An algorithm for real-time failure detection in Kalman filters

A new algorithm is presented for solving the problem of realtime 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.