimension of the reduced-order ﬁlter is n − k2 . Proof.47) becomes ˆ r = H(C1 e1 + v) 0 K2 (2.48b) (2. The nuisance fault is completely blocked from the residual (2.

(2. the ﬁlter is applied to a timevarying system.7 Example In this section. 2. three numerical examples are used to demonstrate the performance of the generalized least-squares fault detection ﬁlter. the ﬁlter is applied to a time-invariant system.7.50) (2.43).46).1.where e1 = η1 − η1 . the null space of the limiting Riccati matrix S (2. In Section 2. In Section 2. 45 .3. In Section 2. Γ (2.7. ˆ T T T T A12 − Γ12 − G1 (D2 C2 V −1 C2 D2 )−1 D2 C2 V −1 C2 = 0 (2. From (2.48) and (2. A)-unobservability subspace of F2 (1. By using (2.51) For time-invariant systems. For time-invariant systems. the reduced-order limiting ﬁlter and reduced-order limiting Riccati equation can be derived similarly.7.49) ¯ because S is positive deﬁnite.35) is discussed.8) instead of solving (2.35).40) is constant because Ker S is ﬁxed. T T T T ˙ η 1 = A11 η1 + M1 u + [G1 (D2 C2 V −1 C2 D2 )−1 D2 C2 V −1 ˆ ˆ T ¯ ¯ ¯ + S −1 C1 H T V −1 H](y − C1 η1 ) ˆ T T T T ˙ ¯ ¯ −S = S[A11 − G1 (D2 C2 V −1 C2 D2 )−1 D2 C2 V −1 C1 ] T T T T ¯ + [A11 − G1 (D2 C2 V −1 C2 D2 )−1 D2 C2 V −1 C1 ]T S T T T T ¯ ¯ + S[G1 (D2 C2 V −1 C2 D2 )−1 GT − N1 Q1 N1 + R1 Qw R1 ]S 1 T ¯ ¯ − C1 H T V −1 HC1 (2.49). Ker S can be obtained from computing the minimal (C.2. T T T T T ¯ ¯ ¯ e1 = [A11 − Γ11 − G1 (D2 C2 V −1 C2 D2 )−1 D2 C2 V −1 C1 − S −1 C1 H T V −1 HC1 ]e1 ˙ T T T T T ¯ ¯ ¯ + R1 w + N1 µ1 − [G1 (D2 C2 V −1 C2 D2 )−1 D2 C2 V −1 + S −1 C1 H T V −1 H]v This shows that the residual is not aﬀected by the nuisance fault.

13) are obtained with weightings chosen as Q1 = 1.6).0019. Figure 2. The second one shows that the sensitivity of the reduced-order limiting ﬁlter (2. the steady-state solutions to the reduced-order limiting Riccati equation (2. The ﬁrst one shows that the sensitivity of the ﬁlter (2. two cases for a time-invariant problem are presented. Figure 2. The left one is γ = 10−4 .7.2 shows the frequency response from the target fault and sensor noise to the residual (2. The solid lines represent the target fault. This example shows that the nuisance fault transmission can be reduced by using a smaller γ while the target fault transmission is not aﬀected. The time-invariant system is from (White 0 1 A= 0 and Speyer. C= 2 5 0 F1 = 0 1 5 F2 = 1 1 0 1 0 0 0 1 .2. where F1 is the target fault direction and F2 is the nuisance fault direction. and the right one is γ = 10−6 . and V = I when γ = 10−4 and 10−6 . and the dashed lines represent the nuisance fault. 1987). However.47). respectively. This example shows that the sensitivity of the ﬁlter to the target fault can be enhanced by using a larger Q1 . The sensor noise transmission also increases because part of the sensor noise comes through the same direction as the target fault. and the right one is Q1 = 0. the steady-state solutions to the Riccati equation (2.50) to the target fault increases when Q1 is larger. . The left one is Q1 = 0.51) are obtained with V = 10−4 I when Q1 = 0 and 0.1 Example 1 In this section. In the second case. In the ﬁrst case. 46 . Q2 = 1. There is no process noise. and the dashed lines represent the sensor noise.1 shows the frequency response from both faults to the residual (2. 3 4 2 3 .12) to the nuisance fault decreases when γ is smaller.0019. respectively. The solid lines represent the target fault.

−cos(t) 3 + 2sin(t) 4 1 2 3 − 2cos(t) A= 5sin(t) 2 5 + 3cos(t) 5 − 2cos(t) 1 F2 = 1 + sin(t) .2 Example 2 In this section. the ﬁlter (2.12) and the reduced-order limiting ﬁlter (2.13) is solved with Q1 = 1. 2. the nuisance fault transmission stays zero and is not shown in Figure 2. the generalized least-squares fault detection ﬁlter is similar to (Chung and Speyer.gamma = 10^(-4) 0 0 gamma = 10^(-6) -20 -20 -40 -40 -60 Singular value (db) Singular value (db) 0 2 -60 -80 -80 -100 -100 -120 -120 -140 -140 -160 -160 -180 -2 10 10 10 Frequency (rad/s) -180 -2 10 10 10 Frequency (rad/s) 0 2 Figure 2. 25]. In either case. The reduced-order limiting Riccati equation (2. V = I and γ = 10−5 for t ∈ [0. Note that when Q1 = 0. The Riccati equation (2.44) is solved with the same 47 .46) are applied to a time-varying system which is from modifying the time-invariant system in the previous section by adding some time-varying elements to A and F2 matrices while C and F1 matrices are the same. Q2 = 1. 1998) which does not enhance the target fault transmission.2.7.1: Frequency response from both faults to the residual the sensor noise transmission is small compared to the target fault transmission.

2: Frequency response from the target fault and sensor noise to the residual Q1 and V . Figure 2. The faults are unit steps that occur at the ﬁfth second.3 shows the time response of the norm of the residual when there is no fault. there is no sensor noise. The right three ﬁgures show the residual (2.7.0019 10 10 0 0 -10 Singular value (db) Singular value (db) 0 2 -10 -20 -20 -30 -30 -40 -40 -50 -50 -60 -60 -70 -2 10 10 10 Frequency (rad/s) -70 -2 10 10 10 Frequency (rad/s) 0 2 Figure 2.3 Example 3 In this section. The ﬁrst case shows that Ker S includes the nuisance fault direction and the invariant zero direction associated with the right-half-plane invariant zero. Note that the nuisance fault transmission is zero. work well for time-varying systems. The left three ﬁgures show the residual (2. This example shows that both ﬁlters. There is a transient response until about two seconds due to the initial condition. There is a small nuisance fault transmission because (2. three cases are presented to show the properties of the null space of the limiting Riccati matrix S. a target fault and a nuisance fault. In each case. respectively.46).6) for the ﬁlter (2.12) is an approximate unknown input observer.46).12) and (2. 2.47) for the reduced-order limiting ﬁlter (2.12).Q1 = 0 20 20 Q1 = 0. The second case shows that Ker S includes only the nuisance fault 48 . (2.

A and C matrices are the same as the example in Section 2. The weightings are chosen as Q1 = 1.5 0 0 5 10 15 Time (sec) 20 25 0 0 5 10 15 Time (sec) 20 25 Not in the limit In the limit Figure 2. These three cases show that the null space of S is equivalent to the minimal (C.7. In the ﬁrst case.5 −3 F2 = 1 0 . A.4 0.4 0.2 0 1 0 5 -3 x 10 10 15 Nuisance fault 20 25 0 5 -3 x 10 10 15 Nuisance fault 20 25 Residual 0. but not the invariant zero direction associated with the left-half-plane invariant zero. F2 ) has an invariant zero at 3 and the invariant zero direction is [ 1 0 0 ]T . Q2 = 1 and V = I. The steady-state solutions to the Riccati equation (2.13) when γ = 10−6 and the limiting Riccati equation (2.2 0 1 Residual 0 5 10 15 Target fault 20 25 0.6 Residual 0 5 10 15 Target fault 20 25 0 0.1 Residual x 10 -3 No fault 1 Residual x 10 -3 No fault 0.5 0.3: Time response of the residual direction. A)-unobservability subspace of F2 .6 Residual 0.5 0.1 and 1 F1 = −0. (C. The third case shows that the invariant zero direction associated with the left-half-plane invariant zero is included in Ker S if the nuisance fault direction is modiﬁed.5 0 0.35) 49 .5 0.

0000 −0.5645 −0. 0 0 0 0 S= 0 0 0 0 0.1674 0.35) are 0.1460 .0000 0. A. The steady-state solutions to the Riccati equations (2.0557 −0.1671 S = −0.0630 −0. 50 .0000 −0.13) when γ = 10−10 and (2.0000 −0. The weightings are the same.50) has an eigenvalue at the invariant zero -3.0559 0. the nuisance fault direction used for the ﬁlter design is changed to ν and the weightings are the same. In the third case.0000 0.0002 0. Π = −0. The system matrices are the same except 3 F2 = 1 0 (C.0559 −0.0002 Π = −0.5637 −0. The second case is from modifying the previous case such that the invariant zero is in the left-half plane instead of the right-half plane.0000 0.0000 0.0000 0.0626 −0.35) are 0. The ﬁlter (2.are 0. F2 ) has an invariant zero at -3 and the invariant zero direction ν is [ 1 0 0 ]T .0965 This shows that the nuisance fault direction and the invariant zero direction associated with the right-half-plane invariant zero are in the null space of S.0044 −0.1674 Π = −0.1671 0.0557 0.0009 0.1885 0.50) does not have any eigenvalue at the invariant zero -3.0000 −0. The ﬁlter (2.1462 0.0010 −0. The steady-state solutions to the Riccati equations (2.0009 .1885 0.13) and (2.1879 0.0000 0.1879 0. This shows that the null space of S includes only the nuisance fault direction.0965 . but not the invariant zero direction associated with the left-half-plane invariant zero.0967 0 0 0 0 S= 0 0 0 0 0.0965 This shows that the null space of S includes both F2 and ν because Ker S = Im[ ν Aν ] = Im[ F2 ν ].

5.4. the Riccati equation is discussed by using perturbation analysis.1.2 and its solution is derived in Section 3. the residual is aﬀected primarily by the target fault and minimally by the nuisance faults.3. It is shown that the ﬁlter becomes equivalent to the unknown input observer for the time-invariant case and extends the unknown input observer to the time-varying case. In Section 3. The objective of the ﬁlter is to monitor a single fault called the target fault and block other faults which are called nuisance faults. the system model and four essential assumptions about the system are given. some properties of this ﬁlter are determined in the limit. The problem is formulated in Section 3. In Section 3. Filter designs can be obtained for both time-invariant and time-varying systems. the optimal stochastic fault detection ﬁlter becomes equivalent to the unknown input observer. It is shown that this ﬁlter approximates the properties of the classical fault detection ﬁlter such that in the limit where the weighting on the nuisance fault transmission goes to inﬁnity.Chapter 3 Optimal Stochastic Fault Detection Filter In this chapter. properties of the optimal stochastic fault detection ﬁlter are determined. In 51 . The ﬁlter is derived by minimizing the transmission from the nuisance faults to the projected output error while maximizing the transmission from the target fault. In Section 3. Therefore.

the system model and four assumptions about the system that are needed in order to have a well-conditioned approximate unknown input observer are given. numerical examples are given. Assume the Fi are ¯ ¯¯ monic so that µi = 0 imply Fi µi = 0.2) can be rewritten as x = Ax + Bu u + F1 µ1 + F2 µ2 ˙ y = Cx (3. ¯1 ¯i−1 ¯i+1 ¯q (3. 3. u ∈ U and y ∈ Y. x = Ax + Bu u ˙ y = Cx (3. Since the approximate unknown input observer ¯ is designed to detect only one fault and not to be aﬀected by other faults.1a). All system variables belong to real vector spaces. Then. actuator and sensor fault can be modeled as an additive term in the state equation (3.1 System Model and Assumptions In this section.2a) (3.Section 3.1. Following the development in Section 1. Bu and C can be time-varying.6.1. any plant. x ∈ X .1b) where u is the control input and y is the measurement. a linear system with q failure modes can be modeled by q x = Ax + Bu u + ˙ i=1 ¯¯ Fi µ i (3. System matrices A.2b) y = Cx ¯ ¯ where Fi can be time-varying and µi belong to real vector spaces. let µ1 = µi ¯ be the target fault and µ2 = [ µT · · · µT µT · · · µT ]T be the nuisance fault. Consider a linear system.1a) (3. Therefore.3b) 52 .3a) (3.

A) is detectable. Assumption 3. Assumption 3. For time-varying systems.. (C.3) that are needed in order to have a well-conditioned approximate unknown input observer. Remark 8. Chung and Speyer. CTi = CAδi. A)unobservability subspace of F2 . F2 ) are included with the nuisance fault direction F2 to form the minimal (C. 1989).4 ensures that for time-invariant systems. (C. Assumption 3.1 · · · CAδi. Assumption 3.2.3 ensures for timeinvariant systems. 1972a). a nonzero residual in steady state when the target fault occurs. F1 ) does not have invariant zeros at origin.2 ensures that the target fault can be isolated from the nuisance fault (Massoumnia et al.5) 53 . 1998). For time-invariant systems.¯ ¯ ¯ ¯ ¯ where F1 = Fi and F2 = [ F1 · · · Fi−1 Fi+1 · · · Fq ]. A. the ﬁlter does not have ﬁxed eigenvalues.4. For time-invariant systems (Massoumnia et al. For time-invariant systems.4) where p1 = dim F1 and p2 = dim F2 .1..pi fi. A. There are four assumptions about the system (3. Assumption 3. (C.1 is the general requirement to design any linear observer (Kwakernaak and Sivan. A) is uniformly observable. Assumption 3.3. The output separability test is Rank CT1 CT2 = p1 + p2 (3.pi (3. 1989. Assumption 3. For time-invariant systems. F1 and F2 are output separable. Assumption 3.1 fi. the invariant zero directions of (C.

δi. From Section 2. 54 . j = 1 · · · pi .j = 0. i = 1 and 2.j (t) is the j-th column of Fi ... CTi = C(t)bi.j is the smallest non-negative integer such that CAδi. respectively. respectively. A. is the j-th column of Fi .δi.j (t) ˙ bi.0 (t) = fi.j.k (t) = A(t)bi. For time-varying systems (Chung and Speyer.j. i.j. the invariant zero directions of (C.k−1 (t) where fi.δi. F2 ) are in the invariant subspace of F2 if the nuisance fault direction F2 is modiﬁed.j. if the invariant zero directions of (C. If the vectors in either F1 or F2 are not output separable. the associated invariant zeros will become part of the eigenvalues of the ﬁlter (Massoumnia et al.j. Rank CTi = pi where i = 1 and 2.j (t) = 0 for t ∈ [t0 . Remark 9.4) is based on the assumption that the column vectors in F1 and F2 are output separable.j is the smallest non-negative integer such that C(t)bi.k−1 (t) − bi.j (t).δi. The output separability test (3. 1998).pi . i = 1 and 2. bi.1 (t) · · · C(t)bi.6) The vectors bi. A. a new basis for F1 or F2 can be found such that the vectors in F1 and F2 are output separable. 1989). 1975).δi. are found from the iteration deﬁned by the Goh transformation (Bell and Jacobsen. For time-invariant systems.j .e.The vector fi. from Section 2.1.j.4. F2 ) are not in the invariant subspace of F2 generated by the ﬁlter. j = 1 · · · pi .j fi.5. δi. t1 ].pi (t) (3.

