An extension to the Kalman filter for an improved detection of unknown behavior

The use of Kalman filter (KF) interferes with fault detection algorithms based on the residual between estimated and measured variables, since the measured values are used to update the estimates. This feedback results in the estimates being pulled closer to the measured values, influencing the residuals in the process. Here we present a fault detection scheme for systems that are being tracked by a KF. Our approach combines an open-loop prediction over an adaptive window and an information-based measure of the deviation of the Kalman estimate from the prediction to improve fault detection.