Department of Electrical and Computer Engineering, Louisiana State University, Baton Roug, LA 70803, USA
This paper considers robust fault-detection problems for linear discrete time systems. It is shown that the optimal robust detection filters for several well-recognized robust fault-detection problems, such as /, /, and / problems, are the same and can be obtained by solving a standard algebraic Riccati equatio
n. Optimal filters are also derived for many other optimization criteria and it is shown that some well-studied and seeming-sensible optimization criteria for fault-detection filter design could lead to (optimal) but useless fault-detection filters.
1. Introduction
It is well recognized that many practical dynamical
systems are subject to various environmental changes,
unknown disturbances, and
changing operating conditions, thus sensors/actuators/components failure and
faults in those systems are inevitable.
Since any faults/failures in a
dynamical system may lead to significant performance
degradation, serious
system damages, and even loss of human life,
it is essential to be able to
detect and identify faults and failures in a timely
manner so that necessary
protective measures can be taken in advance.
To that end, fault diagnosis of
dynamic systems has received much attention
and significant progress has been
made in recent years in searching for both
data-driven and model-based
diagnosis techniques: see [1–5] and the references therein.
Much attention has been devoted to the development of
robust fault-detection methods under external
disturbances for continuous time
systems. Since most (continuous) dynamical
systems are nowadays controlled
using digital devices, it is also important
to understand those theoretical
development in the digital (sampled-data) setting.
Furthermore, it has been
shown in [6] that
sample-data fault-detection problem
can be converted to equivalent
discrete time-detection problem using
certain discretization method and thus
discrete time fault-detection is of
great importance and most nature for modern
digital implementation.
One of the particular interesting techniques among all
the model-based techniques is observer-based
fault-detection filter design [1].
It has been shown in many theoretical studies and
applications that suitably
designed observer-based fault-detection
filters are easy to implement in
discrete systems and can be very effective
in detecting sensors, actuators, and
system components faults. There are significant
amount of works addressing this
problem using Kalman filter related techniques [7–9]. Nevertheless, finding systemic design methods for
systems subject to unknown disturbances and model
uncertainties have been
proven to be difficult. Since known/unknown disturbances,
noise, and model
uncertainties are unavoidable for any practical systems, it is essential in the
design of any fault-detection filter to take these
effects into consideration
so that fault detection can be done reliably and
robustly. To that effect, many
robust filter design techniques, such as
optimization,
LMI, parity space, and eigen-structure assignment
techniques, have been applied
to fault detection filter design with
limited success [10–15]. The reason is
that a fault detection filter design
is really a multiple objective design task.
It needs not only rejecting
disturbance, noise and being insensitive to model
uncertainties, it also needs
to be as sensitive as possible to possible faults
so that early detection of
faults is possible. Unfortunately, these two design
objectives are almost
always conflicting with each other. Hence a
design tradeoff between these two
objectives is unavoidable and needs to be
addressed explicitly in the design
process. To do that, some suitable
design criteria for both objectives have to
be defined. It has been widely accepted in
the field that norm and of the transfer
matrix from disturbances to fault detection
residuals are good candidates for
measuring up the disturbance rejection
capability of a fault detection system.
In some cases, norm of the
transfer function matrix from faults to
fault detection residual signals is
also suitable for evaluating the fault detection system's sensitivity to
faults. It has also been recognized that the
index, first
introduced by Hou and Patton
[16] and further
extended by Liu et al. [17],
seems to be a very appropriate measure
of the fault-detection sensitivity [1–3]. Although this
concept was originally proposed for
continuous time system, it is quite straightforward
to extend this concept to
discrete time systems. With such defined performance
objectives, several
discrete time fault detection design problems
can be formulated as multiple
objective optimization problems by minimizing
the effects of disturbances and
maximizing the fault sensitivity, for example, problem, problem, problem, problem, and problem. These
problems have attracted a great deal of attention recently, [6, 18–25]. However,
most of the results obtained in the
existing literature are either conservative or
complicate to apply.
Furthermore, they are usually not guaranteed to
be optimal. A notable exception
is the work by Ding et al. in [26],
where optimal solutions to some formulations of
continuous and problems are given.