8a) (3. µ2 . x = Ax + Bu u + Bw w + F1 µ1 + F2 µ2 ˙ y = Cx + v (3. white Gaussian noise. and Bw can be time-varying. white Gaussian noise with variance E [µ1 (t)µ1 (τ )T ] = Q1 δ(t − τ ) E [µ2 (t)µ2 (τ )T ] = Q2 δ(t − τ ) E [w(t)w(τ )T ] = Qw δ(t − τ ) E [v(t)v(τ )T ] = V δ(t − τ ) and the initial state is a random vector with zero mean and E [x(t0 )x(t0 )T ] = P0 (3.9) 55 . Assume that the unknown and arbitrary failure modes µ1 . The objective of the optimal stochastic fault detection ﬁlter problem is to ﬁnd a ﬁlter gain L for the linear observer. Also. the approximate unknown input observer problem is formulated based on a linear system with all the disturbance inputs modeled as zero mean.8c) (3.8e) (3. v is the sensor noise. µ2 .7b) where w is the process noise.8b) (3.8d) where E[•] is the expectation operator.3.2 Problem Formulation In this section. w and v are uncorrelated with each other and with x(t0 ). ˙ x = Aˆ + Bu u + L(y − C x) ˆ x ˆ ˆ and a projector H for the residual.3).10) (3. Consider a linear system similar to (3. v are zero mean. and the disturbances w. µ1 .7a) (3. ˆ r = H(y − C x) ˆ (3.

τ )F1 µ1 dτ t0 t (3. h1 represents the transmission from µ1 to HCe.such that the residual is aﬀected primarily by the target fault µ1 and minimally by the nuisance fault µ2 .12) Φ(t.10) can be written as ˆ r = H(Ce + v) ˆ Now a cost criterion is needed for deriving the ﬁlter gain L and the projector H.11). hv represents the transmission from w. t0 )e(t0 ) + Φ(t.11) subject to d Φ(t. If the cost criterion is associated with the residual.13a) (3. t0 )e(t0 ) + t0 Φ(t. the cost criterion will be associated with the projected output error ˆ HCe. τ )F2 µ2 dτ t0 ˆ hv (t) = HC Φ(t. By using (3. process noise w. t0 ) . τ )(Bw w − Lv)dτ (3.9). v and e(t0 ) to 56 . t0 ) = (A − LC)Φ(t. Φ(t0 . In order to determine the cost criterion. the dynamic equation of the error.13c) ˆ From (3. τ )(F1 µ1 + F2 µ2 + Bw w − Lv)dτ (3. t0 ) = I dt The residual (3. h2 represents the ˆ transmission from µ2 to HCe.7) and (3. Therefore. sensor noise v and initial condition error ˆ x(t0 ) − x(t0 ). it is unusable from the statistical viewpoint since the variance of the residual generates a δ-function due to the sensor noise. the error can be written as t e(t) = Φ(t.13b) t t0 Φ(t. e = x − x. is ˆ e = (A − LC)e + F1 µ1 + F2 µ2 + Bw w − Lv ˙ Then. deﬁne ˆ h1 (t) = HC ˆ h2 (t) = HC t (3.

14) where t is the current time and γ is a small positive scalar. τ )] dτ C T H dτ 57 .12) and that H is a projector.14) is solved. τ )T dτ C T H γ t0 t ˆ ˆ +HCΦ(t. h2 and hv are to be minimized while h1 is to be maximized. t0 )T C T H ˆ −HC t t0 d ˆ [Φ(t. Making γ small places a large weighting on reducing the nuisance fault transmission. Therefore. t0 )P (t0 )Φ(t. By using (3. the minimization problem given by (3. The trace operator forms a scalar cost criterion of the matrix output error variance. 3. t)P (t)Φ(t. To put the minimization problem in a more transparent context. w.3 Solution In this section. v and e(t0 ). the cost criterion. J = tr 1 E[h2 (t)h2 (t)T ] + E[hv (t)hv (t)T ] − E[h1 (t)h1 (t)T ] γ (3.8) and (3. t)T C T H − HCΦ(t. τ )P (τ )Φ(t.13). t0 )P0 Φ(t. Thus. τ ) LV LT + F2 Q2 F2 − F1 Q1 F1 + Bw Qw Bw Φ(t. By adding the zero term ˆ ˆ ˆ ˆ tr HCΦ(t. Since the objective of the optimal stochastic fault detection ﬁlter problem is ˆ to make HCe sensitive to µ1 . rewritten as ˆ J = tr HC 1 T T T ˆ Φ(t. t0 )T C T H ˆ ˆ is to be minimized with respect to L and H subject to (3. but insensitive to µ2 . J is manipulated in the following. the optimal stochastic fault detection ﬁlter problem is to ﬁnd the ﬁlter ˆ gain L and the projector H which minimize the cost criterion.ˆ HCe.

Note that (3. H ∗= I −[ ρ1 · · · ρm−1 ][ ρ1 · · · ρm−1 ]T (3. P (t0 ) = P0 (3. τ )(L − P C T V −1 )V (L − P C T V −1 )T Φ(t.19) where ρm is the eigenvector of CP (t)C T associated with the smallest eigenvalue λm and m = dim Y. τ )T dτ C T H γ ˆ ˆ ˆ ˆ +HCΦ(t. ˆ H ∗ = ρm ρT m (3.16) γ By inspection.15) ˆ ˆ +HCP (t)C T H ˆ subject to (3. τ )T dτ C T H (3.20) 58 .18) ˆ ˆ subject to that H is a projector.17) to (3.17) (3.12).to J and using (3.19) is a projector such that ˆ ˆ ˆ H ∗ : Y → Y . t0 )T C T H + HCP (t)C T H Then.H t t0 ˆ Φ(t. If the rank of H is chosen as one. The minimal cost J ∗ = λm . ˆ J = tr HC t t0 ˙ Φ(t.12) and that H is a projector where 1 T T T ˙ P = AP +P AT −P C T V −1 CP + F2 Q2 F2 −F1 Q1 F1 +Bw Qw Bw .H ˆ L. This is an eigenvalue problem. the problem reduces to ˆ ˆ min J = min tr[HCP (t)C T H] ˆ H ˆ H (3. the optimal solution for the ﬁlter gain is L∗ = P C T V −1 After applying (3.15). Ker H ∗= Im[ ρ1 · · · ρm−1 ] . the problem can be rewritten as ˆ min J = min tr HC ˆ L. t0 )[P0 − P (t0 )]Φ(t. τ ) (L − P C T V −1 )V (L − P C T V −1 )T − P + AP + P AT 1 T T T ˆ −P C T V −1 CP + F2 Q2 F2 − F1 Q1 F1 + Bw Qw Bw Φ(t.

Therefore. P becomes indeﬁnite if the sta- bilizing solution exists.22) is a better choice for H ∗ than (3.22) have to be constructed continuously with respect to time because in the cost criterion. it is shown that CP (t)C T has p2 inﬁnite eigenvalues in the limit as γ → 0 where p2 = dim F2 . H ∗ = I −[ ρ1 · · · ρp2 ][ ρ1 · · · ρp2 ]T Note that J ∗ = m i=p2 +1 (3.where ρ1 · · · ρm−1 are the eigenvectors of CP (t)C T and their associated eigenvalues λ1 ≥ λ2 ≥ · · · ≥ λm−1 .22) becomes equivalent to the projector used by the classical unknown input observer in the limit. Therefore. Remark 11. t is the current time. For implementation. some 59 . In Sections 3.22) is larger than the J ∗ associated with (3. (3. When Q1 = 0. if the rank of H is chosen as m − p2 .16) and the ﬁlter is stable.17) and the projector (3. Remark 10. Ker H ∗ = Im[ ρ1 · · · ρp2 ] . Although the J ∗ associated with (3.5.4 and 3. For time-invariant systems and the steady-state case. (3.5. In Sections 3. P becomes less positive deﬁnite because T ˙ −F1 Q1 F1 is nonpositive deﬁnite in P . there exists a positive deﬁnite P that satisﬁes (3.21) can be written as ˆ ˆ ˆ H ∗ : Y → Y . ˆ H ∗ = [ ρm · · · ρp2 +1 ][ ρm · · · ρp2 +1 ]T (3. it is shown that Im[ ρ1 · · · ρp2 ] contains the nuisance fault in the limit. Then.20).20) for the purpose of fault detection. the sum of the smallest m − p2 eigenvalues of CP (t)C T .22) λi .22) allows more target fault transmission because it only blocks p2 directions and (3. (3.4 and 3.20) blocks m − 1 directions ˆ where p2 ≤ m − 1. Eventually. When Q1 increases. the ﬁlter gain (3.21) where ρm · · · ρp2 +1 are the eigenvectors associated with the smallest m − p2 eigenvalues. Therefore. CP (t)C T has p2 large eigenvalues ˆ when γ is small. (3.

Therefore.β1 · · · C(t)bp2 . Ker H = Im[ C(t)b1. H is (Chung and Speyer. 3. The minimal ˜ (C. 1998) ˜ ˜ H : Y → Y .3.23) Assume the Riccati matrix P (3. If Q1 is too large. 1989) for some ﬁlter gains L and ˜ ˜ H : Y → Y .4 Limiting Case In this section. some properties of the optimal stochastic fault detection ﬁlter are determined for the limiting case where γ → 0.6.eigenvalues of the ﬁlter move towards the imaginary axis as Q1 increases. Then. This is illustrated by the numerical example in Section 3. A)-unobservability subspace of F2 is the unobservable subspace of (HC. This can be interpreted as an attempt to make the residual sensitive to the target fault.16) is positive deﬁnite.. A − LC) (Massoumnia et al.βp2 ] ˜ ˜ ˜ ˜ ˜ H = I − (Ker H)[(Ker H)T (Ker H)]−1 (Ker H)T (3.24) (3. This invariant subspace is equivalent to the minimal (C. A)-unobservability subspace for time-invariant systems and a similar invariant subspace for time-varying systems. It is shown that the ﬁlter generates an invariant subspace for the nuisance fault in the limit. Ker H = Im[ CAβ1 f1 · · · CAβp2 fp2 ] ˜ ˜ ˜ ˜ ˜ H = I − (Ker H)[(Ker H)T (Ker H)]−1 (Ker H)T ˜ For time-varying systems. the optimal stochastic fault detection ﬁlter becomes equivalent to the unknown input observer in the limit and extends the unknown input observer to the time-varying case. the target fault could destabilize the ﬁlter. P can be written as n P (t) = i=1 1 T ¯ i ρi ρi λ 60 .

P goes to inﬁnity because of the term γ F2 Q2 F2 in (3. Ker Π is a (C. The optimal stochastic fault detection ﬁlter can be written as ˙ Πx = ΠAˆ + ΠBu u + C T V −1 (y − C x) ˆ x ˆ 61 .16).1.16). Ker Π includes F2 in the limit. ¯ some of the λi ’s go to zero. 1 T In the limit. Theorem 3. will be obtained shortly.¯ where λi is the inverse of the ith eigenvalue of P and ρi is the associated eigenvector. Therefore. ˙ −Π = ΠA + AT Π + Π 1 T T T F2 Q2 F2 − F1 Q1 F1 + Bw Qw Bw Π − C T V −1 C γ (3. P goes to inﬁnity in the limit along the null space of Π. ΠF2 → 0 as γ → 0 (3. A)-unobservability subspace of F2 for time-invariant systems and a similar invariant subspace for time-varying systems. From (3. − d −1 ˙ (P ) = P −1 P P −1 dt = P −1 A+AT P −1 −C T V −1 C +P −1 Then. In the limit. in order for (3. Other directions. A)-invariant subspace in the limit.2 shows that Ker Π contains the minimal (C.1 shows that Ker Π is a (C. Proof. Let n Π(t) = P (t) −1 = i=1 ¯ λi ρi ρT i Then. which are also included in Ker Π. In the limit. Theorem 3. A)-invariant subspace of F2 in the limit.25) 1 T T T F2 Q2 F2 −F1 Q1 F1 +Bw Qw Bw P −1 γ −1 with initial condition Π0 = P0 .26) Therefore.25) to have a solution. Theorem 3. The result is that Ker Π is equivalent to the minimal (C. A)-invariant subspace.

f1 Af1 · · · Aβ1 f1 · · · fp2 Afp2 · · · Aβp2 fp2 →0 In the limit.0 1 T √ F2 Πb1.28).26). (3.0 → 0 γ By using (3.0 b1.1 · · · bp2 .27) implies that the error will never leave Ker Π because of (3.26).1 ) → 0 ⇒ Πb1. d ˙ ˙ (Πb1. Π Proof.β1 · · · bp2 . In the limit as γ → 0.The dynamic equation of the error.0 from the right and using (3. Theorem 3.25).1 · · · b1.0 → 0 dt (3.2 → 0 dt (3. in the absence of the target fault. (3. 1. Ker Π is a (C.0 − b1. ˆ process noise and sensor noise is Πe = (ΠA − C T V −1 C)e + ΠF2 µ2 ˙ ˙ By adding Πe to both sides and using (3. (3. for time-varying systems Π b1.26) and (3. d (Πe) = − AT + Π dt 1 T T T F2 Q2 F2 − F1 Q1 F1 + Bw Qw Bw γ Πe + ΠF2 µ2 (3.25).2. if the error initially lies in Ker Π.1 = Π(Ab1. ˙ Πb1. from (3.0 bp2 .0 ) = Πb1. e = x − x. Therefore.βp2 →0 and for time-invariant systems.29) 62 .26).28) By multiplying (3.27) In the limit.0 = 0 Similarly.29).25) by bT from the left and b1. it can be shown d (Πb1.0 + Πb1.0 ) → C T V −1 Cb1. A)-invariant subspace.

Since P goes to inﬁnity in the limit along Ker Π. Theorem 2. the eigenvectors of CP C T associated with the p2 inﬁnite eigenvalues contain the nuisance fault.By iterating this procedure.4. Remark 13.5.β1 · · · C(t)bp2 .3 imply that Ker Π is a similar invariant subspace in the limit. Therefore.β1 →0 Similarly. and the optimal stochastic fault detection ﬁlter becomes equivalent to the unknown input observer.3 shows that Ker Π is contained in the minimal (C. CP C T goes to inﬁnity along C Ker Π where C Ker Π = [ CAβ1 f1 · · · CAβp2 fp2 ] for time-invariant systems and C Ker Π = [ C(t)b1. for time-varying systems. Therefore. Theorems 3. In Section 2.2 and 2. (3. Therefore.1 . Ker Π is equivalent to the minimal (C. CP C T has p2 inﬁnite eigenvalues in the limit. A)-unobservability subspace of F2 in the limit. A)-unobservability subspace of F2 in the limit. Therefore. Π b1. bi.23) or (3. in the limit. from Theorem 3.1.2 and Assumption 3. · · · .22). For time-varying systems. Therefore. For time-invariant systems. For time-invariant systems. p2 . it can be shown that Π[ bi. By using the optimal ﬁlter gain (3.0 . 3. the optimal stochastic fault detection ﬁlter extends the unknown input observer to the time-varying case. the proof is similar.βp2 ] for time-varying systems. in the limit.22) is equivalent to (3. Since CP C T goes to inﬁnity along C Ker Π and C Ker Π contains the nuisance fault in the limit. Remark 12.βi ] → 0 for i = 2. Ker Π contains the minimal (C.0 b1. Note that the invariant zero and the minimal (C. Ker Π contains the minimal (C.17) and projector (3. A)-unobservability subspace are only deﬁned for time-invariant systems. bi.1 · · · b1. A)invariant subspace of F2 . the projectors used by the classical unknown input observer.24). A)unobservability subspace of F2 in the limit. the 63 . · · · .

minimization problem (3. Therefore. This shows explicitly how Π approaches the limit and what Π and its null space are in the limit.5 Perturbation Analysis In this section. some properties of the Riccati matrices P and Π are determined for the limiting case. Consider 0 = ΠA + AT Π + Π 1 T T F2 Q2 F2 − F1 Q1 F1 γ Π − C T V −1 C (3.30) In Section 3.5. This shows explicitly how P approaches the limit and what P is in the limit.14) can be written as 1 tr{E[h2 (t)h2 (t)T ]} + tr{E[hv (t)hv (t)T ]} − tr{E[h1 (t)h1 (t)T ]} = γ i=k ⇒ T T n i=k2 +1 n λi 2 +1 λi tr{E[h2 (t)h2 (t) ]} + γ tr{E[hv (t)hv (t) ]} =γ 1+ T ]} tr{E[h1 (t)h1 (t) tr{E[h1 (t)h1 (t)T ]} In the limit as γ → 0. The next section will answer these questions by using an asymptotic expansion of P and Π in which they are explicitly expressed as functions of γ. However. Π is expanded around γ = 0. 3.2. tr{E[h2 (t)h2 (t)T ]} →0 tr{E[h1 (t)h1 (t)T ]} This implies that the transmission from the nuisance fault to the residual is zero. a perturbation analysis of the steady-state Riccati matrix Π (3.25) for the time-invariant case with small γ is given. 64 . the nuisance fault is completely blocked. the inverse of Π is discussed. how P and Π approach the limit and what they are in the limit are still unknown. In Section 3. In this section.5.1.

