Fault isolation filter design for linear stochastic systems (Q1805985)

The author considers the discrete-time stochastic system \[ x_{k+1}=Ax_{k}+Bu_{k}+Fn_{k}+w_{k}, \quad y_{k}=Cx_{k}+v_{k}, \] where \(x_{k}\in \mathbb {R}^{n}\), \(y_{k}\in \mathbb {R}^{m}\), \(u_{k}\in \mathbb {R }^{p}\) are the state, observation, and input vectors, \(n_{k}\in \mathbb {R} ^{q},\) is the vector of fault magnitudes, \(w_{k}\) and \(v_{k}\) are random sequences. In the paper, the fault detection filter is derived and its stability and convergence analysis is given.