Algorithm for Detection of Change Point in On-Line

Monitoring Data
M. B. Anoop1; K. Balaji Rao2; and N. Lakshmanan3

Abstract: The detection of abrupt changes in observed/estimated physical processes is an issue of concern in many applications. An
algorithm for single change point detection in Gaussian white noise processes is presented in this paper. The algorithm progressively
includes and analyzes the observed data points, and hence is suitable for detection of change point in on-line monitoring data. Two
example problems are presented, wherein Monte Carlo simulation technique is used, to illustrate the proposed algorithm. The performance
of the algorithm with respect to changes in shift amplitude, intensity of the signal, and rate of sampling are studied, and the observed
trends indicate that the proposed algorithm possesses the desirable properties of change detection algorithms.
DOI: 10.1061/共ASCE兲1076-0342共2008兲14:1共33兲
CE Database subject headings: Noise; Algorithms; Gaussian process; Monitoring; Data processing; Signal processing.

Introduction
Many practical problems arising in quality control, signal pro-
cessing, and fault detection and monitoring in industrial plants
can be modeled with the aid of parametric models in which pa-
rameters are subject to abrupt changes at unknown time instants
共Basseville and Nikiforov 1993兲. In such cases, detection of
abrupt changes in observed/estimated physical processes is an
issue of concern. For example, when studying the displacement
response process of a single degree of freedom elastoplastic os-
cillator exited by a Gaussian white noise 共GWN兲 共Tarp-Johansen
and Ditlevsen 2000兲, it is of interest to determine when response
has entered the plastic domain. In many engineering applications,
the processes can be considered a GWN, and it is important to
estimate the instant at which one-step shift in mean level of the
GWN occurs. For example, when health of the structure is being
monitored, readings of strain from embedded strain gauges along
with embedded sensors of temperature and humidity are typically
used to study the state of health. With the occurrence of a damage
event, there will be a shift in the mean level of the signal from the
sensor/gauge. For instance, Fig. 1 shows the strains recorded
using a strain gauge at the midspan of a girder of the Bonnet
Carre Spillway Bridge during an extreme overload 共Ziehl and
Lamanna 2003兲, from which it is noted that there is an increase in
mean strain with the passage of the overload. The increase in
mean strain after the passage of the overload has been attributed
to either the malfunction of strain gauge or the development of a
1
Scientist, Structural Engineering Centre, CSIR Campus, Taramani,
Chennai 600 113, India.
2
Scientist, Structural Engineering Research Centre, CSIR Campus,
Taramani, Chennai 600 113, India. E-mail: balajiserc1@yahoo.com
3
Director, Structural Engineering Research Centre, CSIR Campus,
Taramani, Chennai 600 113, India.
Note. Discussion open until August 1, 2008. Separate discussions
must be submitted for individual papers. To extend the closing date by
one month, a written request must be filed with the ASCE Managing
Editor. The manuscript for this paper was submitted for review and pos-
sible publication on September 5, 2006; approved on August 27, 2007.
This paper is part of the Journal of Infrastructure Systems, Vol. 14, No.
1, March 1, 2008. ©ASCE, ISSN 1076-0342/2008/1-33–41/$25.00.
crack during the passage of load 共Ziehl and Lamanna 2003兲.
Remaining life assessment and damage modeling of structural
systems and assemblages requires identification of time of occur-
rence of damage event for the structural system. This necessitates
the need for the development of suitable change point detection
algorithms.
The development of algorithms for change point detection is
an area of active research with applications in various disciplines
共Basseville and Nikiforov 1993; Kailath 1998; Perreault et al.
1999; Vellekoop and Clark 2003; Jann 2000; Staudacher et al.
2005兲. The approaches adapted for solving change-point problems
include maximum likelihood, Bayesian, Bayes-type, nonparamet-
ric, as well as decision theoretic procedures 共Jandhyala et al.
1999兲. Most of these approaches are based on time-domain analy-
sis. But, in some cases, it may be required to analyze data in both
time and frequency domains. For instance, a step shift in the mean
of the signal is localized in time domain, whereas a change in
variance is more localized in the frequency domain 共Ganesan et
al. 2004兲. Thus, if the interest is to detect changes in both mean
and variance, the data should be analyzed using a time-frequency
approach. Wavelet-based change point detection methods, which
can extract both time- and frequency-related information, have
been investigated by many researchers 共Mallat and Hwang 1992;
Antoniadis and Gijbels 2002; Ganesan et al. 2004; Raimondo and
Tajvidi 2004; Ko and Vannucci 2006兲. However, the application
of wavelet-based methods to on-line change point detection is
restricted by the noncausality of the wavelet, which introduces a
time delay in the computation of wavelet coefficients at
nondyadic locations 共Ganesan et al. 2004兲. Also, the dyadic dis-
cretization requires the signal to be of dyadic length for the de-
composition to take place.
With the development of more comprehensive strategies for
monitoring the health of long-span bridges and the developments
in smart sensor technology, digital data acquisition, and in low-
cost wireless sensors 共Pines and Aktan 2002; Lynch et al. 2003;
2004; Farrar et al. 2006兲, there is a need to develop algorithms for
change point detection in on-line monitoring data recorded/
cached in a central location and analyzed in real-time for auto-
mated diagnosis of structural health. In this study, the emphasis is
to develop an algorithm for detection of shift in the mean when

