This paper addresses a comparative analysis of the existing schemes for fault detection in continuous-time stochastic dynamical systems. Such schemes prove to be efficient when dealing with specific types of fault functions; on the other hand, they show very different performance sensitivity when dealing with new fault profiles and system noise. The study suggests the use of a combined scheme, supervised by a high level decision rule set

Zufiria Zatarain, Pedro Jose

English

Zufiria Zatarain, Pedro José

Archivo Digital UPM

Detection of Abrupt Changes. Theory and application,

Deterministic nonlinear observer-based approaches to fault diagnosis: a survey,

Fault detection and isolation scheme in continuous time nonlinear stochastic systems.,

A comparative analysis of fault detection schemes for stochastic continuous-time dynamical systems

Servicio de Coordinación de Bibliotecas de la Universidad Politécnica de Madrid

Proceedings of the International Conference 
on Computational and Mathematical Methods 
in Science and Engineering, CMMSE 2008 
13-17 June 2008. 
A comparative analysis of fault detection schemes for 
stochastic continuous-time dynamical systems 
Pedro J. Zufiria1 
1
 Departmento de Matemdtica Aplicada a las Tecnologias de la Information, ETSI 
Telecomunicacion, Universidad Politecnica de Madrid 
emails: pzz@mat.upm.es 
Abstract 
This paper addresses a comparative analysis of the existing schemes for fault 
detection in continuous-time stochastic dynamical systems. Such schemes prove 
to be efficient when dealing with specific types of fault functions; on the other 
hand, they show very different performance sensitivity when dealing with new 
fault profiles and system noise. The study suggests the use of a combined scheme, 
supervised by a high level decision rule set. 
Key words: fault diagnosis, continuous-time stochastic dynamics, moving angle, 
mean estimator 
1 Introduction 
Fault detection schemes have deserved much attention in the last two decades [2, 7, 8, 
11]. Among them, some model-based schemes make use of explicit analytical models for 
redundancy checking in two directions. On one hand, stochastic discrete-time models 
combine statistical schemes with geometrical tools in the design and characterization 
of detection algorithms for linear systems [2, 7, 8]. On the other hand, deterministic 
continuous-time models have shown to be suitable for nonlinear system modelling [1, 
5, 6, 12, 14]. 
Continuous-time stochastic models in system fault diagnosis have recently been em-
ployed for considering system and sensor noises and disturbances, in order to construct 
new detection and isolation algorithms [3, 4, 9, 10]. 
In this work a comparative analysis of these existing schemes for fault detection in 
continuous-time stochastic dynamical systems is presented. 
©CMMSE Volume II Page 709 of 720 ISBN: 978-84-612-1982-7 
COMPARATIVE ANALYSIS OF SCHEMES 
2 Systems formulations and parity checking 
The existing schemes for the fault detection problem in nonlinear time-variant dynam-
ical systems, consider different forms of the following model: 
x(t) = f(x(t)Mt),6o,t)+v(t) + B(t-T0)<i>(t), 
x(0) = x0 
(1) 
where x(t) G W1 is the system state, u(t) G E m is the control input, and the Gaussian 
white noise random vector 77 : E + —> E n represents external disturbances and modelling 
errors. 
The function / e C1^71 xR f f l x E+ ,Mn), which represents the dynamics of the 
nominal model is assumed to have general form in [3, 4]. On the other hand, [9] only 
considers scalar systems, whereas [10] allows it only to have the form 
0 1 
0 0 
/(x,u,0o,£) = Enx(t) + eng(x,U,$Q,t), En = 
0 
0 
0 " 
0 
1 
0 _ 
5 en — 
" 0 ' 
0 
0 
.
l
 \ 
being g(x)ui9o)t) a scalar function. 
Concerning the types of faults gathered by the model, in [3, 4] any additive faults 
are considered due to some fault stochastic process <\> : M+ —• Rn which represents the 
changes in the system dynamics. B(t ~TQ) is a diagonal matrix representing the time 
profile of the fault (see [4] for details). 
Alternatively, in [9, 10] the failure function is only allowed to be scalar so that 
