Transactions of the Institute of Systems, Control and Information Engineers
Online ISSN : 2185-811X
Print ISSN : 1342-5668
Change Detection Algorithm based on Recursive Subspace Identification
Hiroshi OKU
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2004 Volume 17 Issue 11 Pages 506-513

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Abstract

This paper presents a new change detection method with the aid of subspace identification. The proposed method is based on monitoring a change in variance of a statistic generated by a recursive subspace identification algorithm. An asymptotic property of the statistic is presented. Without changes during sampling, it is shown that, under relevant assumptions, the statistic converges in probability to a stack of noise vectors multiplied from the left side by a Toeplitz matrix. A numerical example illustrates that the proposed method can detect changes in the dynamics of a system, without being disturbed by changes in the spectral density function of an input signal which is not our concern.

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