JOURNAL OF INFRASTRUCTURE SYSTEMS © ASCE / MARCH 2008 / 33

 The optimal 共Bayesian兲 least squares estimate of the shift time
is the conditional mean 共Fishman 1986兲

␭ˆ = 具␭兩y t0典 共3兲

where y t0 = observed time history of the process, 兵Y共s兲 , 0 艋 s 艋 t其.

Exact characteristics of the estimate 关Eq. 共3兲兴 have been studied
by many authors 共e.g., Fishman 1986兲, however, the existence of
effective algorithms for estimation are scant.
It has been shown by Fishman 共1986兲 that, for all t 艌 0, the
optimal estimate 关Eq. 共3兲兴 has the form

Fig. 1. Recorded strains using a strain gauge at the midspan of a ␨共t兲

bridge girder during the passage of an overload 关from Ziehl and La- ␭ˆ 共t兲 = 共4兲
⌳共t兲
manna 共2003兲, with permission from the authors兴
where ␨共t兲 and ⌳共t兲 = statistics defined by a system of stochastic
differential equations
the observed process is a realization of a GWN process. This

冋 冕 册
paper is organized as follows: the proposed algorithm for change ⬁
point detection of on-line monitored data is presented in the next A
d␨共t兲 = ␨共t兲 − xdF␭共x兲 y共t兲dt 共5兲
section, followed by two example problems. In the first example, I t
the performance of the proposed algorithm is studied with respect
to changes in: 共1兲 shift amplitude; 共2兲 intensity of the signal; and
共3兲 rate of sampling are studied. In the second example, the algo- A
d⌳共t兲 = 关⌳共t兲 + F␭共t兲 − 1兴y共t兲dt 共6兲
rithm is applied to a practical case study of identifying time of I
corrosion initiation in a reinforced concrete bridge girder. The
concluding remarks are given in the last section. satisfying the initial conditions

冕
⬁

Proposed Algorithm for Change Point Detection in
On-Line Monitoring Data
It is assumed that the observed continuous time random process
兵Y共t兲 , t 艌 0其 has the following form:
Y共t兲 = AU共t − ␭兲 + ␰共t兲, t艌0
where 兵␰共t兲 , t 艌 0其 = standard Gaussian white noise process with
zero mean and Dirac delta function correlation function 共i.e.,
具␰共t兲典 = 0 , 具␰共t兲␰共t + ␶兲典 = I␦共t − ␶兲兲; where I = intensity of the white
noise process. ␰共t兲 represents the randomness in the system per-
formance with time. Eq. 共1兲 indicates that the perfect state of the
sensor/gauge is represented by a GWN process and any changes
occurring in the process represented by the first term of the equa-
tion. In this equation, A = shift in the mean of the observed process
兵Y共t兲 , t 艌 0其 and in many practical problems the shift of the mean
level can be interpreted as the disruption in the process, which
might have occurred due to change of state of the system under
observation. U共t − ␭兲 is a unit step function defined as follows:
⌳共0兲 = 1, ␨共0兲 = xdF␭共x兲 共7兲
−⬁
It is noted from Eq. 共4兲 that ⌳共t兲⫽likelihood ratio in the problem
of testing two hypotheses: H0 : y共t兲 = ␰共t兲 共no change has oc-
curred兲; H1 : y共t兲 = AU共t − ␭兲 + ␰共t兲 共change has occurred兲.
共1兲 F␭共␭兲⫽known distribution function, decided based on engineer-
ing judgment, for the time of shift. At t = 0, as no information on
y共t兲 is available, the optimal estimate for time of shift, ␭ˆ 共0兲, will
be the mean of F␭共␭兲. This can be noted from the initial condi-
tions given by Eq. 共7兲. As long as the available information 关i.e.,
y共t兲兴 is favoring the null hypothesis H0, 共i.e., no shift in the mean
has occurred兲, the optimal estimate for the time of shift will not
change. Once the shift in mean has occurred, there will be a
change in the optimal estimate indicating that the available infor-
mation is now favoring the alternative hypothesis H1.
Eqs. 共4兲–共6兲, which are used to describe the properties of the
Bayes estimator, suggest that for fixed ␭ˆ 共t兲, ⌳共t兲, the value of the
Bayesian estimate at the time 共t + u兲 is given only by the quantities