B(t - TQ)(jy{t) = ens(t - T0)^(x, w, $ue0i t) 
so that ip(x, it, 91, <9o, t) is a scalar fault function. In this context, parametric faults (due 
to a change in the parameter vector from #o to 0\ at the unknown instant To) are only 
addressed. Such changes are modelled in additive form with B(t — To)<£(£) = s(t - To), 
step function, and 
4>(t) = #a;(i),u(t),0i,0o,<) = f{x(t)Mt)^ut) - f{x(t),u{t),6Q,t). 
2.1 Parity checking residual 
(2) 
All approaches assume state availability, so that parity-checking is carried out via the 
Luenberger observer type structure ([3, 10, 13]): 
x(t) = -A(x(t) - x(t)) + /(x(t),u(t),t) , x{0) = zo, (3) 
where x(t) € Mn is the state estimation and the matrix A = diag(Ai,... , An), with 
Xt > 0, i = 1, . . . ,n. 
©CMMSE Volume II Page 710 of 720 ISBN: 978-84-612-1982-7 
PEDRO J. ZUFIRIA 
Due to state availability, function /(x(-), •, •) is used instead of /(£(•),-,-) as it 
would correspond to a proper Luenberger observer. 
Subtracting observer (3) from system (1), and since the MS derivative is a linear 
operator, we can obtain the differential equations system which explains the evolution 
of the residual, e(t) = x(t) - x(t): 
e(t) = -Ae(t) +
 V(t) + B(t - r0)<fti), 6(0) = 0. (4) 
The solution of such differential equations system (4) is 
e(t) = / e-A*£-r>77(T) dr+ l e ^ ^ B ^ - T0)4>(r) dr, 
Jo Jo 
and the analysis of e(t) under different hypotheses forms the basis of the detection 
schemes. 
3 Scheme proposed in [3] 
The FD scheme proposed in [3] is oriented to detect changes in the residual mean. The 
following hypotheses test is proposed: 
Ho : E[e(t)] = feA^-^E[r)(r)}dr (5) 
Jo 
Hx : E[e(t)]* f e^^E^dr. 
Jo 
In order to apply such test, a mean estimator, fj,(t) : R+ —• En must be chosen 
first, and the following continuous time estimators of the mean are proposed in [3]: 
• fia(t) =e(t). 
• ^b{t) = \!le{r)dr, t > 0. 
• McW = T//_Te(T)dr> t>T-
• / i d W = / o ^ * - T ^ ( r ) d T , p<0. 
Here we will not consider /Xd(i), since it is a biased estimator. 
Once their probability distribution is determined, the acceptance region of the test, 
£(£), is derived defining a ball B(t), centered in the mean of the estimator under the 
hypothesis of no fault E[n(t)/Ho] and fulfilling 
P(ti(t) e B(t)/H0) = 1 - 7 , 
where 7 is a small value previously chosen that constitutes the test size, and it is 
consequently the false alarm rate at each instant t. 
As a consequence, the following test decision is derived: If fx{t) £ B(t) then it is 
likely a FAULT has occurred in the plant. 
©CMMSE Volume II Page 711 of 720 ISBN: 978-84-612-1982-7 
COMPARATIVE ANALYSIS OF SCHEMES 
Finally, the instant of time when the fault is detected is defined as the random 
variable 
Ti = M{t>T0/»(t)$B(t)}. (6) 
A complete analysis of the detectability properties of the scheme is also provided in [3]. 
Some of the claimed properties will be analyzed here from a comparative point of view. 
4 Scheme proposed in [10] 
The scheme proposed in [9, 10] is aimed to detect small changes in the system param-
eters. For doing so, it employs the so called moving angle between the residual process 
and a reference signal, based on the moving inner product between two scalar processes 
a(t) and /3(i), which is defined as 
< ^ > T ( « ) 4 f E[a(r)0(r)] dr. 
Considering small variations on 0, the fault process </>(t) is linearly approximated 
0Or(i),u(t),0i,0o,t) « K-<p(x{t)M*)>0o,t) 
so that if the direction of the parameter change 0\ - OQ is known, the profile can be 
determined, except for a proportionality constant. 
Considering state space availability, ip(t) is computed and 
<PLp(t)= / 'e-A<*-TV(r) dr. 
Jo '0
serves as a reference signal to compute the cosine 
<e><PLP>r(t) K 
cos(e, <pLP)T{t) = HIrM • W^Lphit) 
V + IIVLPII^) 
which can be large enough provided the system noise variance is small. 
In [10], an estimator is proposed for this cosine-based scheme and its mean and 
variance are computed in order to define the corresponding regions of the test for both 
detection and isolation of faults. 
5 Comparative simulations 
5.1 Sys tem definition 
