Fault detection in a mixed H2/H∞ setting

In this note, we study the problem of fault detection in linear time-invariant (LTI) systems which are simultaneously effected by two classes of unknown inputs: Noises having fixed spectral densities and unknown finite energy disturbances. This problem is formulated as a mixed H₂/H_∞ filtering problem. Necessary and sufficient conditions for local optimality are presented. Moreover, it is shown that suboptimal solutions can be computed by solving a convex minimization problem with a set of linear matrix inequality (LMI) constrains. A numerical example is given to illustrate the advantage of the mixed H₂/H_∞ approach as compared to existing techniques which are based on optimization of H₂ and H_∞ criteria.