再 冎 t = 兵y共s兲 , s 苸 关t , t + u兴其 and do not depend on past observations.

1 for t 艌 ␭
U共t − ␭兲 =
0 for t ⬍ ␭
where ␭ = time instant at which a step shift in the mean level of
the observed process occurs. ␭ may represent the randomness in
the time of shift due to the uncertainties in external disturbance
共abnormal loading兲 to the system or due to combination of uncer-
tainties in system and external disturbance or due to uncertainties
in system alone. In the present study, it is assumed that the noise
intensity 共I兲 and the amplitude of shift 共A兲 are known. These
assumptions may not pose severe restrictions as in many engi-
neering applications, these quantities can be estimated with a cer-
tain degree of confidence 共see, e.g., Example 2 of this paper兲.
Also, it is assumed that ␭ is a random variable with known dis-
tribution function F␭共t兲 = P兵␭ ⬍ t其.
y t+u
Therefore
共2兲
␭ˆ 共t + u兲 = ⌽兵t,␭ˆ 共t兲,⌳共t兲,y t+u
t 其 共8兲
Further, from Eqs. 共4兲–共6兲, it is easily noted that the two-
dimensional process Z共t兲 = 共␭ˆ 共t兲 , ⌳共t兲兲 is a Markov diffusion pro-
cess 共Gardiner 1985兲.
The previous observations suggest that the entire observed
time history of the process need not have to be considered for
determining ␭ˆ 共t兲, but data over a finite time interval only need to
be considered at any time. Fishman 共1986兲 has also shown that
the Bayesian estimate obtained using Eqs. 共4兲–共6兲 ensures 1.35-
fold reduction in mean square error compared to maximum like-
lihood estimator 共see the Appendix兲.

34 / JOURNAL OF INFRASTRUCTURE SYSTEMS © ASCE / MARCH 2008

Determination of Time of Shift in the Mean of the
Observed Process When y„t… Is Continuously
Observable in Real Time

This case is considered in the present study. In this case, it is

assumed that y共t兲 is available, and the aim is to determine the
time, ␭, at which a shift has occurred in the mean of the observed
process. As y共t兲 is known, Eqs. 共5兲 and 共6兲 are ordinary differen-
tial equations, and can be solved using numerical methods such as
Runge–Kutta methods.
From the simulation studies carried out at SERC 共Balaji Rao et
al. 2006兲, it is noted that there is a need to apply a modification to
␭ˆ 共t兲 关Eq. 共4兲兴, when y共t兲 is assumed to be continuously observable
in real time. The following modification is proposed in this study:

␭共t兲 =
冏冕0
t
␭ˆ 共x兲dx − ␭ˆ 共t兲 · t 冏 共9兲
兩␭ˆ 共0兲 − ␭ˆ 共t兲兩

The time of shift is value to which ␭共t兲 converges 共or when the
successive values of ␭共t兲 do not differ by more than a specified
tolerance兲. The efficacy of the algorithm can be estimated by
computing the delay for detection 共defined as the difference be-
tween the actual time of shift and the predicted time of shift兲. As Fig. 2. Schematic representation of problem considered in
the entire observed time history of the process need not be con- Example 1