30) and collecting terms of common power.33c) 212 312 65 . U U T = I.32c) 0 = Π022 A22 + AT Π022 − Π022 Q22 Π022 − R22 + ΠT σΠ212 22 212 Π122 . Note that U = [ u1 u2 ].31) into (3.3.32b) (3. For T example. U T = U −1 and Im u1 = Im F2 .32a) (3.3.33b) 0 = Π122 (A22 − Q22 Π022 ) + (A22 − Q22 Π022 )T Π122 + ΠT σΠ312 + ΠT σΠ212 (3. Π= u1 u 2 0 0 0 Π022 uT 1 uT 2 + γ 1/4 uT 1 uT 2 u 1 u2 0 0 0 Π122 uT 1 uT 2 uT 1 uT 2 + ··· + γ 1/2 u1 u2 where Π211 Π212 ΠT 212 Π222 + γ 3/4 u1 u2 Π311 Π312 ΠT 312 Π322 T F2 Q2 F2 = u1 u2 σ 0 0 0 uT 1 uT 2 = u1 σuT 1 ¯ ¯¯ ¯ ¯ and σ > 0. the equations used for solving Π are obtained in Lemma 3.1 Expansion In this section. Π311 and Π312 require the solution to 0 = Π311 σΠ211 + Π211 σΠ311 0 = ΠT σΠ211 + Π122 A21 + ΠT σΠ311 312 212 (3.5. Π022 . Π is expanded around γ = 0 as Π = Π0 + γ 1/4 Π1 + γ 1/2 Π2 + γ 3/4 Π3 + γΠ4 + · · · (3.3.33a) (3. Lemma 3.31) By substituting (3. Π211 and Π212 require the solution to 0 = Π211 σΠ211 − R11 T 0 = ΠT σΠ211 + Π022 A21 − R12 212 (3. u1 = F2 (F2 F2 )−1/2 .

the asymptotic solution is obtained when CF2 = 0 and CAF2 = 0. When CF2 = 0. Π = u1 u2 where −1 −1 0 = Π022 (A22 − A21 R11 R12 ) + (A22 − A21 R11 R12 )T Π022 −1 T −1 + Π022 (A21 R11 AT − Q22 )Π022 − (R22 − R12 R11 R12 ) 21 0 0 0 Π022 uT 1 uT 2 + γ 1/2 u1 u2 Π211 Π212 T T Π212 Π212 Π−1 Π212 211 uT 1 uT 2 + ··· 0 = Π211 σΠ211 − R11 Π212 = σ −1 Π−1 (R12 − AT Π022 ) 211 21 Proof. Lemma 3. In Lemma 3. In the limit.4.7.4.1. can be derived similarly. See Appendix 3. The generalization. In Lemma 3. Proof. See Appendix 3. such as CF2 = CAF2 = 0 and CA2 F2 = 0.33) is obtained when CF2 = 0.7. when CF2 = 0.1.where uT 1 uT 2 uT 1 uT 2 uT 1 uT 2 A u1 u2 T F1 Q1 F1 = u 1 u2 u1 u 2 A11 A12 A21 A22 = = Q11 Q12 QT Q22 12 R11 R12 T R12 R22 C T V −1 C The equations for higher-order terms can be found in Appendix 3. Π= u1 u2 0 0 0 Π022 uT 1 uT 2 66 .5.7.2. the asymptotic solution of (3.32) and (3.

Note that Π022 is positive deﬁnite when (C. From Section 2. Note that only the highest-order term for each element is kept for simplicity. Therefore. A. F2 ) has invariant zeros. 3. In Lemma 3. P is discussed when CF2 = 0. Ker Π = Im [ u1 u2 v1 ] = Im [ F2 AF2 ] in the limit. When CF2 = 0 and CAF2 = 0. V T = V −1 and Im v1 = Im A21 .7. V V T = I. the nuisance fault direction F2 is replaced by the invariant zero direction ν. uT 0 0 0 1 T 0 v 1 uT Π = u1 u 2 v 1 u 2 v 2 0 0 2 T 0 0 Π02222 v 2 uT 2 Note that Π02222 is positive deﬁnite when (C. F2 ) does not have any invariant zero.5.5.3. when CF2 = 0 and CAF2 = 0.6. Therefore. In the limit. Proof. A. The equation for each element can be found in Appendix 3. A. the case where Cν = CAν = 0 and CA2 ν = 0 is included in the case where CF2 = CAF2 = 0 and CA2 F2 = 0 which can be derived similarly.5. Lemma 3.7. In Lemma 3. when (C.5. P is discussed when CF2 = 0 and CAF2 = 0. 67 . Ker Π = Im u1 = Im F2 in the limit.7. 3/4 γ Π311 γ 1/2 Π2121 γ 1/2 Π2122 uT 1 T 1/4 Π = u1 u2 v1 u2 v2 γ 1/2 ΠT Π12211 γ 1/4 Π12212 v1 uT + · · · 2 2121 γ T v 2 uT γ 1/2 ΠT γ 1/4 ΠT Π02222 2 2122 12212 ¯ ¯¯ ¯ ¯ where V = [ v1 v2 ]. Since Cν = CAν = 0.5. F2 ) does not have any invariant zero. when (C. F2 ) has invariant zeros. See Appendix 3. Since Cν = 0. From Section 2. A.2 Analysis In this section. This shows explicitly how P approaches the limit and what P is in the limit.3. the nuisance fault direction F2 is replaced by the invariant zero direction ν. the inverse of Π is discussed. the case where Cν = 0 and CAν = 0 is included in Lemma 3.

4. when CF2 = 0 and CAF2 = 0.7.Lemma 3. P in the above form is obtained.4 and matrix inversion lemma.2. when CF2 = 0.6.7. from Lemma 3. for timeinvariant systems and the steady-state case.34) uT 2 + u1 u2 Proof. P goes to inﬁnity in the directions of u1 and u2 v1 which are equivalent to F2 and AF2 . ¯ ¯ Π1111 Π1112 ¯ 12 Π ¯ 1112 Π1122 ¯ u1 u 2 v 1 u2 v2 ΠT P = −1 T ¯ Π12 Π02222 where ¯ Π1111 = γ −3/4 (Π311 − Π2121 Π−1 ΠT )−1 12211 2121 ¯ Π1112 = −γ −1/2 Π−1 Π2121 (Π12211 − ΠT Π−1 Π2121 )−1 311 2121 311 ¯ Π1122 = γ −1/4 (Π12211 − ΠT Π−1 Π2121 )−1 2121 311 ¯ Π12 = 0 (Π12211 − ΠT Π−1 Π2121 )−1 (ΠT Π−1 Π2122 − Π12212 ) 2121 311 2121 311 uT 1 T v 1 uT 2 T v 2 uT 2 + · · · (3. P goes to inﬁnity in the direction of u1 which is equivalent to F2 . Π−1 (Π212 Π−1 ΠT −Π411 )Π−1 −Π−1 Π212 Π−1 211 022 212 211 211 022 −Π−1 ΠT Π−1 Π−1 022 212 211 022 By using Lemma 3. When CF2 = 0. from Lemma 3. 1972b). In the limit. In the limit. Note that Π211 and Π022 are invertible from Appendix 3. F2 ) 68 . See Appendix 3. P = γ −1/2 u1 u 2 Π−1 0 211 0 0 uT 1 uT 2 uT 1 +· · · (3. Remark 14. By using the result from (Kwakernaak and Sivan.7. Proof. A. under the assumption that (C.35) Note that only the highest-order term for each element is kept for simplicity.6. Lemma 3.7. When CF2 = 0 and CAF2 = 0.

By multiplying (3. L goes to inﬁnity along the direction of because Im u1 = Im F2 .3. L→ 1 γ 1/2 + T u1 Π−1 Π2121 (Π12211 − ΠT Π−1 Π2121 )−1 v1 uT C T 311 2121 311 2 1 γ 1/4 T u2 v1 (Π12211 − ΠT Π−1 Π2121 )−1 v1 uT C T 2121 311 2 1 F.6 Example In this section. and this is consistent with (3.6.36b).17). However. However.17).34) and (3.1. 1972b).35) into (3.36b) as γ → 0 where U is an arbitrary m by p2 matrix such that U T U = I.36a) is satisﬁed. three numerical examples are used to demonstrate the performance of the optimal stochastic fault detection ﬁlter. the ﬁlter is applied to a time-varying system.6. the eﬀect of the target fault’s power spectral density Q1 on the Riccati matrix P and the ﬁlter is discussed.35) by γ.36a) (3. Then. γ 1/2 2 as γ → 0. L→ 1 γ 1/2 u1 Π−1 uT C T V −1 211 1 1 F γ 1/2 2 as γ → 0.36b). γP → 0 L→ 1 γ 1/2 F2 Q2 U T V −1/2 1/2 (3.2.6. (3. L goes to inﬁnity essentially along the direction of and this is consistent with (3. Then. Therefore. In Section 3. L also goes to inﬁnity along the direction of 1 AF2 γ 1/4 because Im [ u1 u2 v1 ] = Im [ F2 AF2 ]. it provides more information about L and P .34) into (3. By substituting (3. In Section 3. 3. In Section 3. the ﬁlter is applied to a time-invariant system.does not have right-half plane invariant zeros. the perturbation approach is consistent with the result from (Kwakernaak and Sivan. By substituting (3. 69 .

23). The steady-state solutions to the Riccati equation (3. and the right one is γ = 10−6 .23).16) when γ = 10−4 and 10−6 are obtained. C= 0 0 1 0 2 5 1 .23). This example shows that the nuisance fault transmission can be decreased by using a smaller γ while the target fault transmission is not aﬀected.22).10).3. F1 = 0 A= 1 2 3 . There is no process noise. −cos(t) 3 + 2sin(t) 4 1 2 3 − 2cos(t) A= 5sin(t) 2 5 + 3cos(t) 5 − 2cos(t) 1 F2 = 1 + sin(t) . respectively. is better than (3. respectively.2 Example 2 This time-varying system is from modifying the time-invariant system in the previous section by adding some time-varying elements to A and F2 matrices while C and F1 matrices are the same. 1987).22) and (3. 3. used by classical unknown input observer. This suggests that (3.6. The left one is γ = 10−4 . at low frequency. the projector (3.23) might not be the best choice for the approximate unknown input observer. respectively. In each ﬁgure.22) and (3. Also. there are two solid lines representing the frequency response from the target fault to the residual with projectors (3.6. The dashdot line and the dashed line represent the frequency response from the nuisance fault to the residual with projectors (3. The power spectral densities are chosen as Q1 = 1. Figure 3.1 shows the frequency response from both faults to the residual (3. where F1 is the target fault direction and F2 is the nuisance fault direction.1 Example 1 5 F2 = 1 1 This time-invariant system is from (White and Speyer. 70 . Q2 = 1 and V = I. derived from solving the minimization problem. Note that the two solid lines are overlapped. 0 3 4 0 0 1 0 .

F1 = 1 0 . respectively. The left three ﬁgures use projector (3. The faults are unit steps that occur at the ﬁfth second. C= 1 0 0 1 . Figure 3.16) is solved with Q1 = 1.16) and the ﬁlter.2 shows the time response of the norm of the residual (3.gamma = 10^(-4) 0 0 gamma = 10^(-6) -50 -50 Singular value (db) -100 Singular value (db) 0 5 -100 -150 -150 -200 -200 -250 -250 10 Frequency (rad/s) 10 10 Frequency (rad/s) 0 10 5 Figure 3.6. Q2 = 1. F2 = 0 1 71 .23). There is a transient response until about two seconds due to the initial condition error.3 Example 3 This example shows how the target fault’s power spectral density Q1 aﬀects the Riccati matrix P (3.10) when there is no fault. 25]. In each case. The system matrices are A= −3 2 −5 −1 . This suggests that (3.23). 3.1: Frequency response from both faults to the residual The Riccati equation (3. there is no sensor noise. V = I and γ = 10−5 for t ∈ [0.23) might not be the best choice for the approximate unknown input observer. a target fault and a nuisance fault.22) and the right three ﬁgures use (3. This example shows that the ﬁlter works well for time-varying systems and projector (3.22) blocks the nuisance fault better than (3.

stays the same.6 Residual 0 5 10 15 Target fault 20 25 0 0. one of the ﬁlter eigenvalues moves towards the imaginary axis while the other eigenvalue.3 show how Q1 aﬀects the deﬁniteness of P by plotting the eigenvalues of P versus Q1 . The upper two ﬁgures of Figure 3.4 shows the frequency response from the target fault to the residual (3.5 0 0 5 10 15 Time (sec) 20 25 0 0 5 10 15 Time (sec) 20 25 Projector (3. When Q1 increases. The lower two ﬁgures of Figure 3. When Q1 increases.2 0 1 0 5 -3 x 10 10 15 Nuisance fault 20 25 0 5 -3 x 10 10 15 Nuisance fault 20 25 Residual 0. The steady-state solutions to the Riccati equation (3. V = I and γ = 10−5 are obtained for Q1 between 0 and 12.23) Figure 3. which is associated with the nuisance fault. one of the eigenvalues decreases showing that P is less positive deﬁnite and eventually. a stabilizing P can not be found.22) Projector (3. P becomes indeﬁnite. Figure 3.2 0 1 Residual 0 5 10 15 Target fault 20 25 0.16) with Q2 = 1.4 0.6 Residual 0. It shows the sensitivity of the residual to the target fault can be enhanced by using a larger Q1 .2: Time response of the residual where F1 is the target fault direction and F2 is the nuisance fault direction.5 0. 72 . This indicates the ability of detecting the target fault is increased by using a larger Q1 while the ability of blocking the nuisance fault is not aﬀected.1 Residual x 10 -3 No fault 1 Residual x 10 -3 No fault 0. When Q1 is too large.5 0 0.4 0.3 show how Q1 aﬀects the eigenvalues of the ﬁlter.10) for diﬀerent Q1 .5 0. There is no process noise.

8 -317 2nd filter eigenvalue 0 2 4 6 Q1 8 10 0 2 4 6 Q1 8 10 Figure 3.2 315 2nd eigenvalue of P 0 2 4 6 Q1 8 10 0 2 4 6 Q1 8 10 1st filter eigenvalue 0 -1 Eigenvalue Eigenvalue -2 -3 -4 -316 -316.3: Eigenvalues of the Riccati matrix P and the ﬁlter for diﬀerent Q1 1.8 Singular value 0.4: Frequency response from the target fault to the residual 73 .2 1 Q1 = 12 0.8 315.4 315.1st eigenvalue of P 1 0 Eigenvalue Eigenvalue -1 -2 -3 316 315.6 315.6 0.6 -316.4 Q1 = 6 0.4 -316.2 Q1 = 0 0 -3 10 10 -2 10 -1 10 Frequency (rad/s) 0 10 1 10 2 10 3 Figure 3.2 -316.