In this section we comparatively illustrate the application of the detection approaches 
to a bidimensional system, the so called van der Pol oscillator system. Let us consider 
the system 
xi(t) = x2(t)+r)i(t)+0{t-To)<l>i{t) M 
x2(t) = 2^{l-lix\{t))x2{t)-uj2xl(t)^m{t) + (3{t'TQ)^{t), 
©CMMSE Volume II Page 712 of 720 ISBN: 978-84-612-1982-7 
PEDRO J. ZUFIRIA 
with initial condition x(0) = (1,0)'. It describes the dynamics of the van der Pol 
oscillator, taking into account external disturbances via the vector random process 
r)(t) = (Vi{t))V2(t))'- Such processes are assumed to be mutually independent, and dis-
tributed as white Gaussian noise (WGN), with zero mean and autocorrelation function 
where a^ = tf2 = 0-1. 
We take to = 1, ( — 1, and \i — 1, so that the trajectories of the system in 
normal operation tend to a limit cycle (corresponding to the periodic solution of the 
deterministic van der Pol oscillator). 
Both additive faults and parameter changes in a;,£ and \i will considered. First, 
we are going to define the setting of the employed detection schemes. 
5.2 Detection schemes tuning parameters 
We will consider that both schemes can measure the system state space variables, 
although Scheme 1 will only employ the second component X2(t) as seen below. The 
parity-checker is selected with Ai = A2 = —5 and initial condition x(0) = (1,0)', 
5.2.1 Detection Scheme 1 
Concerning the detection scheme proposed in [3], we will apply the mean estimators 
1 [l 1 /"* 
Mi CO = £2CO, M2(0 = 7 / e2{r)dr, fi3(t) = - / e2{r)dr, 
t
 Jo 1 Jt-T 
(8) 
with T = 10 for the third estimator. 
The selected test sizes have been 71 = 72 = 0.001 (this value is only critical for 
Hi (t) as commented later) providing the tests acceptance regions 
- 3 . 2 9 ^ ^ / ^ ( 0 , 3 . 2 9 y / V a r t H / H o ( t ) i = 1,2. 
When any of the mean estimators crosses the frontier of its corresponding accep-
tance region an alarm is shot, indicating that it is likely a fault has occurred in the 
system. 
5.2.2 Detection Scheme 2 
Concerning the detection scheme proposed in [10] > we have considered the moving angles 
(with window size T = 10) corresponding to the three parameters with parameter values 
K^ — K^^K^ — 0.2, and 71 = 72 = 0.05. One has to say that this parameter tuning 
has been critical to avoid false alarms whereas keeping sensitivity to the faults. 
Again, when any of the angle estimators crosses the frontier of its corresponding 
acceptance region an alarm is shot, indicating that it is likely a fault has occurred in 
the system. 
©CMMSE Volume II Page 713 of 720 ISBN: 978-84-612-1982-7 
COMPARATIVE ANALYSIS OF SCHEMES 
5.3 Additive faults 
We have considered that an abrupt fault occurs in the system at time To = 45, whose 
consequences in the oscillator evolution are modelled by cj>{t). In this case we have 
taken the fault process 
The random processes v\(t) and ^(t) are mutually independent with system noise 
processes, and also they are similarly distributed as white Gaussian noise (WGN), with 
zero mean and o\x — &l2 — 0.1 . 
The mean of the residual before the fault occurs is the null vector; once the fault 
occurs this mean becomes 
<Kt) = 
Em/Hr] = 0 M/0VJ('-T>dr J (9) 
Since the first residual component has zero mean before and after the fault, only 
the second component will be estimated: we can successfully apply the mean estimators 
in (8) which follow Gaussian distributions, since they are linear transformation of e(t). 
Figure 1 shows the behavior of mean estimators /-ti(t), fj>2(t) and nz(t) (as well as 
their corresponding bounds) for a sample realization with M = 0.5. Note that the 
computations for /j,^(t) have only meaning after t = T — 10 (selected window size). 
The fault is detected at instant time T^ ~ 55, that is when the / ^M realization 
systematically crosses the bound defined by the associated acceptance region. 
Note that since n\(t) does not go through a low pass filtering, it oscillates much 
more and its level crossing must be evaluated in a long run. In this case, it is clear that 
such estimator also tends to cross the level after T</ = 55. Concerning /^(i), although 