sidered for determining ␭ˆ 共t兲 关Eq. 共8兲兴, a sliding window of width

W containing specified sample size N is considered in the present
study. The assumption made when a sliding window is considered
is that the change point can be detected within N time steps after
it has occurred 共Chow and Willsky 1984兲. The window width
should be chosen long enough so that detection of change point is
possible, but short enough for computational efficiency. Thus, the
selection of window width is a multiobjective optimization prob-
lem; however, this aspect is not considered in this study.
Initially, 共i.e., at t = 0兲, the window is empty. Data points from
the continuously observed real time process, y共t兲, are progres-
sively included in the window and analyzed for change point
detection. One of the advantages of the proposed algorithm over
wavelet-based methods is that one need not have to wait until the
window is filled completely to carry out the analysis. After N time
steps, for each incoming data point, the window is moved to
include the latest data point while keeping the width of the win-
dow the same. The algorithm is suitable for on-line detection of
change point, since data points in the time series are progressively
included and analyzed.
Two examples are presented next to illustrate the proposed
algorithm for change point detection. In these examples, for
studying the efficiency of the proposed algorithm, an ensemble of
y共t兲 is generated which is assumed to represent the data obtained
from on-line monitoring at certain sampling rate and stochasticity
in time of occurrence of change point event is taken into consid-
eration. The entire problem has been formulated within the frame-
work of Monte Carlo simulation. The performance of the
algorithm with respect to changes in: 共1兲 shift amplitude; 共2兲 in-
tensity of the signal; and 共3兲 rate of sampling are also studied in
the first example, and a practical application of identification of
time of corrosion initiation in a reinforced concrete bridge girder
is considered in Example 2.
Example 1
A structural component which may be subjected to an abnormal
loading 共due to the occurrence of natural hazards or other abnor-
mal events兲 during its service is considered. The problem consid-
ered is depicted schematically in Fig. 2. It is assumed that on-line
monitoring data of the structural component 共observed process兲
can be modeled as a Gaussian white noise process and the time of
occurrence of abnormal loading, which results in a step shift in
the mean level of the observed process, follows an exponential
distribution 关i.e., F⌳共␭兲 in Eqs. 共5兲 and 共6兲 is exponential兴. To
study the performance of the algorithm presented in this paper, it
is assumed that values of time of shift are not known. And hence,
the aim is to determine the time of occurrence of the step shift, ␭,
due to the occurrence of the event, which will be useful for re-
maining life assessment when the structural component is under
continuous monitoring. The mean recurrence rate 共␯兲 of the event
is taken as 0.02/year.
One thousand realizations of GWN process are generated rep-
resenting the possible realizations of the observed process of the
structural component for a period of 100 years, at an interval of
0.02 years 共sampling rate= 50/ year兲 for each realization. The
variance of the Gaussian distribution 关representing the intensity of
the signal 共Priestley 1981兲兴 used in the simulation is taken as 1.0.
The power spectral densities 共PSD兲 of the one thousand realiza-
tions of GWN processes generated are computed 共Press et al.
1992兲, and the mean PSD is given in Fig. 3. From Fig. 3, it is
noted that the mean PSD is more or less the same at all the
frequencies, indicating that the process generated is GWN process
共Priestley 1981兲. One thousand exponential random variables,
with parameter ␯, representing the time of first occurrence of

JOURNAL OF INFRASTRUCTURE SYSTEMS © ASCE / MARCH 2008 / 35

Fig. 3. Mean PSD for the one thousand GWN processes generated
共Barlett window with a window parameter of 16 is used兲

event leading to step shift in the mean for each realization of the
observed process, are generated.
In the present study, the amplitude of shift, A, is assumed to be
1.0, and the width of the sliding window is taken to be 10 years
共i.e., N = 500 in this case兲. Fourth-order Runge–Kutta method is
used for solving ordinary differential equations 共5兲 and 共6兲 to
determine ␭ˆ 共t兲 关Eq. 共4兲兴 and the time of shift is determined using Fig. 4. Typical realizations of the observed process without and with
Eq. 共8兲 for each realization of the process. the shift 共time of occurrence of damaging event= 6.04 years兲