38).7 Appendix In this section.4.37d) ¯ ¯ ¯ ¯ γ 0 : 0 = Π0 A + AT Π0 − C T V −1 C + Π4 Q2 Π0 + Π3 Q2 Π1 + Π2 Q2 Π2 + Π1 Q2 Π3 ¯ ¯ + Π0 Q2 Π4 − Π0 Q1 Π0 (3.30) and collecting terms of common power. 3.37a). Π0 can be written as Π0 = u1 u2 0 0 0 Π022 uT 1 uT 2 = u2 Π022 uT 2 (3.37b) is trivially satisﬁed because of (3. ¯ γ −1 : 0 = Π0 Q2 Π0 ¯ ¯ γ −3/4 : 0 = Π1 Q2 Π0 + Π0 Q2 Π1 ¯ ¯ ¯ γ −1/2 : 0 = Π2 Q2 Π0 + Π1 Q2 Π1 + Π0 Q2 Π2 ¯ ¯ ¯ ¯ γ −1/4 : 0 = Π3 Q2 Π0 + Π2 Q2 Π1 + Π1 Q2 Π2 + Π0 Q2 Π3 (3.37e) ¯ ¯ ¯ ¯ ¯ γ 1/4 : 0 = Π1 A + AT Π1 + Π5 Q2 Π0 + Π4 Q2 Π1 + Π3 Q2 Π2 + Π2 Q2 Π3 + Π1 Q2 Π4 ¯ ¯ ¯ + Π0 Q2 Π5 − Π1 Q1 Π0 − Π0 Q1 Π1 (3.38) where Π022 is to be determined.31) into (3. (3.39) 74 .37f) ¯ ¯ ¯ ¯ ¯ γ 1/2 : 0 = Π2 A + AT Π2 + Π6 Q2 Π0 + Π5 Q2 Π1 + Π4 Q2 Π2 + Π3 Q2 Π3 + Π2 Q2 Π4 ¯ ¯ ¯ ¯ ¯ + Π1 Q2 Π5 + Π0 Q2 Π6 − Π2 Q1 Π0 − Π1 Q1 Π1 − Π0 Q1 Π2 . the proof of Lemmas 3.37g) From (3.7. Ker Π0 contains F2 .1 Proof of Lemma 3. By using (3.37a) (3. . Note that (3.3. 3.7 are given.5 and 3.37c).3. . Π1 = u1 u2 0 0 0 Π122 uT 1 uT 2 = u2 Π122 uT 2 (3. T T ¯ ¯ where Q2 = F2 Q2 F2 and Q1 = F1 Q1 F1 .38) and (3. 3.37c) (3.37b) (3.3 By substituting (3.

37g) becomes ¯ ¯ ¯ ¯ ¯ ¯ 0 = Π2 (A − Q1 Π0 + Q2 Π4 ) + (A − Q1 Π0 + Q2 Π4 )T Π2 + Π3 Q2 Π3 − Π1 Q1 Π1 (3. (3.42) by [ u1 u2 ]T from the left and [ u1 u2 ] from the right and substituting (3. By using (3.40) by [ u1 u2 ]T from the left and [ u1 u2 ] from the right and substituting (3.41).33) is obtained.32) is obtained.45) 75 .39).where Π122 is to be determined.39).42) By multiplying (3.41) (3.44) Let Π4 = u 1 u2 Π411 Π412 ΠT 412 Π422 uT 1 uT 2 (3.38) and (3.38) and (3. (3.39).37f) becomes ¯ ¯ ¯ ¯ 0 = Π1 (A − Q1 Π0 ) + (A − Q1 Π0 )T Π1 + Π3 Q2 Π2 + Π2 Q2 Π3 Let Π3 = u 1 u2 Π311 Π312 ΠT 312 Π322 uT 1 uT 2 (3.41) and (3. By using (3.37e) becomes ¯ ¯ 0 = Π0 A + AT Π0 − C T V −1 C + Π2 Q2 Π2 − Π0 Q1 Π0 Let Π2 = u 1 u2 Π211 Π212 ΠT 212 Π222 uT 1 uT 2 (3.39). (3.38) and (3. (3.38) and (3.37d) is trivially satisﬁed because of (3.39). (3. Note that (3.38). (3.38) and (3.43). By using (3.43) (3. (3.40) By multiplying (3.

38) can be obtained by solving (3.45).47).33b). R11 is positive deﬁnite because Im u1 = Im F2 . 0 = Π411 σΠ211 + Π211 σΠ411 + Π311 σΠ311 + Π211 A11 + AT Π211 + Π212 A21 11 + A T ΠT 21 212 0 = ΠT σΠ211 + Π222 A21 + ΠT σΠ411 + ΠT A11 + AT ΠT + AT Π211 412 212 212 22 212 12 − Π022 Q22 ΠT − Π022 QT Π211 + ΠT σΠ311 212 12 312 (3.46a) 0 = Π222 (A22 − Q22 Π022 ) + (A22 − Q22 Π022 )T Π222 + ΠT (A12 − Q12 Π022 + σΠ412 ) 212 + (A12 − Q12 Π022 + σΠ412 )T Π212 + ΠT σΠ312 − Π122 Q22 Π122 312 The same procedure can be done for the higher-order terms if needed.32a) and (3. Π212 = σ −1 Π−1 (R12 − AT Π022 ) 211 21 By substituting (3. (3. (3.2 Proof of Lemma 3.47) into (3.44) by [ u1 u2 ]T from the left and [ u1 u2 ] from the right and substituting (3. By substituting (3. Π311 = 0 because σ and Π211 are positive deﬁnite. From (3. −1 −1 0 = Π022 (A22 − A21 R11 R12 ) + (A22 − A21 R11 R12 )T Π022 −1 T −1 + Π022 (A21 R11 AT − Q22 )Π022 − (R22 − R12 R11 R12 ) 21 (3.By multiplying (3. Π211 is also positive deﬁnite from (3.4 When CF2 = 0.7.32b).41) can be obtained from (3.49) 76 . From (3.39).32a). (3.50) (3.38).41).48).46c) 3.43) and (3.32a).32c) and using (3. Part of the second-order term Π2 (3.49) into (3.48) Therefore.47) (3.46b) (3. Then. (3. the zeroth-order term Π0 (3.33a). Π312 = −σ −1 Π−1 AT Π122 211 21 (3.

47) and (3. The same procedure can be done for the higher-order terms if needed. 77 .47).51) and (3.48).52) −1 −1 T Given (A22 −A21 R11 R12 )−Π−1 (R22 −R12 R11 R12 ).45) can be obtained from (3.41) can be obtained from (3. Part of the fourth-order term Π4 (3.53).57) (3. 211 Π122 = 0 Π312 = 0 (3. from (3.50) into (3. 0 = Π411 σΠ211 + Π211 σΠ411 + Π211 A11 + AT Π211 + Π212 A21 + AT ΠT 11 21 212 Π412 = −σ −1 Π−1 [AT Π222 + Π411 σΠ212 + AT Π212 + Π212 A22 + Π211 A12 211 21 11 − Π212 Q22 Π022 − Π211 Q12 Π022 ] By substituting (3.49) into (3. the ﬁrst-order term Π1 (3. By substituting (3.52).43) is also zero from (3. Then.39) is zero from (3.46c) and using (3.By substituting (3. −1 −1 A22 − Q22 Π022 − A21 Π−1 Π212 = (A22 − A21 R11 R12 ) − (Q22 − A21 R11 AT )Π022 211 21 −1 T −1 = −[(A22 − A21 R11 R12 ) − Π−1 (R22 − R12 R11 R12 )] 022 (3.55) Therefore. the closed-loop A matrix of (3.54) Therefore..56) into (3. 0 = Π122 (A22 −Q22 Π022 −A21 Π−1 Π212 )+(A22 −Q22 Π022 −A21 Π−1 Π212 )T Π122 (3.53) (3.54). A22 − Q22 Π022 − A21 Π−1 Π212 is invertible.46b).e.55).32a). obtaining Π322 and Π422 . the second-order term Π2 (3. 022 is stable.50).56).56) (3. 211 Π222 = ΠT Π−1 Π212 212 211 (3.49) and (3.55) and (3.57). (3. 0 = (Π222 − ΠT Π−1 Π212 )(A22 − Q22 Π022 − A21 Π−1 Π212 ) 212 211 211 + (A22 − Q22 Π022 − A21 Π−1 Π212 )T (Π222 − ΠT Π−1 Π212 ) 211 212 211 Since A22 − Q22 Π022 − A21 Π−1 Π212 is invertible (3.33c). i. Part of the third-order term Π3 (3.51) 211 211 By using (3.46a) and (3.

32b) becomes Π022 A21 = 0 By multiplying (3.60) and (3. Therefore.61) ¯ ¯¯ ¯ ¯ where V = [ v1 v2 ]. 0 = ΠT σΠ2121 − R2211 2121 T 0 = ΠT σΠ2121 + Π02222 A2221 − R2212 2122 (3.3 Proof of Lemma 3. (3.59) by u2 from the left. From (3.61). Π0 AF2 = 0.32a). By multiplying (3. R11 = 0 and R12 = 0 because Im u1 = Im F2 . Then. V V T = I.58) (3.59) v1 v2 0 0 0 Π02222 T v1 T v2 (3. V T = V −1 and Im v1 = Im A21 .32c) by [ v1 v2 ]T from the left and [ v1 v2 ] from the right and substituting (3.3.62a) (3.7.60) (3. Π0 Au1 = 0 Since Im u1 = Im F2 .5 When CF2 = 0.62b) (3. Π211 = 0 because σ is positive deﬁnite.62c) 0 = Π02222 A2222 + AT Π02222 − Π02222 Q2222 Π02222 − R2222 + ΠT σΠ2122 2222 2122 where T v1 T v2 T v1 T v2 T v1 T v2 A22 Q22 R22 v 1 v2 v1 v2 v1 v2 = = = A2211 A2212 A2221 A2222 Q2211 Q2212 QT 2212 Q2222 R2211 R2212 T R2212 R2222 78 . Ker Π0 also contains AF2 besides F2 . Let Π022 = and Π212 = Π2121 Π2122 T v1 T v2 (3.

the equation becomes trivial. Part of the second-order term Π2 (3.46a). from (3.41) can be obtained from (3.33a).65) (3.62b).66) Π122 = and v 1 v2 Π12211 Π12212 ΠT 12212 Π12222 T v1 T v2 (3. Since R2211 = v1 uT C T V −1 Cu2 v1 and Im v1 = Im A21 .64) Therefore. T 0 = Π311 σΠ311 + Π2121 v1 A21 + AT v1 ΠT 21 2121 T because v2 A21 = 0.38) can be obtained from (3.58).64).65).62c) and using (3.Since Im u1 = Im F2 .62a).61) into (3. By substituting (3. Let (3. Π2121 is invertible. Π2122 = σ −1 Π−T (R2212 − AT Π02222 ) 2121 2221 By substituting (3.62a).58) into (3. additional constraints are obtained later to determine Π2121 uniquely. −1 −1 0 = Π02222 (A2222 − A2221 R2211 R2212 ) + (A2222 − A2221 R2211 R2212 )T Π02222 −1 T −1 − Π02222 (Q2222 − A2221 R2211 AT )Π02222 + R2212 R2211 R2212 − R2222 2221 (3.58) into (3. However. Cu2 α2 T = 0. From (3.63) into (3. Let Au1 = u1 α1 + u2 α2 .63) (3. Then. 0 = Π311 σΠ311 + Π212 A21 + AT ΠT 21 212 By substituting (3. the zeroth-order term Π0 (3. Cu1 = 0 and CAu1 = 0.68) 79 . By substituting (3.60) and (3. but can not be determined uniquely since it is not symmetric.67) Π312 = Π3121 Π3122 T v1 T v2 (3. R2211 > 0 because 2 T AT uT C T V −1 Cu2 A21 = uT AT u2 uT C T V −1 Cu2 uT Au1 = α2 uT C T V −1 Cu2 α2 > 0 21 2 1 2 2 2 Therefore.

71c) (3.69b) Π12212 = −(AT v1 )−1 Π311 σΠ2122 21 T Note that v1 A21 is invertible because Im A21 = Im v1 .67). By multiplying (3.70) with (3.62a) and (3. Since Π12211 is symmetric.68).71a) 0 = ΠT σΠ3122 + ΠT σΠ2122 + AT Π12222 + AT Π12212 + Π12211 A2212 2121 3121 2221 2211 + Π12212 A2222 − Π12211 Q2212 Π02222 − Π12212 Q2222 Π02222 0 = Π12222 (A2222 − Q2222 Π02222 ) + (A2222 − Q2222 Π02222 )T Π12222 + ΠT (A2212 − Q2212 Π02222 ) + (A2212 − Q2212 Π02222 )T Π12212 12212 + ΠT σΠ3122 + ΠT σΠ2122 2122 3122 From (3.72) (3.71b). Π2121 and Π311 can be determine uniquely.69a) (3.67) and (3.71b) 80 .33b) by [ v1 v2 ]T from the left and substituting (3.66).By multiplying (3.70) By combining (3. Π3122 = −σ −1 Π−T (ΠT σΠ2122 + AT Π12222 + AT Π12212 + Π12211 A2212 2121 3121 2221 2211 + Π12212 A2222 − Π12211 Q2212 Π02222 − Π12212 Q2222 Π02222 ) (3. T Π12211 = −ΠT σΠ311 (v1 A21 )−1 2121 (3. 0 = ΠT σΠ3121 + ΠT σΠ2121 + Π12211 A2211 + Π12212 A2221 + AT Π12211 2121 3121 2211 + AT Π12212 2221 (3. T ΠT σΠ311 (v1 A21 )−1 = (AT v1 )−1 Π311 σΠ2121 2121 21 (3.33c) by [ v1 v2 ]T from the left and [ v1 v2 ] from the right and substituting (3.58) and (3.

71a). (3.66) and (3.72) into (3. 81 .73).63). Π can be expressed as 3/4 γ Π311 γ 1/2 Π212 uT T Π = u1 u2 1/2 T γ 1/4 Π12212 γ 1/4 Π12211 v1 1 + · · · uT γ Π212 v1 v2 2 T γ 1/4 ΠT Π02222 +γ 1/4 Π12222 v2 12212 T 3/4 γ 1/2 Π2122 γ Π311 γ 1/2 Π2121 u1 T 1/4 1/4 v1 uT + · · · γ 1/2 ΠT = u1 u2 v1 u2 v2 Π12211 γ Π12212 2 2121 γ T 1/2 T 1/4 T v 2 uT γ Π2122 γ Π12212 Π02222 +γ 1/4 Π12222 2 Note that only the highest-order term for each element is kept for simplicity.43) can be obtained from (3. (3. 0 = Π12222 (A2222 − Q2222 Π02222 − A2221 Π−1 Π2122 ) 2121 + (A2222 − Q2222 Π02222 − A2221 Π−1 Π2122 )T Π12222 2121 + ΠT (A2212 − Q2212 Π02222 ) + (A2212 − Q2212 Π02222 )T Π12212 12212 + ΠT Π−T (Π12211 A2211 + AT Π12211 + Π12212 A2221 + AT ΠT )Π−1 Π2122 2122 2121 2211 2221 12212 2121 − ΠT Π−T (Π12211 A2212 − Π12211 Q2212 Π02222 + Π12212 A2222 2122 2121 − Π12212 Q2222 Π02222 + AT Π12212 ) − (Π12211 A2212 − Π12211 Q2212 Π02222 2211 + Π12212 A2222 − Π12212 Q2222 Π02222 + AT Π12212 )T Π−1 Π2122 2211 2121 (3.69) and (3.71a) and (3. The same procedure can be done for the higher order terms if needed.70) and using (3.61) and (3.67).41) and part of the third-order term Π3 (3.e. obtaining Π222 and Π322 . Part of the third-order term Π3 (3.71c) and using (3. (3.62a). i.By substituting (3. part of the second-order term Π2 (3.72). Therefore.39) can be obtained from (3. The ﬁrst-order term Π1 (3..43) can be obtained by solving (3.68).73) Therefore.

