How to use Wald Sequence detection method to test the filtering residual?

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dab483 2014-2-17

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关闭： dab483 2014-2-17

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Hi,

I have this EKF Equation.

        PMinus(:,:,i) = A(:,:,i)*P(:,:,i)*A(:,:,i)'+ Q(:,:,i);
        xhat(:,:,i+1) = Fs(xhat(:,:,i),u(:,:,i),wp(:,:,i),dt);
        K(:,:,i) = PMinus(:,:,i)*H'*(H*PMinus(:,:,i)*H'+R)^-1;
        xhat(:,:,i+1) = xhat(:,:,i+1)+K(:,:,i)*(y(:,:,i+1)-H*xhat(:,:,i+1));
        P(:,:,i+1) = (eye(4)-K(:,:,i)*H)*P(:,:,i);

Now I need to use Wald Sequence detection method to test the filtering residual, r=y-H*xhat. to observe if the residual contain any fault information where its distribution N(m,sg^2) The general simplified decision law of wald sequence is:

Ly(n-1)=Ly(n) + m/sg^2*[r(n)-0.5m]

Any one can help me to code it to use with my above equation? Thanks.