An algorithm for real-time failure detection in Kalman filters

An algorithm is presented for solving the problem of real-time failure detection in dynamic systems using Kalman filters. We give a geometric solution to derive a test decision based on the overlap between the confidence regions associated with two estimates: one obtained using on-line measurements and the other based on a priori information. The implementation of a necessary and sufficient condition is shown to result in a scalar test. The advantage compared to standard techniques is a significantly lower computational burden.