By using (3.7. (Π311 − Π2121 Π−1 ΠT )−1 = Π−1 + Π−1 Π2121 (Π12211 − ΠT Π−1 Π2121 )−1 ΠT Π−1 12211 2121 311 311 2121 311 2121 311 Then.7. Π311 − Π2121 Π−1 ΠT is also invertible.5 and matrix inversion lemma. Π12211 − ΠT Π−1 Π2121 is invertible.3. 3/4 −1 T γ Π311 γ 1/2 Π2121 γ 1/2 Π2122 u1 −1 T 1/4 1/4 γ 1/2 ΠT v 1 uT + · · · P = Π = u1 u2 v1 u2 v2 Π12211 γ Π12212 2 2121 γ T v 2 uT γ 1/2 ΠT γ 1/4 ΠT Π02222 2 2122 12212 T u1 ¯ ¯ Π11 Π12 T v 1 uT + ··· u1 u2 v1 u2 v2 = 2 ¯ ΠT Π−1 T T 02222 12 v 2 u2 where ¯ Π11 = ¯ ¯ Π1111 Π1112 ¯T ¯ Π1112 Π1122 ¯ Π1111 = γ −3/4 (Π311 − Π2121 Π−1 ΠT )−1 12211 2121 ¯ Π1112 = −γ −1/2 Π−1 Π2121 (Π12211 − ΠT Π−1 Π2121 )−1 311 2121 311 ¯ Π1122 = γ −1/4 (Π12211 − ΠT Π−1 Π2121 )−1 2121 311 ¯ 121 Π ¯ Π12 = ¯ Π122 ¯ Π121 = γ −1/4 [Π−1 Π2121 (Π12211 − ΠT Π−1 Π2121 )−1 Π12212 311 2121 311 − (Π311 − Π2121 Π−1 ΠT )−1 Π2122 ] 12211 2121 ¯ Π122 = (Π12211 − ΠT Π−1 Π2121 )−1 (ΠT Π−1 Π2122 − Π12212 ) 2121 311 2121 311 Note that Π311 . Π12211 and Π02222 are invertible from Appendix 3.3. T Π12211 − ΠT Π−1 Π2121 = ΠT Π−1 (AT v1 )ΠT (v1 A21 )−1 2121 311 2121 311 21 2121 Since Π2121 is invertible.7 By using Lemma 3. 12211 2121 82 .69a) and (3.66). By using matrix inver2121 311 sion lemma.4 Proof of Lemma 3.

Π121 = 0 and Π12 remains ﬁnite in the limit. Π−1 Π2121 (Π12211 − ΠT Π−1 Π2121 )−1 Π12212 − (Π311 − Π2121 Π−1 ΠT )−1 Π2122 311 2121 311 12211 2121 =Π−1 Π2121 (Π12211 − ΠT Π−1 Π2121 )−1 (Π12212 − ΠT Π−1 Π2122 ) − Π−1 Π2122 311 2121 311 2121 311 311 =0 ¯ ¯ Therefore.69) and (3.By using matrix inversion lemma and substituting (3.70). 83 .

Filter designs can be obtained for both time-invariant and time-varying systems. each projected residual is aﬀected primarily by one fault and minimally by other faults. the transmission from one fault. is minimized. Therefore. the ﬁlter only isolates the faults within approximate unobservable subspaces. is maximized. 84 . denoted the associated target fault. For each subspace. This new feature allows the ﬁlter to be potentially more robust since the ﬁlter structure is less constrained. Diﬀerent from other algorithms for the RDD or BJD ﬁlter which explicitly force the geometric structure by using eigenstructure assignment or geometric theory. When it is not in the limit. It is shown that this ﬁlter approximates the properties of the classical fault detection ﬁlter such that in the limit where the weighting on each associated nuisance fault transmission goes to inﬁnity. the robust multiple-fault detection ﬁlter becomes equivalent to the RDD ﬁlter of which the BJD ﬁlter is a special case. denoted the associated nuisance fault. this ﬁlter is derived from solving an optimization problem and only in the limit. is the geometric structure of the RDD ﬁlter recovered.Chapter 4 Robust Multiple-Fault Detection Filter In this chapter. and the transmission from other faults. a new robust multiple-fault detection and identiﬁcation algorithm is derived by dividing the output error into several subspaces.

Therefore.1. 85 . actuator and sensor fault can be modeled as an additive term in the state equation (4.1a) (4. x = Ax + Bu u ˙ y = Cx (4. the ﬁlter is derived in the limit when there is no complementary subspace. u ∈ U and y ∈ Y. Following the development in Section 1. the system model and four assumptions about the system that are needed in order to have a well-conditioned detection ﬁlter are given. In Section 4.3. 4.In Section 4.2 and its solution is derived in Section 4.4.1 System Model and Assumptions In this section.2b) y = Cx where Fi can be time-varying and µi belong to real vector spaces.5. x ∈ X . Bu and C can be time-varying. Assume the Fi are monic so that µi = 0 imply Fi µi = 0. Consider a linear system. In Section 4.1. the system model and four essential assumptions about the system are given. All system variables belong to real vector spaces. the projectors used for dividing the output error are derived from solving the optimization problem.6. The problem is formulated in Section 4. In Section 4. System matrices A.1.2a) (4.1a). a linear system with q failure modes can be modeled by q x = Ax + Bu u + ˙ i=1 Fi µi (4. any plant. numerical examples are given.1b) where u is the control input and y is the measurement. It is shown that the ﬁlter becomes equivalent to the RDD ﬁlter for the time-invariant case and extends the RDD ﬁlter to the time-varying case.

A) is detectable. Assumption 4.4) The vector fi.1 (t) · · · C(t)bi. a nonzero projected residual in steady state when its associated target fault occurs. CTi = C(t)bi. Chung and Speyer. is the j-th column of Fi .pi (t) (4.2 ensures that each fault can be isolated from other faults (Massoumnia. i = 1 · · · q. (C. CTi = CAδi. the invariant zeros of ( C.δi. Assumption 4. For time-invariant systems (Massoumnia. A. 1986. A. Assumption 4. j = 1 · · · pi .j fi. Assumption 4. For time-invariant systems.3.1. A) is uniformly observable. Assumption 4. Remark 15.1 is the general requirement to design any linear observer (Kwakernaak and Sivan. For time-invariant systems. i = 1 · · · q.j = 0.2. 1986). (C.There are four assumptions about the system (4. Assumption 4. 1986). Assumption 4. (C.pi (4. [ F1 · · · Fq ] ) are either the invariant zeros of (C.j .3) where pi = dim Fi .1 fi.3 is the requirement to design any detection ﬁlter for time-invariant systems (Massoumnia.4 ensures for timeinvariant systems. Fi ).pi .δi. Assumption 4. For time-varying systems. A. Fi ) does not have invariant zeros at origin if µi needs to be detected. The output separability test is q Rank CT1 · · · CTq = i=1 pi (4. F1 · · · Fq are output separable.pi fi.1.2) that are needed in order to have a well-conditioned detection ﬁlter. For time-varying systems (Chung and Speyer.4. 1998).1 · · · CAδi. For time-invariant systems. 1972a). 1998).j is the smallest non-negative integer such that CAδi.5) 86 . or in the left-half plane. δi.

from Section 2.δi. Fi ).The vectors bi. 1986). Rank CTi = pi where i = 1 · · · q. j = 1 · · · pi . the nuisance fault direction F2 has to be modiﬁed so that the generalized least-squares fault detection ﬁlter and the optimal stochastic fault detection ﬁlter include every invariant zero direction in the invariant subspace. 1986). the associated invariant zeros will become part of the eigenvalues of the detection ﬁlter (Massoumnia.j. as demonstrated by the numerical examples in Section 4.j (t) = 0 for t ∈ [t0 . If the extra invariant zeros are in the right-half plane. i. The output separability test (4.j (t). bi. if the invariant zero directions of (C. are found from the iteration deﬁned by the Goh transformation (Bell and Jacobsen. δi.j.j (t) is the j-th column of Fi . A.j.k (t) = A(t)bi.2.3) is based on the assumption that the column vectors of Fi are output separable. Remark 17. However.6.j.δi.k−1 (t) where fi. F1 · · · Fq are mutually detectable if ( C. For time-invariant systems.k−1 (t) − bi. t1 ]. This will be demonstrated by the numerical example in Section 4.0 (t) = fi. i = 1 · · · q.j is the smallest non-negative integer such that C(t)bi.j..j (t) ˙ bi. For time-invariant systems. In Chapters 2 and 3. no stable detection ﬁlter can be found. i = 1 · · · q (Massoumnia. 1975).4.e. Remark 16. If the vectors of Fi are not output separable. the robust multiple-fault 87 . a new basis for Fi can be found such that the vectors of Fi are output separable. A. the extra invariant zeros will become part of the eigenvalues of the detection ﬁlter. A.2. If F1 · · · Fq are not mutually detectable. [ F1 · · · Fq ] ) does not have more invariant zeros than (C.j. Fi ) are not in the invariant subspace of Fi generated by the detection ﬁlter.6.

white Gaussian noise. the RDD ﬁlter problem is formulated based on a linear system with all the disturbance inputs modeled as zero mean. and Bw can be time-varying. µi . i = 1 · · · q. 4. Consider a linear system similar to (4.detection ﬁlter automatically includes the invariant zero directions in the invariant subspaces. white Gaussian noise with variance E[µi (t)µj (τ )T ] = Qi δ(t − τ ) . If the ﬁrst s faults need to be detected where s ≤ q. w and v are uncorrelated with each other and with x(t0 ).7b) (4.6b) y = Cx + v where w is the process noise.8) 88 . the objective of the robust multiple-fault detection ﬁlter problem is to ﬁnd a ﬁlter gain L for the linear observer.2) q x = Ax + Bu u + Bw w + ˙ i=1 Fi µi (4. i=j (4. ˙ x = Aˆ + Bu u + L(y − C x) ˆ x ˆ (4. Also. i = j 0 .7d) where E[•] is the expectation operator. and the disturbances w. v are zero mean. Assume that the unknown and arbitrary failure modes µi . i = 1 · · · q.7a) (4.6a) (4. v is the sensor noise.2 Problem Formulation In this section.7c) E[w(t)w(τ )T ] = Qw δ(t − τ ) E[v(t)v(τ )T ] = V δ(t − τ ) and the initial state is a random vector with zero mean and E[x(t0 )x(t0 )T ] = P0 (4.

i = 1 · · · s. 1986. e = x − x.ˆ and projectors Hi . which operate on the residual. This more general form is important because there might exist some faults which do not need to be detected.6) and (4. they are blocked from the s projected residuals used for detecting the s faults. When s < q.11) 89 . r = y − Cx ˆ (4. This problem imposes less constraint and relaxes the ﬁlter structure which leads to a more robust detection ﬁlter (Massoumnia. Although the q − s faults can not be detected.9) ˆ such that each projected residual Hi r is aﬀected primarily by its associated target ˆ fault µi and minimally by its associated nuisance fault µi = [ µ1 · · · µi−1 µi+1 · · · µq ]T . Φ(t0 .10) subject to d Φ(t. the dynamic equation of the error.9) can be written as r = Ce + v (4. is ˆ q e = (A − LC)e + ˙ i=1 Fi µi + Bw w − Lv Then. t0 ) . When s = q.8). Note that the optimal stochastic fault detection ﬁlter in Chapter 3 is a special case of this ﬁlter when s = 1. t0 ) = I dt The residual (4. the error can be written as t q e(t) = Φ(t. 1996). ˆ process noise w. every fault is detected and this is equivalent to the BJD ﬁlter problem. By using (4. t0 )e(t0 ) + t0 Φ(t. only a subset of the faults are detected and this is equivalent to the RDD ﬁlter problem. sensor noise v and initial condition error x(t0 ) − x(t0 ). t0 ) = (A − LC)Φ(t. τ ) i=1 Fi µi + Bw w − Lv dτ (4. Douglas and Speyer.

it is unusable from the statistical viewpoint since the variance of the projected residual generates a δ-function due to the sensor noise.12) is the projector used by the RDD and BJD ﬁlters which maps the reachable subspace of ˆ µi to zero (Massoumnia.5). but it will ˆ be derived from optimizing the cost criterion in Section 4.13b) t t0 ˆˆ Φ(t.12) ˆ where C Ti can be found by (4.13c) ˆ where Fi = [ F1 · · · Fi−1 Fi+1 · · · Fq ]. If the cost criterion is associated with the projected residual Hi (Ce + v).12) optimizes the cost criterion in the limit where the weighting on each associated nuisance fault transmission given below goes to inﬁnity.10). it is shown that (4.5. τ )Fi µi dτ Φ(t. the cost criterion will be ˆ ˆ associated with the projected output error Hi Ce.13a) (4. ˆ i = 1 · · · s. 1986.4) or (4. Therefore. τ )Fi µi dτ t0 t t0 (4. t0 )e(t0 ) + (4. 1998) as ˆ ˆ ˆ Hi : Y → Y . ˆ 90 .12). but insensitive to ˆ µi . τ )(Bw w − Lv)dτ ˆ hiv (t) = Hi C Φ(t. w. Chung and Speyer. hi represents the transmission from µi to Hi Ce.ˆ Now a cost criterion is needed for deriving the ﬁlter gain L and the projectors Hi . For now. deﬁne ˆ hi (t) = Hi C ˆ ˆ hi (t) = Hi C t Φ(t. Since the objective of the robust multipleˆ fault detection ﬁlter problem is to make each Hi Ce sensitive to µi . Hi is deﬁned apriori as (4. v and e(t0 ) to Hi Ce.4. In order to determine the cost criterion. Thus. From (4. v and e(t0 ). 1986). hi represents the transmission ˆ ˆ ˆ from µi to Hi Ce. In Section 4. hi and hiv are to be minimized while hi is to be maximized.12) is the optimal projector in this limit. hiv represents the ˆ ˆ transmission from w. This implies that (4. Ker Hi = [ CT1 · · · CTi−1 CTi+1 · · · CTq ] = C Ti ˆ ˆ ˆ ˆ ˆ Hi = I − C Ti [(C Ti )T C Ti ]−1 (C Ti )T (4. For time-invariant systems. Hi can be derived from optimizing the cost criterion or deﬁned apriori (Massoumnia. (4.

Therefore, the robust multiple-fault detection ﬁlter problem is to ﬁnd the ﬁlter gain L which minimizes the cost criterion, J= 1 t1 − t0

t1 s

tr

t0 i=1

1 ˆ ˆ T E[hi (t)hi (t) ]+E[hiv (t)hiv (t)T ]−E[hi (t)hi (t)T ] γi

dt (4.14)

where t1 is the ﬁnal time and γi are small positive scalars. Making γi small places large weightings on reducing the associated nuisance fault transmissions. The summation is used to sum the s projected output error variances for detecting the s faults. The trace operator forms a scalar cost criterion of the matrix output error variance. Remark 18. The process noise can be considered as a fault so that it could be

completely blocked from the projected residuals. However, the number of the faults in a ﬁlter is limited because the faults have to be output separable. Therefore, it is not always possible to consider every process noise as a fault. The plant uncertainties can also be considered similarly to the process noise. If the process noise and plant uncertainties are considered as faults, they could be the faults which do not need to be detected. In (Douglas and Speyer, 1996), the process noise and plant uncertainties can only be considered as faults.