it is slower that ^{t) it also presents a very robust behavior, shooting systematically 
the alarm after 7^ ^ 60. 
Figure 2 shows the behavior of cosines for a;, £ and \x. Note again that the compu-
tations have only meaning after t = T = 10 (selected window size for inner product). 
Although none of the cosines has shot the alarm, the cosines corresponding to ( and 
(i have been close to alarm activation. In fact, for M = 1 both cosines do cross the 
boundary. In general, this cosine-based scheme is also quite sensitive to additive faults 
which may not come from parametric changes; on the other hand, they may generate 
frequent false alarms when system noise increases. 
5.4 Parameter changes 
Changes in the values of u, C and y. have been considered separately (all changes are 
applied at To = 45): 
1. Variation so that LJ = 2 (i.e., 6u = 1). The cosine corresponding to v^ crosses 
the boundary at detection time Td ~ 52. No other cosine alarm is shot until t 
approaching 70 (cosine of <pw) but it does so in a very small slot of time. 
©CMMSE Volume II Page 714 of 720 ISBN: 978-84-612-1982-7 
es are 
PEDRO J. ZUFIRIA 
C 8 h 
0 . 6 h 
0.4- h 
- 0 . 2 h 
- 0 . 4 
O.I 5 
O.I \-
0 . 0 5 h 
- O . I 
7 0 
3 0 -40 
T i m e 
5 0 7 0 
rosses 
mtil t Figure 1: Mean estimators for parameter variation Su = 1. 
•1982-7 ©CMMSE Volume II Page 715 of 720 ISBN: 978-84-612-1982-7 
COMPARATIVE ANALYSIS OF SCHEMES 
Figure 2: Cosines for parameter variation 8u = 1. 
© CMMSE Volume II Page 716 Of 720 ISBN: 978-84-612-1982-7 
PEDRO J. ZUFIRIA 
2. Variation with S( = 1. The cosine corresponding to (p^ crosses the boundary at 
detection time T& « 52. No other cosine alarm is shot until t approaching 60 
(cosine of p^) but it does so in a very small slot of time. 
3. Variation with 5/j, = 1. No alarm is shot. When 8(j, approaches 1.5 two alarms 
are activated: cosine corresponding to <p^ and cosine corresponding to (pc.. 
Figure 3 shows the results for the evolution of the three cosines when Su) = 1. 
Concerning m detectors, in all the cases only p,\ crosses the boundary near to £ = 70 
in a very small slot of time. This corresponds with the behavior of such estimator 
mentioned above. In general, these estimators are not very sensitive to parameter 
variations. Figure 4 shows the behavior for these mean estimators. 
6 Concluding remarks 
The analyzed existing fault detection schemes have presented very different properties 
concerning their sensitivity. On one hand, mean-estimation based detectors show a 
very robust behavior having few false alarms. Nevertheless they do not easily detect 
other types of failures which do not affect the mean. On the other hand, cosine-based 
estimators can detect different types of faults, but they are very sensitive to parameter 
tuning and system noise, presenting frequent false alarms. The analysis suggests the 
use of a combined scheme, which could be supervised by a high level decision rule set. 
Acknowledgements 
This work has been partially supported by project MTM2007-62064 of the Plan Na-
tional de I+D+i, MEyC, Spain, and by project CCG07-UPM/000-3278 of the Univer-
sidad Politecnica de Madrid (UPM) and CAM, Spain. 
References 
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[2] M. BASSEVILLE AND I. V. NIKIFOROV, Detection of Abrupt Changes. Theory and 
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©CMMSE Volume II Page 717 of 720 ISBN: 978-84-612-1982-7 
COMPARATIVE ANALYSIS OF SCHEMES 
TO 2 0 3 0 4 0 5 0 SO 
T i m e 
3 
rl 
1 0 2 0 3 0 4 0 SO 6O 
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©CMMSE Volume II Page 718 of 720 ISBN: 978-84-612-1982-7 
PEDRO J. ZUFIRIA 
r o 
3 0 4 0 
T im© 
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o.oa 
0 . 0 2 
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©CMMSE Volume II Page 719 of 720 ISBN: 978-84-612-1982-7 
COMPARATIVE ANALYSIS OF SCHEMES 
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A comparative analysis of fault detection schemes for stochastic continuous-time dynamical systems

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