Zhang et al. in [27] also give an optimal solution to problem for
linear discrete time periodic systems.
We have developed a new technique to solve the above
problems for continuous time systems in
[28]. In this paper,
we will carry out
the parallel development for discrete
time problems. Although there are
considerable similarities between the
continuous and the discrete time
solutions, there are also significant differences
in some cases where we can
give more explicit solutions in discrete time
cases that cannot be done in
continuous time cases. In addition, explicit
discrete time solutions have their
own merits in applications. It turns out that
our solutions are surprising
simple once the problems are suitably formulated.
The rest of this paper is organized as follows:
Section 2 introduces the notations and summarizes some key facts that will be
used in the later sections. Section 3 gives the mathematical formulations of
various fault-detection problems to be solved in this paper.
The analytic and
optimal solutions for problem and problem are
given in Section 4.
The solution for problem is
given in Section 5.
The solutions for various problems are
discussed in Sections 6–8.
Some numerical examples of our fault detection
designs are shown in Section 9. Some conclusions are
given in Section 10.
2. Notations and Preliminary Results
The notations
used in this paper are quite standard. The set of by real (complex)
matrices is denoted as (). For a matrix we use to denote its
transpose and for its
complex conjugate transpose. For a Hermitian matrix , represents the
largest eigenvalue of and represents the
smallest eigenvalue value of . For , denotes the
largest singular value of and () denotes the smallest singular value of if (). The identity matrix
is denoted as and the zero matrix is
denoted as , with the subscripts dropped if they can be inferred
from context.
Discrete transfer matrices and -transforms of
signals are represented using bold characters and sometimes in dependence of
the variable . A state-space realization of a transfer matrix is denoted as
such that We define and denote as the inverse
of if is square and
invertible. Now suppose
is square and
is nonsingular,
then we
have from [29]
We use to denote the set of real rational
transfer matrices with no poles on the unit circle.
The superscripts for
dimensions will usually be dropped when
they are either not important or clear
from context. () is the set of all stable proper transfer matrices.
For we define the norm of as
For we define the norm of as
Similar to the definitions of
continuous system in [16, 17], we define the index of a
discrete transfer matrix on the whole
unit circle as
The index of over a finite
frequency range is defined as
In particular the index defined
at is
If no superscript is added to the symbol, such as , then it represents all possible definitions. In
many literatures index is also
called norm, although
it is actually not a norm.
It is easy to show from the definition of singular
value of a matrix that we have the following result [30].
Lemma 1. Let and be two matrices
with appropriate dimensions, then
The following transfer matrix factorizations will be
frequently used in this paper and can be found from [29].
Lemma 2 (Left Coprime Factorization). Let be a proper
real rational transfer matrix. A left coprime
factorization (LCF) of is a
factorization
where and are
left-coprime over . Let
be a detectable state-space realization of and let be a matrix
with appropriate dimensions such that is stable, then
a left coprime factorization of is given by
Lemma 3 (Spectral Factorization). Let be a proper
real rational transfer matrix and let
be a detectable realization of . Suppose D has full row rank and has full row
rank for all Let be the
stabilizing solution to the following algebraic Riccati equation:
such that is stable and
let . Then the following spectral factorization holds
where and
3. Problem Formulation
Consider a discrete time invariant system with
disturbance and possible faults as:
where is the state
vector, is the output
measurement, represents the
unknown/uncertain disturbance and measurement noise, and denotes the process,
sensor or actuator fault vector. and can be modeled
as different types of signals, depending on specific situations under
consideration. See Chapters 4 and 8 of [29] and
[1] for some detailed discussions. Two frequently used
assumptions on and are:
(i)unknown signal
with bounded energy or bounded power;(ii)white noise.
Different assumptions on and will lead to
different fault detection problem formulations and the solutions for all these
problems will be discussed in this paper.
All coefficient matrices in (16)
are assumed to be known constant matrices.
Furthermore, the following assumptions are made.
Assumption 1. is detectable.
This is a standard assumption for all fault-detection
problems.
Assumption 2. has full row
rank.