4.3

Solution

In this section, the minimization problem given by (4.14) is solved. By using (4.7) and (4.13), the cost criterion, rewritten as 1 J= t1 − t0

t1 s

tr

t0 i=1

ˆ Hi C

t

Φ(t, τ ) LV LT +

t0

1 ˆ ˆ ˆT T Fi Qi Fi −Fi Qi FiT +Bw Qw Bw γi dt

ˆ ˆ ˆ Φ(t, τ )T dτ C T Hi + Hi CΦ(t, t0 )P0 Φ(t, t0 )T C T Hi

91

is to be minimized with respect to L subject to (4.11) where 0 0 0 0 Q1 0 ... 0 0 0 0 0 0 Qi−1 0 0 0 0 ˆ E[ˆi (t)ˆi (τ )T ] = µ µ δ(t − τ ) = Qi δ(t − τ ) 0 0 Qi+1 0 0 0 ... 0 0 0 0 0 0 0 0 0 0 Qq To put the minimization problem in a more transparent context, J is manipulated in the following. By adding the zero term, 1 t1 − t0

t1 s

tr

t0 i=1

ˆ Hi C Φ(t, t)Pi (t)Φ(t, t)T − Φ(t, t0 )Pi (t0 )Φ(t, t0 )T −

t t0

d Φ(t, τ )Pi (τ )Φ(t, τ )T dτ dτ

ˆ C T Hi dt

**to J and using (4.11), the problem can be rewritten as 1 min J = min L L t1 − t0
**

t1 s

tr

t0 i=1

ˆ Hi C

t t0

Φ(t, τ )(L − Pi C T V −1 )V (L − Pi C T V −1 )T dt (4.15)

ˆ Φ(t, τ )T dτ C T Hi = min

L

1 t1 − t0

t1

s

tr

t0 i=1

ˆ ˆ Hi CWi C T Hi dt

**subject to ˙ Wi = (A − LC)Wi + Wi (A − LC)T + (L − Pi C T V −1 )V (L − Pi C T V −1 )T where Wi (t0 ) = 0 and 1 ˆ ˆ ˆ T ˙ Pi = APi +Pi AT−Pi C T V −1 CPi + Fi Qi FiT−Fi Qi FiT+Bw Qw Bw , Pi (t0 ) = P0 (4.17) γi The term
**

1 t1 −t0 t1 t0

(4.16)

tr

s i=1

ˆ ˆ Hi CPi C T Hi dt is dropped for now because it is ﬁxed

with respect to L, but it will be brought back in Section 4.5 when the cost criterion ˆ is also minimized with respect to Hi , i = 1 · · · s. Note that (4.17) can be solved ˆ independently of L and Hi .

92

**The variational Hamiltonian of the problem is deﬁned as
**

s

H=

i=1

ˆ ˆ tr(Hi CWi C T Hi ) + tr Ki [(A − LC)Wi + Wi (A − LC)T +(L − Pi C T V −1 )V (L − Pi C T V −1 )T ]

where Ki ∈ Rn×n is a continuously diﬀerentiable matrix Lagrange multiplier. The ﬁrst-order necessary conditions (Athans, 1968) imply that the optimal solution for L and the dynamics of Ki are ∂H = ∂L ⇒L =

i=1 ∗ s

[−2CWi Ki + 2V (L∗ − Pi C T V −1 )T Ki ] = 0

i=1 s −1 s

Ki

i=1

Ki (Pi + Wi ) C T V −1

(4.18)

and ∂H ˙ ˆ −Ki = = Ki (A − LC) + (A − LC)T Ki + C T Hi C , Ki (t1 ) = 0 ∂Wi (4.19)

where i = 1 · · · s. Since the determination of the ﬁlter gain (4.18) requires the solution to a two-point boundary value problem satisfying (4.16), (4.19) and (4.18) which can be computed oﬀ-line, the on-line ﬁlter implementation is as straightforward as the RDD ﬁlter. An alternative approach is to solve (4.15) numerically by using a gradient method. This is demonstrated by the numerical examples in Section 4.6. For the inﬁnite-time case, the minimization problem (4.15) becomes

s t1 →∞

**lim min J = min tr
**

L L i=1

ˆ ˆ Hi CWi C T Hi

(4.20)

satisfying 0 = (A − LC)Wi + Wi (A − LC)T + (L − Pi C T V −1 )V (L − Pi C T V −1 )T where 0 = APi + Pi AT − Pi C T V −1 CPi + 1 ˆ ˆ ˆT T Fi Qi Fi − Fi Qi FiT + Bw Qw Bw γi (4.22) (4.21)

93

τ )(L − Pi C T V −1 )V (L − Pi C T V −1 )T (4.The optimal solution for L can be derived similarly. Pi (t0 ) = P0 γi Note that this single-fault ﬁlter is equivalent to the optimal stochastic fault detection ﬁlter in Chapter 3.15) is no longer convex. the minimization problem (4. 94 . Remark 20.26) 1 ˆ ˆ ˆ T ˙ Pi = APi + Pi AT − Pi C T V −1 CPi + Fi Qi FiT − Fi Qi FiT + Bw Qw Bw . For the special case where s = 1 and µi is detected. For the multiple-fault ﬁlter. a numerical minimization method must be used and only a local minimum can be guaranteed. This is because the robust multiple-fault detection ﬁlter problem (4.23) subject to (4.25) is convex. the minimization problem (4.26) is obtained. τ )T dτ C T Hi dt The optimal solution for L is L∗ = Pi C T V −1 where (4. s −1 s L = i=1 ∗ Ki i=1 Ki (Pi + Wi ) C T V −1 (4.15) becomes min J = min L L 1 t1 − t0 t1 t0 ˆ tr Hi C t t0 Φ(t. and a global solution (4.25) ˆ Φ(t. For the single-fault ﬁlter.24) Remark 19.21) and ˆ 0 = Ki (A − LC) + (A − LC)T Ki + C T Hi C (4.

Assumption 4.pi (t) 95 .pi fi.5 implies that T1 ⊕ · · · ⊕ Tq spans the state space.2 (t) · · · bi.1 fi.δi.0 (t) · · · bi.pi .4 Limiting Case In this section. There is no complementary subspace.2 · · · fi. the recovery of the geometric properties of the robust multiple-fault detection ﬁlter is discussed in the limit where γi → 0. For time-invariant systems. For time-invariant systems. if s = q.1 · · · Aδi. A)-invariant subspace of Fi Wi = fi.27) and Vi is the subspace spanned by the invariant zero directions of (C. Ti is also called the detection space of Fi and can be found (Wonham.0 (t) · · · bi.5. using the simpliﬁcation of Assumption 4. the BJD ﬁlter places each fault µi into an invariant subspace Ti which is the minimal (C. Fi ). In this limit.1.0 (t) · · · bi.2. the ﬁlter becomes equivalent to both the RDD and BJD ﬁlters for the time-invariant case and extends both the RDD and BJD ﬁlters to the time-varying case.δi.δi.4. For time-invariant systems.pi · · · Aδi.12) (Massoumnia. Ti is also called the minimal (C. For time-varying systems. it is shown that. the minimal (C.2 fi. 1998) Wi = bi. A)-unobservability subspace of Fi (Massoumnia. 1986).2 · · · Aδi. A − LC) ˆ ˆ ˆ where Hi is (4. 1985) by Ti = Wi ⊕ Vi where Wi is the minimal (C. A)-invariant subspace of Fi is (Chung and Speyer.5.2. A.pi (4.1 fi. 1986). A)-unobˆ servability subspace of Fi . Assumption 4.1.1 (t) bi.pi . i = 1 · · · s. the RDD ﬁlter places each associated nuisance fault ˆ ˆ µi into an invariant subspace Ti which is the unobservable subspace of (Hi C.

27). The interpretation of Assumption 4.7 shows that Ti . the robust multiple-fault detection ﬁlter becomes equivalent to the RDD ﬁlter in the limit and extends the RDD ﬁlter to the time-varying case.18).6 shows that Ti .19).3 so that the simpliﬁed ﬁlter gain does not require the solution to the two-point boundary value problem.2 shows the relationship between Ki and Hi . are (A − LC)-invariant where L is the simpliﬁed ﬁlter gain.1. Ti .7.1 to 4.16) and (4.However. Theorem 4.1. ˆ To begin. Lemma 4. Lemma 4. i = 1 · · · q. Therefore.4 shows that the simpliﬁed ﬁlter gain minimizes the cost criterion. (4.6. a projector Hi with similar properties to Ki is deﬁned as ˆ ˆ ˆ ˆ ˆ Hi : X → X . Therefore. i = 1 · · · q. the unobservable subspace of (Hi C. See Appendix 4. can not be determined by (4. Therefore. the robust multiple-fault detection ﬁlter becomes also equivalent to the BJD ﬁlter in the limit and extends the BJD ﬁlter to the time-varying case. Finally. Then. the ﬁlter gain (4. the idea of the invariant zero direction is only deﬁned for time-invariant ˆ ˆ systems.28) 96 . Lemma 4.7.18) is simpliﬁed in the limit by using Lemmas 4.6. ˆ Ker Ki = Ti where i = 1 · · · q.18) ˆ in the limit.5 for time-varying systems is in the proof of Theorem 4. In the limit. Proof. This implies that the simpliﬁed ﬁlter gain is equivalent to (4. This will be shown to be true in Theorem 4. Ker Hi = Ti . To remove Ki from the ﬁlter gain (4. (4. are (A − LC)-invariant where L is the simpliﬁed ﬁlter gain. it is assumed that in the limit. i = 1 · · · q. First. Hi = I − Ti (TiT Ti )−1 TiT Lemma 4. A − LC). are (A − LC)-invariant where L is (4.18).6 in Appendix 4. Ti .

3. In the limit. by applying Lemma 4. This shows that the limiting ﬁlter gain (4. Lemma 4.17) which can be obtained independently of L.12) is the optimal projector in the limit. (4.30) minimizes the cost criterion. Lemma 4. In the limit.2.Lemma 4. In the limit.3 to (4.3. Proof.4 shows that (4.3 is used to remove Wi from (4.30) remains ﬁnite.16) and (4. q −1 q L = i=1 ∗ Hi i=1 Hi Pi C T V −1 (4. by applying Lemma 4.29) Lemma 4. Proof. In the limit.2 to (4.29). Lemma 4.19). Hi W i = 0 where L is (4.4 also implies that (4.18) in the limit. See Appendix 4.29).30) which does not require the solution to the two-point boundary value problem.29) and i = 1 · · · q.2.7. See Appendix 4.5 shows that Hi Pi remains ﬁnite in the limit even though Pi goes to inﬁnity.30) is equivalent to (4. q −1 q L = i=1 ∗ Hi i=1 Hi (Pi + Wi ) C T V −1 (4. q −1 q −1 Ki i=1 Kj = i=1 Hi Hj where j = 1 · · · q.30) only requires the solution to the Riccati equation (4. Lemma 4. 97 . This implies that (4. (4.7.18).

4.4 and tr(Hi CPi C T Hi ) is ﬁnite from Chapter 3.6 shows that Ti . the limiting ﬁlter gain (4.7.30) and i = 1 · · · q. the robust multiple-fault detection ﬁlter becomes equivalent to the RDD ﬁlter in the limit and extends the RDD ﬁlter to the time-varying case. Ti is (A − LC)-invariant where L is (4.6. Lemma 4. the cost criterion associated with (4. See Appendix 4. for the steady-state Pi . ˆ Theorem 4. for the multiple-fault ﬁlter. the robust multiple-fault detection ﬁlter satisﬁes ˆ ˆ trE hi (t)hi (t)T trE [hi (t)hi (t)T ] =0 98 . Lemma 4. For the single-fault ﬁlter. Proof. Therefore.6. See Appendix 4.7 shows that Ti . In the limit.30) is zero.30). See Appendix 4.5.5. Ti is (A − LC)-invariant where L is (4.4. Therefore.Lemma 4.7.26) goes to inﬁnity in the limit and there exists a reduced-order ﬁlter.7.7. the ﬁlter gain (4. However. Proof. Remark 21.30) remains ﬁnite. In the limit. ˆ ˆ Remark 22. by using Lemma 4. Proof. Lemma 4. See Appendix 4. i = 1 · · · q. the robust multiple-fault detection ﬁlter becomes also equivalent to the BJD ﬁlter in the limit and extends the BJD ﬁlter to the time-varying case.30) and i = 1 · · · q.30).7. i = 1 · · · q. are (A − LC)-invariant where L is (4. Proof. Hi Pi remains ﬁnite where i = 1 · · · q. are (A − LC)-invariant where L is (4. In the limit. ˆ Theorem 4.7.

18) and (4.m−1 are the eigenvectors of C(Wi + Pi )C T and their associated eigenvalues λi.5 ˆ Minimization with respect to H ˆ In this section.i=1···s tr t0 i=1 ˆ ˆ Hi C(Wi + Pi )C T Hi dt ˆ subject to (4. respectively.1 · · · ρi. Since the partial derivatives of the extra term tr( s i=1 ˆ ˆ Hi CPi C T Hi ) with respect to L and Wi are zero.32) where ρi.1 · · · ρi.m (4.where i = 1 · · · q.m−1 ][ ρi.m−1 ]T (4.12). from the ﬁrst-order necessary conditions of the Hamiltonian. this is an eigenvalue problem for solving Hi . Since Hi is not in the constraint ˆ ˆ (4.m−1 ] ˆ Hi∗ = I − [ ρi.19). Therefore. the associated nuisance faults are completely blocked.15).1 · · · ρi.i=1···s ˆ L.Hi .16) and Hi . the minimization problem is min ¯ J= min 1 t1 − t0 t1 s ˆ L.1 · · · ρi.m and m = dim Y. Similar to (4.16). the sum of the smallest eigenvalues of C(Wi + Pi )C T . the additional necessary condition for the optimal Hi is ˆ Hi∗ = ρi. 4. i = 1 · · · s. This implies that the transmissions from the associated nuisance faults to their associated projected residuals are zero.1 ≥ λi.31) where ρi. Note that (4.31) is a projector such that ˆ ˆ Hi∗ : Y → Y . If the rank of Hi is chosen as ˆ one. The optimal cost J ∗ = s i=1 λi.2 ≥ · · · ≥ λi. the optimal solution for L and the ˆ dynamics of Ki are (4.m−1 . Ker Hi∗ = Im[ ρi.Hi . i = 1 · · · s.m . are projectors. 99 .m ρT i.m is the eigenvector of C(Wi + Pi )C T associated with the smallest eigenvalue ¯ λi. the projectors Hi . are derived from solving the minimization problem instead of being deﬁned apriori as (4. i = 1 · · · s.