Results and Discussion Performance Analysis

A typical realization of observed process 共GWN process兲 without The performance of the algorithm with respect to changes in: 共1兲
and with the shift 共time of shift for this realization is 6.04 years兲 shift amplitude; 共2兲 intensity of the signal; and 共3兲 rate of sam-
are shown in Fig. 4. The variation in ␭ˆ 共t兲 关Eq. 共4兲兴 with time for pling are studied. When the performance with respect to one vari-
able is studied, the values of the other variables are kept constant
this realization is shown in Fig. 5. It is noted from Fig. 5 that ␭ˆ 共t兲
共same as the values considered in the example兲. The measures for
is close to the mean of F⌳共␭兲 共=50 years兲 until there is a shift in
performance are taken as the statistical properties 共namely, mean
the mean of the observed process 共i.e., at 6.04 years for this real- and standard deviation兲 of the error in detection.
ization兲. This is because, ␭ˆ 共t兲 关Eq. 共4兲兴 represents the mean time
at which the disruption/shift is expected, and hence will be equal Performance with respect to Changes in Shift Amplitude
to the mean of the assumed distribution for the time of shift until In order to study the performance of the algorithm with respect to
there is an actual shift in the mean of the observed process. After changes in shift amplitude, five values of shift amplitude are con-
the shift has occurred, the value of ␭ˆ 共t兲 reduces with time and sidered as A = 0.5, 1.0, 1.5, 2.0, and 2.5. The variation in mean
stabilizes to another value. Thus, the trend shown by variation in
␭ˆ 共t兲 can be used for estimating the time of shift. The comparison
between the actual times of shift and the predicted times of shift
关obtained using Eq. 共8兲兴 for the one thousand realizations consid-
ered are shown in Fig. 6, and Fig. 7 shows the frequency distri-
butions of actual and predicted times of shift. From Figs. 6 and 7,
it is noted that the predicted times of shift are in good agreement
with the actual times of shift. Fig. 8 shows the frequency distri-
bution of error in detection 共defined as the absolute difference
between actual and predicted times of shift兲. The mean and stan-
dard deviation of error in detection are obtained as 2.013 and
0.442 years, respectively. The smaller values of mean and stan-
dard deviation of error in detection indicate the usefulness of the
proposed algorithm for change point detection. Also, as the pro-
posed method can progressively include and analyze the data
points in the time series, it is suitable for on-line detection of Fig. 5. Optimal 共Bayesian兲 least square estimate of the shift time for
change point. a typical realization shown in Fig. 4

36 / JOURNAL OF INFRASTRUCTURE SYSTEMS © ASCE / MARCH 2008


Fig. 6. Comparison of actual and predicted times of shift for
Example 1
and standard deviation of error in detection for these values of
shift amplitude are shown in Fig. 9. It is noted that as the value of
the shift amplitude increases, mean and standard deviation of
error in detection decreases. Thus, the predictions are improving
with increase in shift amplitude, which is expected as for higher
shift amplitudes, the probability content of y共t兲, at any given time,
contributing toward the hypothesis H1 is higher in the event of a
shift.
Performance with respect to Changes in Intensity of the Sig-
nal
As the observed process is modeled as a GWN process, the in-
tensity of signal can be varied by changing the variance of Gauss-
ian distribution 共Priestley 1981兲. In this study, values of variance
of Gaussian distribution considered are 1.0, 2.0, and 3.0. The
computed values of mean and standard deviation of error in de-
tection are shown in Fig. 10. From Fig. 10, it is noted that both
mean and standard deviation of error in detection increase with
increase in variance of the process. This is expected, since with
Fig. 7. Frequency distributions of actual and predicted times of shift
for the problem considered in Example 1
JOURNAL OF INFRASTRUCTURE SYSTEMS © ASCE / MARCH 2008 / 37
Fig. 8. Frequency distribution of error in detection for problem
considered in Example 1
increase in variance 共representing the intensity兲, probability con-
tent of y共t兲, at any given time, contributing toward hypothesis H1
is lower in the event of a shift.
Performance with respect to Changes in Sampling Rate of
Signal
The sampling rate of the signal is varied as 50, 10, 2, 1, and 0.2
per year. The mean and standard deviation of error in detection
obtained are shown in Fig. 11. It is noted from Fig. 11 that, as
expected, the mean and standard deviation of error in detection
increase with decrease in the sampling rate.
Example 2—Application
Chloride-induced corrosion of reinforcement is a major issue for
infrastructural systems located in coastal environments, and iden-
tification of time to corrosion initiation will be useful for making
decisions regarding inspection and maintenance scheduling. The
process of corrosion of steel in concrete is electrochemical in
nature, and different electrochemical techniques are developed for
corrosion assessment of reinforced concrete structures 共Gowers
and Millard 1999兲. One such technique is electrochemical noise
monitoring, which can provide useful information about the cor-
rosion process through measuring the fluctuations of current and
potential generated during the corrosion process. One of the ad-
vantages of this method is that its application does not involve
artificial disturbance of the structural system during measurement
共Legat et al. 2004兲. From laboratory experimental investigations,
it has been noted that electrochemical noise can indicate the cur-
rent level of corrosion activity of steel in concrete, especially
transition from passive state to active corrosion.
A reinforced concrete bridge girder, located in a severe envi-
ronment 关as per the definitions of exposure conditions in IS 456-
2000 共BIS 2000兲兴 with cross-sectional details as shown in Fig. 12
is considered. More information regarding the design details of
the girder are given in Anoop et al. 共2003兲. Assuming the ingress
of chlorides into the cover concrete as a diffusion process, the
time-to-corrosion initiation 共ti兲 can be determined from Fick’s
second law of diffusion as
 Fig. 9. Variation of error in detection with change in amplitude of shift 共variance of signal= 1.0兲