Ker Hi∗ = Im[ ρi. ˆ ˆ In the limit.21). the sum of the smallest m − pi eigenvalues of ˆ ˆ C(Wi + Pi )C T . (4.m · · · ρi.33) have to be solved simultaneously.ˆi +1 ]T p p (4.ˆi ][ ρi.32).1. For the inﬁnite-time case. (4. in the limit. i = 1 · · · s. (4.ˆi +1 ][ ρi.j . the ﬁlters are derived in the 100 . from Chapter 3.18).m · · · ρi. Therefore.12) is used .ˆ In the limit. Therefore.12) is used. if the ˆ ˆ ˆ rank of Hi is chosen as m − pi .32) ˆ ˆ blocks m − 1 directions. Fi is approximately contained ˆ ˆ ˆ in C Ti .m · · · ρi. In Section 4.34) allows more associated target fault transmission because it only blocks pi directions and (4. dim(Ker Hi ) should be equivalent to dim(C Ti ) = pi . For time-invariant p ¯ systems.6.34) becomes equivalent to (4.6 Example In this section.ˆi ] = C Ti and (4.ˆi +1 are the eigenvectors associated with the smallest m − pi eigenp values.1 · · · ρi.33) can be written as ˆ ˆ ˆ Hi∗ : Y → Y . To obtain the optimal solutions for L and Hi . (4. CPi C T has pi inﬁnite eigenvalues and tr(Hi CPi C T Hi ) is ˆ the sum of the m − pi ﬁnite eigenvalues if (4.33) have to be solved simultaneously. each associated nuisance fault Fi is contained in ˆ ˆ the output subspace C Ti .12) is the projector used by the RDD and BJD ﬁlters. (4. from Theorem 4. from Lemma 4. (4. When it is not in the limit. 4.34) is a better choice for Hi than (4. Therefore. (4. tr(Hi CWi C T Hi ) = 0 if (4. the necessary condition for the optimal Hi is ˆ ˆ Hi∗ = [ ρi. i = 1 · · · s.34) p p p ¯ Note that J ∗ = s i=1 m j=ˆi +1 p λi.12).19) and (4. two numerical examples are used to demonstrate the performance of the robust multiple-fault detection ﬁlter.24) and (4. (4.ˆi ] . Hi∗ = I −[ ρi.4. ˆ ˆ Im[ ρi. (4. (4. Although the J ∗ ¯ associated with (4.1 · · · ρi.33) ˆ where ρi.34) is larger than the J ∗ associated with (4.ˆi ]T (4.18).6. Then.16). In the ˆ ˆ limit.32) for the purpose of fault detection.1 · · · ρi.1 · · · ρi.

0430 −0. ˙ the wind gust is considered as a fault instead of the process noise.5587 −0.6819 0 0 0 1 0 −0.4666 Bδ = −9. Wilbers and Speyer.4666 16.5587 0. Here. 101 .5800 −0. for the fault detection ﬁlter design. the F16XL aircraft model (Douglas and Speyer. pitch rate xq and pitch angle xθ ). pitch rate yq and pitch angle yθ ).6b) where Eθ = [ 0 0 0 1 ]T .1672 0. and one disturbance input (wind gust uwg ). four measurements (longitudinal velocity yu .0299 −1.1672 0.0430 −1. Fwg = −1.2.5179 −1.1 Example 1 In this section. C=I A= 0. 1989) is used to demonstrate the performance of the robust multiple-fault detection ﬁlter.6788 −0. 1996. BJD ﬁlter and RDD ﬁlter. normal velocity yw .0430 0 −0. 4. normal velocity xw . The failure signatures used for the fault detection ﬁlter design 0 −0.6.0299 . The aircraft model has four states (longitudinal velocity xu .6788 0 1 0 0 0 are Note that the pitch angle sensor fault aﬀects the system as an additive term Eθ µθ in the measurement equation (4. pitch angle sensor yθ .6. However.7842 .4666 . elevon deﬂector uδ and wind gust uwg .0205 −1.8886 −0.forms of the unknown input observer.7842 −1.5179 . Fδ = Fθ = 0 −9. In Section 4. are considered. the ﬁlters are derived to show that the robust multiple-fault detection ﬁlter has similar behavior to the BJD and RDD ﬁlters. the pitch angle sensor fault is modeled as an additive term Fθ [ µθ − µθ ]T in the state equation (4. one control input (elevon deﬂection angle uδ ).6788 0 0 Three faults.1377 −1.0674 0.6a) where Fθ = [ fθ Afθ ] and Cfθ = Eθ . The system matrices are −0. Bwg = −1.

Since each ﬁlter can detect only one fault. the ﬁlter is derived in the form of the unknown input observer where s = 1. The power spectral densities are chosen as Q1 = 0. In the last case. i = 1 · · · 3. a ﬁlter is derived to show that the sensitivity of the projected residuals to their associated target faults can be enhanced. Note that these single-fault ﬁlters are equivalent to the optimal stochastic fault detection ﬁlter in Chapter 3. The dashed line represents the frequency response from the pitch angle sensor fault. In the third case.17) are obtained when i = 1. three ﬁlters are needed to detect all three faults.The robust multiple-fault detection ﬁlters used for detecting these three faults are derived in four cases. Let F1 = Fθ . Note that the frequency response from the pitch angle sensor fault to its associated projected residual is almost a constant through all frequencies because the sensor fault is a 102 . In the ﬁrst case. F2 = Fδ and F3 = Fwg . The ˆ frequency response from each fault to the projected residual Hi r of each ﬁlter is ˆ shown in Figure 4.1I. The ﬁrst ﬁlter has F1 as the ˆ associated target fault and F1 = [ F2 F3 ] as the associated nuisance fault. the ﬁlter is derived in the form of the unknown input observer where s = 1.1. Note that each ﬁlter has only one projected residual Hi r for ˆ detecting fault Fi . 2 and 3. The steady-state solutions to (4. In the second case. The third ﬁlter has F3 as the associated target fault and F3 = [ F1 F2 ] as the associated nuisance fault. Q3 = 1 and V = I. The dashdot line represents the frequency response from the elevon deﬂector fault. are deﬁned apriori as (4. Then.26). the ﬁlter is derived in the form of the RDD ﬁlter where s = 2. The second ˆ ﬁlter has F2 as the associated target fault and F2 = [ F3 F1 ] as the associated nuisance ˆ fault.12). the ﬁlter is derived in the form of the BJD ﬁlter where s = 3. The projectors Hi . three single-fault ﬁlters are obtained by (4. respectively. The solid line represents the frequency response from the wind gust fault. Q2 = 1. Unknown Input Observer In this case. The weightings are chosen as γ1 = γ2 = γ3 = 10−6 .

i = 1 · · · 3. The ˆ frequency response from each fault to the three projected residuals Hi r.23). Since the ﬁlter can detect all three faults. Beard-Jones Detection Filter In this case. The solid line represents the frequency response from the wind gust fault.2. is obtained by using the gradient method to solve (4.24). This example shows that the projected residual of each ﬁlter is only sensitive to its associated target fault. the ﬁlter is derived in the form of the BJD ﬁlter where s = 3. are deﬁned apriori as (4.12). (4.20) numeriˆ cally when s = 3. satisfying (4. only one ﬁlter is needed. The ﬁlter. The projectors Hi .1: Frequency response of the three single-fault ﬁlters direct feedthrough term to its associated projected residual. but not to its associated nuisance fault.1st filter 50 50 2nd filter 50 3rd filter 0 0 0 -50 Singular value (db) -50 -50 -100 -100 -100 -150 -150 -150 -200 -200 -200 -250 -250 -250 -300 10 Frequency (rad/s) 0 10 5 -300 10 Frequency (rad/s) 0 10 5 -300 10 Frequency (rad/s) 0 10 5 Figure 4. i = 1 · · · 3. This example shows that one multiple-fault ﬁlter works as well as the three single-fault ﬁlters. of the ﬁlter is shown in Figure 4.21) and (4. 103 . The dashed line represents the frequency response from the pitch angle sensor fault. The dashdot line represents the frequency response from the elevon deﬂector fault.

The dashed line represents the frequency response from the pitch angle sensor fault.21) and (4. satisfying (4.24). are deﬁned apriori as (4. the right ﬁgure in Figure 4. These two ﬁgures show that the pitch angle sensor fault and elevon deﬂector fault can still be detected even though s = 2 now. i = 1 and 2. of the ﬁlter. the ﬁlter is derived in the form of the RDD ﬁlter where s = 2.1st projected residual 50 50 2nd projected residual 50 3rd projected residual 0 0 0 -50 Singular value (db) -50 -50 -100 -100 -100 -150 -150 -150 -200 -200 -200 -250 -250 -250 -300 10 Frequency (rad/s) 0 10 5 -300 10 Frequency (rad/s) 0 10 5 -300 10 Frequency (rad/s) 0 10 5 Figure 4. i = 1 and 2.23). is obtained by using the gradient method to solve ˆ (4. The dashdot line represents the frequency response from the elevon deﬂector fault. the left and middle ﬁgures show the frequency response from ˆ each fault to the two projected residuals Hi r. the ﬁlter. The solid line represents the frequency response from the wind gust fault. it does not need to be detected. This ﬁgure shows 104 .20) numerically when s = 2.2: Frequency response of the multiple-fault ﬁlter when s = 3 Restricted Diagonal Detection Filter In this case.3 shows the frequency response from each fault to the projected residual used for detecting the wind gust fault in previous case. For comparison with the previous case where s = 3. (4. In Figure 4.12). The projectors Hi .3. Therefore. Since the wind gust is a disturbance.

the frequency response from the 105 . the power spectral densities Q1 and Q2 are chosen as 0.3: Frequency response of the multiple-fault ﬁlter when s = 2 that the wind gust fault can no longer be detected. In Figure 4.64 and 4. This example shows that the multiple-fault ﬁlter still works well after relaxing the constraint on detecting the wind gust fault which does not need to be detected. After increasing Q1 and Q2 . respectively while other power spectral densities and the weightings are keeping the same.73.73. The left ﬁgure shows the frequency response from the pitch angle sensor fault to its associated projected residual when Q1 = 0. The ﬁlter is derived in the form of the RDD ﬁlter where s = 2 similarly to the previous example. a ﬁlter is derived to show that the sensitivity of the projected residuals to their associated target faults can be enhanced.64. Associated Target Fault Sensitivity Enhancement In this case.4. However.1st projected residual 50 50 2nd projected residual 50 Pseudo projected residual 0 0 0 -50 Singular value (db) -50 -50 -100 -100 -100 -150 -150 -150 -200 -200 -200 -250 -250 -250 -300 10 Frequency (rad/s) 0 10 5 -300 10 Frequency (rad/s) 0 10 5 -300 10 Frequency (rad/s) 0 10 5 Figure 4. the performance of this ﬁlter is compared to the ﬁlter derived in the previous case. The right ﬁgure shows the frequency response from the elevon deﬂector fault to its associated projected residual when Q2 = 1 and 4.1 and 0.

the ﬁlter is derived when one of the faults has a right-half-plane invariant zero.6 1.4 0. 4.6 0.1 0 Q2 = 4.6 0.64 Singular value Singular value 1. the ﬁlter is derived when one of the faults has a left-half-plane invariant zero.6.8 0.73 Q2 = 1 Q1 = 0. In the second case.2 1 0. In the ﬁrst case.4: Frequency response of the multiple-fault ﬁlter when s = 2 for diﬀerent Q1 associated target faults to their associated projected residuals increases about 100 percent. In the third case. three cases are used to show that the robust multiple-fault detection ﬁlter has similar behavior to the RDD and BJD ﬁlters.2 Example 2 In this section.4 1 0.5 0.9 0. the ﬁlter is derived when the faults are not mutually detectable. 106 . This example shows that the sensitivity of the projected residuals to their associated target faults can be enhanced by increasing the power spectral densities of the associated target faults.2 0.2 0 0.7 2nd projected residual Q1 = 0.1st projected residual 2 1.3 0.1 10 Frequency (rad/s) 0 10 5 10 Frequency (rad/s) 0 10 5 Figure 4.8 1.4 0.8 0.

12). Note that the single-fault ﬁlter for detecting fault F1 has an eigenvalue at −3.24). 1986). the power spectral densities are chosen as Q1 = Q2 = 0.. The left ﬁgure shows the projected residuals used for detecting fault F1 . the projected residual of the ﬁrst single-fault ﬁlter and the ﬁrst projected residual of the multiple-fault ﬁlter.. The eigenvectors of the multiple-fault ﬁlter are very close to T1 and T2 just like the RDD and BJD ﬁlters. the multiple-fault ﬁlter. 1986). F2 = 1 0 0 1 5 0. The weightings are chosen as γ1 = γ2 = 10−6 . F1 = −0. Since T1 ⊕ T2 = X . the 107 . i = 1 and 2.26). The right ﬁgure shows the projected residuals used for detecting fault F2 .21) and (4. T1 = ImF1 and T2 = Im[ F2 ν ].25 and V = I. (4. satisfying (4.23).20) numerically when s = 2. The system matrices are 4 1 −3 0 1 0 3 . none of the eigenvalues will be close to the invariant zero 3 (Massoumnia. F2 ) has an invariant zero at 3 and the invariant zero direction ν is [ 1 0 0 ]T . Since the invariant zero direction is approximately included in the invariant subspace of F2 generated by the multiple-fault ﬁlter. From (Massoumnia.3789 and −7. Then. The eigenvalues of the multiple-fault ﬁlter are −0. C= .5 0 There is no process noise. Finally. The frequency response from each fault to the projected residuals of the two single-fault ﬁlters and one multiple-fault ﬁlter is shown in Figure 4. i. (C.e. First. two single-fault ﬁlters are obtained by (4. 1987).e.5. is obtained by using the gradient method to solve ˆ (4.0001 which is very close to the mirror image of the invariant zero. there is no complementary subspace. are deﬁned apriori as (4. A. respectively.5865. the steady-state solutions to (4.17) are obtained when i = 1 and 2. i. The projectors Hi . For the fault detection ﬁlter design.5 . −5.Right-Half-Plane Invariant Zero This example 0 3 1 2 A= 0 2 is from (White and Speyer.1102.

The frequency response of the multiple-fault ﬁlter when the projectors are derived from solving the minimization problem is similar to Figure 4. are very small. Note that the lines. but it is still much smaller than the frequency response from the associated target fault. overlap and are large. The dotted and dashdot lines represent the frequency response from F1 and F2 to the second projected residual. respectively.projected residual of the second single-fault ﬁlter and the second projected residual of the multiple-fault ﬁlter. The case where the plant uncertainty is applied by decreasing the ﬁrst element 108 . The performance of the multiple-fault ﬁlter under plant uncertainty is shown in Figure 4. representing the frequency response from each associated nuisance fault to the projected residual of its associated single-fault ﬁlter and the associated projected residual of the multiple-fault ﬁlter. The frequency response from each associated target fault to its projected residual is almost the same as the case without any plant uncertainty.5 and therefore not shown here. Therefore. The solid and dashed lines represent the frequency response from F1 and F2 to the ﬁrst projected residual. The dashed lines represent the frequency response from F2 to the projected residual of the two single-fault ﬁlters. representing the frequency response from each associated target fault to the projected residual of its associated single-fault ﬁlter and the associated projected residual of the multiple-fault ﬁlter. the single multiple-fault ﬁlter works as well as the two single-fault ﬁlters.05 to the third element of F2 . The solid lines represent the frequency response from F1 to the projected residual of the two single-fault ﬁlters. respectively. the frequency response from each associated nuisance fault to its projected residual has increased due to the plant uncertainty. The dotted lines represent the frequency response from F2 to the two projected residuals of the multiple-fault ﬁlter. However. The plant uncertainty is applied by increasing the ﬁrst element of F1 by 25 percent and adding 0. The lines.6. The dashdot lines represent the frequency response from F1 to the two projected residuals of the multiple-fault ﬁlter.