ti =
d2
4D
冋 冉 冊册
erf−1
cs − ccr
cs
−2
共10兲
surface chloride content, and critical chloride content are treated
as random variables in this study. The values of mean and stan-
dard deviation of these random variables are given in Table 1. The
where d = clear cover to reinforcement; D = diffusion coefficient mean and standard deviation of time-to-corrosion initiation is de-
for chlorides in concrete; cs = surface chloride content, and ccr
termined using a first order approximation, and it is assumed that
= critical chloride content. To account for variations in workman-
ti follows a lognormal distribution 共Balaji Rao et al. 2004兲. The
ship and exposure conditions, cover depth, diffusion coefficient,

Fig. 10. Variation of error in detection with change in variance of signal 共amplitude of shift= 1.0兲

Fig. 11. Variation of error in detection with change in sampling rate of signal 共amplitude of shift= 1.0兲

38 / JOURNAL OF INFRASTRUCTURE SYSTEMS © ASCE / MARCH 2008

Fig. 12. Cross-sectional details of reinforced concrete bridge girder
considered in Example 2

corrosion currents are monitored by recording the current flow

between two identical, electronically isolated, rebar probes, em-
bedded in concrete and coupled through a zero resistance amme-
ter 共Gowers and Millard 1999兲. The electrochemical noise result
from the corrosion current flowing between the two probes when
one becomes more or less anodic with respect to the other, and
mean value of corrosion current gives an estimate of corrosion Fig. 13. Comparison of actual and predicted times of shift for
activity 共Mendoza 2003兲. Before corrosion initiation, steel is in a Example 2
passive state 共corrosion currents are negligible兲 and hence mean
corrosion current will be zero 共Tullmin et al. 1996兲. At ti 共when
depassivation of steel occurs兲, there is a shift in mean corrosion 0.01 years. One thousand lognormal random variables, represent-
current, indicating initiation of active corrosion. The actual shift ing time-to-corrosion initiation, one for each realization of ob-
in mean value of corrosion current, upon depassivation of steel, served process, are generated. The amplitude of shift in mean
depends on different factors 共viz. humidity content in concrete, corrosion current due to corrosion initiation is taken as 0.15 ␮A,
temperature, etc.兲. Andrade et al. 共Andrade et al. 1990兲 presented which is consistent with the exposure condition for the bridge
typical ranges of values for corrosion current for different expo- girder. The width of sliding window is taken as 5 years 共i.e., N
sure conditions, based on measurements made on laboratory = 500兲. Fourth-order Runge–Kutta method is used for solving or-
specimens as well as on real structures. Using typical trend of dinary differential equations 共5兲 and 共6兲, and the time of shift is
variation of rate of corrosion with a water–cement ratio given by determined using Eq. 共8兲 for each realization of the process.
Baweja et al. 共1999兲, these ranges of values of corrosion current The comparison between the actual and predicted times of
for different exposures were further subdivided on the basis of the shift for the 1,000 realizations considered are shown in Fig. 13,
water–cement ratio 共Anoop et al. 2002兲. Thus, knowing the expo- and the frequency distributions of actual and predicted times of
sure condition and the water–cement ratio used in construction, shift are shown in Fig. 14. From Figs. 13 and 14, it is noted that
the range of values of corrosion current, upon depassivation, that the predicted times of shift are in good agreement with the actual
can be expected in the bridge girder can be identified, which will times of shift. Fig. 15 shows the frequency distribution of error in
give an idea about not only amplitude of shift in mean corrosion detection. The mean and standard deviation of error in detection
current due to corrosion initiation but also the variance of the are obtained as 0.48 and 0.52 years, respectively. It is also noted
process. from Fig. 15 that smaller values of error in detection are more
In the present study, simulated electrochemical noise data, rep- pronounced, indicating the usefulness of the proposed algorithm.
resenting monitored corrosion currents, is used. Cottis et al.
共2001兲 used a shot noise model to simulate electrochemical noise
data. In this study, it is assumed that monitored electrochemical
noise data can be represented by a GWN process. One thousand
realizations of GWN process 共with a standard deviation of
0.05 ␮A consistent with the exposure condition considered兲 are
generated representing the possible realizations of monitored
electrochemical noise for a period of 100 years at an interval of

Table 1. Values of Mean and Standard Deviation for the Random

Variables Considered in Example 2
Variable Mean SD Remarks
d 共mm兲 45 2.25 Assumed cov of 0.05
D 共cm2 / s兲 5 ⫻ 10−8 1 ⫻ 10−8 cov= 0.20a
cs 共% by weight of concrete兲 0.25 0.05 cov= 0.20
ccr 共% by weight of concrete兲 0.125 0.025 Assumed cov of 0.20
Note: SD⫽standard deviation. Fig. 14. Frequencies of actual and predicted times of shift for the
a
Balaji Rao et al. 2004. problem considered in Example 2

JOURNAL OF INFRASTRUCTURE SYSTEMS © ASCE / MARCH 2008 / 39


Fig. 15. Frequencies of error in detection for problem considered in
Example 2
Conclusions
An algorithm for detecting the change point in on-line monitored
data is presented. The usefulness of the algorithm is studied with
the help of two examples, and the performance of the algorithm
with respect to changes in: 共1兲 shift amplitude,;共2兲 intensity of
signal; and 共3兲 rate of sampling are studied. Observed trends in-
dicate that the algorithm possesses desirable properties of change
detection algorithms. The algorithm has the limitation that it can
only be used for change point detection when the observed pro-
cess is a realization of a GWN process. Also, there is a need to
validate the performance of the algorithm using experimental
data. Further studies are being carried out to improve the perfor-
mance of the algorithm, and to develop similar algorithms for
detection of change-points in non-Gaussian processes.
Acknowledgments
This paper is being published with the kind permission of the
Director, SERC, Chennai. The authors are thankful to the review-
ers for their helpful comments and suggestions.
Appendix
The maximum likelihood estimator 共MLE兲, ␭ˆ ML共t兲, can be ob-
tained from the observations y t0 from the relations given below
共Fishman 1986兲
max z共t兩x兲 = z共t兩␭ˆ ML共t兲兲
x苸关0,t兴
where
冕
t
A A2
z共t兩x兲 = y共u兲du − 共t − x兲 for all t 艌 x
I 2I
x Fishman, M. 共1986兲. “Bayesian mean square estimation of the instant of
␭ˆ ML共t兲 does not, in general, have the property given by Eq. 共7兲.
In the asymptotic case, that is, when A2T / I → ⬁ the conditional
mean square error for the Bayesian ␭ˆ 共T兲 and ␭ˆ ML共T兲 of the esti-
mates have the form
40 / JOURNAL OF INFRASTRUCTURE SYSTEMS © ASCE / MARCH 2008
具共␭ˆ 共T兲 − ␭兲2兩␭ = x典 = C 冋册
I
A2
2
共1 + o共1兲兲
冋册
具共␭ˆ ML共T兲 − ␭兲2兩␭ = x典 = 26 2
A
I 2
共1 + o共1兲兲 共12兲
uniformly in x 苸 关␥1T , ␥2T兴, where C = 19.276± 0.06, is a con-
stant, found through numerical integration, and ␥1 and ␥2 are
arbitrary numbers, 0 ⬍ ␥1 ⬍ ␥2 ⬍ 1. If A2T / I → ⬁ is large, and ␥1
and ␥2 are such that F␭共␥2T兲 − F␭共␥1T兲 ⬇ 1, then using Eq. 共12兲,
具共␭ˆ ML共T兲 − ␭兲2典 ⬵ 1.35关具共␭ˆ 共T兲 − ␭兲2典兴 ⬇ 26 2
A
I
冋册 2
共13兲
The previous expression suggests that the Bayesian estimate ob-
tained using Eqs. 共4兲–共6兲 ensures the 1.35 fold reduction in mean
square error compared to MLE.
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