The two single-fault ﬁlters and one multiple-fault ﬁlter are obtained with the same Q1 .05 to the third element of F2 is similar and not shown here.Projected residuals for detecting F1 0 0 Projected residuals for detecting F2 -50 -50 Singular value (db) -100 Singular value (db) 0 5 -100 -150 -150 -200 -200 -250 -250 10 Frequency (rad/s) 10 10 Frequency (rad/s) 0 10 5 Figure 4. F2 ) has an invariant zero at −3 and the invariant zero direction ν is [ 1 0 0 ]T . Since T1 ⊕ T2 = X . The system matrices are the same except 3 F2 = 1 0 (C. 1986). The eigenvectors of the multiple-fault ﬁlter are very close to 109 . there is no complementary subspace. Q2 . V . Left-Half-Plane Invariant Zero This example is from modifying the previous case such that the invariant zero is in the left-half plane instead of the right-half plane. γ1 and γ2 . From (Massoumnia. T1 = ImF1 and T2 = Im[ F2 ν ].5: Frequency response of the two single-fault ﬁlters and the multiple-fault ﬁlter of F1 by 25 percent and subtracting 0. A.

For the single-fault ﬁlter in Chapters 2 and 3. The eigenvalues of the multiple-fault ﬁlter are −0. none of the eigenvalues will be close to the invariant zero −3 (Massoumnia. The frequency response is similar to Figure 4.5865.Projected residuals for detecting F1 0 0 Projected residuals for detecting F2 -50 -50 Singular value (db) -100 Singular value (db) 0 5 -100 -150 -150 -200 -200 -250 -250 10 Frequency (rad/s) 10 10 Frequency (rad/s) 0 10 5 Figure 4.5 and therefore not shown here. Remark 23. To avoid this situation. Although the invariant zero directions associated with the right-half-plane invariant zeros are included in the invariant subspace. the fault di- 110 . 1986).0001 because the invariant zero direction is not included in the invariant subspace of F2 generated by the single-fault ﬁlter. Note that the single-fault ﬁlter for detecting fault F1 has an eigenvalue at −3. Since the invariant zero direction is approximately included in the invariant subspace of F2 generated by the multiplefault ﬁlter. the invariant zero directions associated with the left-half-plane invariant zeros are not included in the invariant subspace and part of the eigenvalues are very close to the invariant zeros. part of the eigenvalues are very close to the mirror images of the invariant zeros. −5.1102.6: Frequency response of the multiple-fault ﬁlter under plant uncertainties T1 and T2 just like the RDD and BJD ﬁlters.3789 and −7.

the multiple-fault ﬁlter automatically includes the invariant zero directions in the invariant subspaces and none of the eigenvalues is close to the invariant zeros nor the mirror images of the invariant zeros. A multiple-fault ﬁlter is also obtained for two nonmutually detectable faults where the extra invariant zero is on the right-half plane. A. Since T1 ⊕ T2 ⊂ X . Although a stable ﬁlter can be obtained numerically from minimizing the cost criterion by the gradient method. as demonstrated by the numerical examples in this and previous sections. there is a complementary subspace.rection has to be modiﬁed so that the single-fault ﬁlter includes the invariant zero directions in the invariant subspace. 1986). The system matrices are the same except 5 F2 = 1 1 F1 and F2 are not mutually detectable because (C. The eigenvalues of the multiple-fault ﬁlter are −1. F1 ) and (C.5 and therefore not shown here.8185. 1986). From (Massoumnia. the minimal cost is large and therefore the ﬁlter can not isolate these two faults. [ F1 F2 ]) has an invariant zero at −1. The two single-fault ﬁlters and one multiple-fault ﬁlter are obtained with the same Q1 . Remark 24. T1 = ImF1 and T2 = ImF2 . V . Since F1 and F2 are not mutually detectable. F2 ) do not have any invariant zero. However. A.5008.5 while (C. −5.7648 and −6. Two of the eigenvectors of the multiple-fault ﬁlter are very close to T1 and T2 just like the RDD and BJD ﬁlters. γ1 and γ2 . Q2 . A. The frequency response is similar to Figure 4. This is consistent with the RDD and BJD ﬁlters because 111 . Nonmutually Detectable Faults This example is from modifying the previous case such that both faults do not have invariant zeros. one of the ﬁlter eigenvalues should be very close to −1.5 (Massoumnia.

the extra invariant zero will be part of the ﬁlter eigenvalues if the ﬁlter forms the invariant subspaces to isolate the faults. Therefore, it is impossible to obtain a stable multiple-fault ﬁlter when there is any extra invariant zero on the right-half plane. However, two single-fault ﬁlters can be used to monitor these two faults.

4.7

Appendix

In this section, the proof of Theorem 4.6 and Lemmas 4.1, 4.2, 4.3, 4.4, 4.5 and 4.7 are given.

4.7.1

Proof of Lemma 4.1

ˆ ˆ ˆ Since Ker Hi = C Ti (4.12) and Ti is (A − LC)-invariant by the assumption, the unˆ ˆ observable subspace of (Hi C, A − LC) is Ti . Therefore, from the Lyapunov equation ˆ (4.19), the observability grammian Ki has a null space Ti .

4.7.2

Proof of Lemma 4.2

−1 0 0 ... 0 ¯ 0 Kq −1 0 0 ... 0 ¯ 0 Hq

**For j = 1, by using Lemma 4.8 in Appendix 4.7.8, ¯ −1 −1 K1 q q Γ−1 K i K1 Γ = ΓT Ki Γ ΓT K1 Γ = 0 i=1 i=1 0 ¯ −1 −1 H1 q q Γ−1 Hi H1 Γ = ΓT Hi Γ ΓT H1 Γ = 0 i=1 i=1 0 Therefore, (
**

q i=1

¯ K1 0 0 0 ¯ H1 0 0 0

=

I 0 0 0

=

I 0 0 0

Ki ) K1 = (

−1

q i=1

Hi ) H1 . It can be shown similarly for j = 2 · · · q.

−1

112

4.7.3

Proof of Lemma 4.3

By multiplying (4.16) by Hi from the left and right, substituting (4.29) and applying Lemma 4.9 in Appendix 4.7.8, ˙ Hi −Wi + (A − Pi C T V −1 C)Wi + Wi (A − Pi C T V −1 C)T − Wi C T V −1 CWi Hi = 0 Note that A − Pi C T V −1 C is the closed-loop A matrix of the single-fault ﬁlter. Then, ˙ ˆˆ Wi = (A − Pi C T V −1 C)Wi + Wi (A − Pi C T V −1 C)T − Wi C T V −1 CWi + Ti TiT ˆ ˆ ˆ ˆ because Ker Hi = Ti where ImTi = Ti . Since Ti is (A − Pi C T V −1 C)-invariant from ˆ ˆ ˆ Chapter 3, the controllable subspace of (A − Pi C T V −1 C, Ti ) is Ti and ImWi = Ti . Therefore, Hi Wi = 0.

4.7.4

Proof of Lemma 4.4

By multiplying (4.16) by Hi from the left and right, substituting (4.30) and applying Lemma 4.9 in Appendix 4.7.8, ˙ Hi −Wi + (A − Pi C T V −1 C)Wi + Wi (A − Pi C T V −1 C)T Hi = 0 Then, ˙ ˆˆ Wi = (A − Pi C T V −1 C)Wi + Wi (A − Pi C T V −1 C)T + Ti TiT ˆ ˆ ˆ because Ker Hi = Ti . Since the controllable subspace of (A − Pi C T V −1 C, Ti ) is Ti , ˆ ˆ ˆ ˆ ˆ ImWi = Ti . Since Ker Hi = C Ti (4.12), Hi CWi C T Hi = 0. Therefore, 1 J = t1 − t0

∗ t1 s

tr

t0 i=1

ˆ ˆ Hi CWi C T Hi dt = 0

113

4.7.5

Proof of Lemma 4.5

ˆ From Lemma 3.6, when C Fi = 0, Pi = γ −1/2 u 1 u2 Π−1 0 211 0 0 uT 1 uT 2 uT 1 +· · · uT 2

+ u1 u 2

Π−1 (Π212 Π−1 ΠT −Π411 )Π−1 −Π−1 Π212 Π−1 211 022 212 211 211 022 −Π−1 ΠT Π−1 Π−1 022 212 211 022

In the limit, the projector Hi (4.28) is Hi : X → X , Ker Hi = Im u1 , Hi = I − u1 uT 1 Then, in the limit H i Pi = u 2 which is ﬁnite. ˆ ˆ From Lemma 3.6, when C Fi = 0 and CAFi = 0, ¯ ¯ Π1111 Π1112 ¯ Π12 ¯ 1112 Π1122 ¯ u1 u2 v 1 u2 v2 ΠT Pi = ¯ 12 Π−1 ΠT 02222 In the limit, the projector Hi (4.28) is H : X → X , Ker H = Im [ u1 u2 v1 ] , H = I − [ u1 u2 v1 ][ u1 u2 v1 ]T Then, in the limit, H i Pi = u 2 v 2 ¯ 12 ΠT Π−1 02222 + ··· −Π−1 ΠT Π−1 Π−1 022 212 211 022 uT 1 uT 2 + ···

uT 1 T T v 1 u2 T v 2 uT 2

uT 1 T T v 1 u2 T v 2 uT 2

which is ﬁnite. By induction, the hypothesis is true.

4.7.6

Proof of Theorem 4.6

Since Pi goes to inﬁnity in the limit, Πi = Pi−1 has a null space and ˙ −Πi = Πi A + AT Πi + Πi 1 ˆ ˆ ˆT T Fi Qi Fi − Fi Qi FiT + Bw Qw Bw Πi − C T V −1 C (4.35) γi

114

Πi e = Πi A − Πi ˙ Since Πi ( q k=1 q −1 q Hi i=1 i=1 ˆˆ Hi Pi C T V −1 C e + Πi Fi µi Hk )−1 Hj=i = 0 which can be shown similarly to Lemma 4. Ti is (A − LC)-invariant where L is (4. For ˆ time-varying systems. d (Πi e) = − AT + Πi dt 1 ˆ ˆ ˆT T Fi Qi Fi − Fi Qi FiT + Bw Qw Bw γi ˆˆ Πi e + Πi Fi µi ˆ Since Πi Fi → 0 in the limit from Chapter 3. Therefore. Since the idea of the invariant zero direction is not deﬁned for time-varying systems.9. Ker Πi = Ti from Chapter 3. Assumption 4.8. By substituting (4.30).30). ˆ Then. ˆˆ Πi e = (Πi A − C T V −1 C)e + Πi Fi µi ˙ ˙ By adding Πi e to both sides and substituting (4. Therefore.35).30). the error will always stay in Ker Πi when ˆ the associated nuisance fault Fi occurs. 115 . Ker Πi = Ti for both time-invariant and time-varying ˆ systems.The dynamic equation of the error without process and sensor noise can be written as ˆˆ Πi e = Πi (A − LC)e + Πi Fi µi ˙ when the associated nuisance fault occurs.5 is assumed to imply that Ker Π1 ⊕ · · · ⊕ Ker Πq spans the state space for time-varying systems.7. For time-invariant systems. under Assumption 4.5. Ker Πi ⊆ Ti from Chapter 3. Πi e = Πi A − Πi ˙ Since Πi ( q k=1 q −1 Hi i=1 Hk )−1 Hi = Πi which can also be shown similarly to Lemma 4. Ker Πi is (A − LC)-invariant ˆ where L is (4.9 in Ap ˆˆ Hi Pi C T V −1 C e + Πi Fi µi pendix 4.

4. ΓT K2 Γ = 0 K2 0 0 0 0 in the limit and ΓT H1 Γ = Proof. T1 · · · Tq are (A − LC)-invariant where L is (4.30). There exists a state transformation Γ.8. Z1 0 0 T1 · · · Tq = Γ 0 . ˆ Ti = T1 · · · Ti−1 Ti+1 · · · Tq Since Assumption 4. 0 0 0 Zq where Zi . Then. are any invertible ki × ki 0 0 ¯ K1 0 ¯ ΓT K1 Γ = . ¯ H1 0 0 0 0 0 0 ¯ . ΓT H2 Γ = 0 H2 0 . 4. ΓT Hq Γ = 0 0 0 0 0 ¯ 0 Hq matrices and ki = dim Ti such that 0 0 0 0 .7. .7 Proof of Lemma 4. Ti is (A − LC)-invariant where L (4.6.30).7 When the faults are mutually detectable (Massoumnia.8 Lemmas Lemma 4.5 implies that the faults are mutually detectable. . · · · . Therefore. Ker K1 = T2 · · · Tq =Γ 0 ˆ1 Z ˆ where Z1 is a block diagonal matrix with diagonal matrix elements Z2 · · · Zq . ΓT Kq Γ = ¯ 0 Kq 0 From Lemma 4. 1986). K1 Γ 0 ˆ1 Z = 0 ⇒ ΓT K1 Γ 0 ˆ1 Z =0 116 .1.7. · · · . ˆ ˆ ˆ ˆ T1 ∩ · · · ∩ Ti−1 ∩ Ti+1 ∩ · · · ∩ Tq = Ti ˆ ˆ From Theorem 4. i = 1 · · · q.

. i = j 0 .. 0 0 ¯ Hq 0 −1 0 0 0 ¯ 0 H2 0 = 0 0 0 I 0 0 0 0 0 0 ¯ 0 H2 0 = 0 0 0 0 Therefore.9. For i = 1 and j = 2. i = 2 · · · q. . ΓT K1 Γ = ¯ K1 0 0 0 It can be shown similarly for Ki . q −1 Hi k=1 Hk Hj = Hi . Lemma 4. i = 1 · · · q. i=j Proof. It can be shown similarly for other cases where i = j. 0 0 ¯ 0 0 Hq = = = ΓT H1 Γ Therefore. and Hi . It can be shown similarly for other cases where 117 . q −1 q −1 Hk k=1 H1 Γ = (Γ H1 Γ) −1 k=1 T Γ Hk Γ ¯ H1 0 0 0 T (ΓT H1 Γ) I 0 0 0 ¯ H1 0 0 0 ¯ H1 0 0 0 = ¯ H1 0 0 0 ¯ 0 H1 0 . H1 ( i = j.. Γ H1 T For i = j = 1. by using Lemma 4. q q Γ H1 ( k=1 T Hk ) H2 Γ = (Γ H1 Γ)( 0 0 q k=1 −1 T ΓT Hk Γ)−1 (ΓT H2 Γ) k=1 = ¯ H1 0 0 0 ¯ H1 0 .ˆ Since Z1 is invertible by deﬁnition and ΓT K1 Γ is symmetric.8. Hk )−1 H2 = 0. H1 ( q k=1 Hk ) −1 H1 = H1 .

the robust multiple-fault detection ﬁlter has been developed. the ﬁlter gain computation can be done oﬀ-line so that the ﬁlter implementation is 118 . each projected residual is aﬀected primarily by one fault and minimally by other faults. Although the process of deriving the ﬁlter gain requires the solution to a two-point boundary value problem. When it is not in the limit. Two special cases of the ﬁlter are the optimal stochastic fault detection ﬁlter and the generalized least-squares fault detection ﬁlter. This unique optimization problem allows the design of the detection ﬁlter in its most general and potentially most robust form: an approximate RDD ﬁlter. For each subspace. Therefore. this ﬁlter is derived from solving an optimization problem and only in the limit. is the geometric structure of the RDD ﬁlter recovered. the ﬁlter only isolates the faults within approximate unobservable subspaces. the transmission from one fault is maximized. Diﬀerent from other algorithms for the RDD and BJD ﬁlters which explicitly force the geometric structure by using eigenstructure assignment or geometric theory. It is shown that this ﬁlter becomes equivalent to the RDD ﬁlter in the limit and extends the RDD ﬁlter to the time-varying case. This ﬁlter is derived by dividing the output error into several subspaces. This new feature allows the ﬁlter to be potentially more robust since the ﬁlter structure is less constrained.Chapter 5 Conclusion In this dissertation. and the transmission from other faults is minimized.

as straightforward as the RDD ﬁlter. 119 . Future work should include the development of a robust numerical algorithm for solving the two-point boundary value problem.

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