This means that and every
measurement of the output signals is either affected by some disturbance or
corrupted with some measurement noise. We argue that this assumption can be
made without loss of any generality since it is impossible to take perfect
measurement in any practical system and furthermore it is reasonable to assume
that the measurement noise is independent of each other. So it is reasonable to
assume that has full row
rank. In the case of some simplified model where does not have
full row rank, we can simply add some columns to make it full row rank. For
example, suppose that does not have
full row rank, then let
for a small . Then has full row
rank.
Assumption 3. has full row
rank for all or, equivalently, the transfer function matrix
has no transmission zero on the unit circle.
This assumption can be relaxed in the same way as in
the continuous time case [28].
Remark 1. We want to point out that in several recent work
on continuous time fault detection problems [17, 19, 21, 22], it is assumed that has full column
rank. We believe that this assumption is extremely restrictive. The assumption implies that measurement contains
directly the independent information on every faulty component of . In particular, this implies that cannot be zero
which is usually not the case when there is only actuator/system component
fault and no sensor fault. Furthermore, we believe that the fault detection for
sensor fault is relatively easier than that for actuator/system fault.
By taking -transform of
(16) we have the system input/output equation
where , , and are , and transfer
matrices, respectively and their state-space realizations are
Since the state-space realization of , , and share the same and matrices,
applying Lemma 2 we can find an
LCF for the system (20)
where
and is a matrix
such that is stable.
It has been shown in [2] that, without loss of generality, the fault detection
filter can take the following general form:
where is the residual
vector for detection, is a free stable transfer
matrix to be designed. The filter structure is shown in Figure 1. Replacing in (23)
by the right-hand
side of (19) and (21) we have
Denote the transfer matrices from and to by and , respectively, then
In general a good fault-detection filter must make a
tradeoff between two conflicting performance objectives: robustness to
disturbance rejection and sensitivity to faults. To achieve good robustness to
disturbance, the influence of disturbance must be minimized at the output of
the residual signals. On the other hand, the residual signal should be as
sensitive as possible to the faults. Therefore, we need to choose certain
performance criteria for measuring these two aspects so that the
fault-detection filter design has satisfactory fault detection sensitivity and guaranteed
disturbance rejection effect.
Since an index is a good
measurement for a transfer function's smallest gain, is a reasonable
performance criterion for measuring fault detection sensitivity if is modeled as
unknown energy or power bounded signals. If is modeled as
unknown energy or power bounded signals, then norm is a
widely accepted worst case measure and is a good
indicator of disturbance rejection performance. On the other hand, if and/or are white
noise, the norms of and/or seem to be more
suitable criteria. See [29] for
more detailed discussions and motivations on
various performance measures.
We will now formulate several fault-detection filter
design problems.
Figure 1: General fault-detection filter structure.
Problem 1 ( Problem). Let an uncertain system be described by
(16)–(20) and let be a given
disturbance rejection level. Find a stable transfer matrix in (23)–(25) such that and is maximized,
that is,
Problem 2 (Problem). Let an uncertain system be described by
(16)–(20) and let be a given
disturbance rejection level. Find a stable transfer matrix in (23)–(25) such that and is maximized,
that is,
Problem 3 ( Problem). Let an uncertain system be described by
(16)–(20) and let be a given
disturbance rejection level. Find a stable transfer matrix in (23)–(25) such that and is maximized, that is,
Remark 2. A more conventional formulation of the above
problems is to optimize the following:
where and can be , , or . The problem that is classical
and optimal solution is available [2]. The case for and has been solved
recently in [26] for continuous-time systems. A discrete solution has
also been obtained recently in [27] for the cases of and .
Before we proceed to the solutions of the above
problems, we will first establish some preliminary results.
Lemma 4. Suppose Assumption 3 is satisfied and let be any left
coprime factorization over . Then has no
transmission zero on the unit circle or, equivalently, for any appropriately
dimensioned matrix ,
has full row rank for all
.
Proof. The result
follows by noting that
and the fact that all coprime factors have the same
unstable transmission zeros [29].
An immediate consequence of the above result is the
following spectral factorization formula.
Lemma 5. Suppose Assumptions
1–3 are satisfied and let be any left
coprime factorization over . Then there is a square transfer matrix such that and
In particular,
if a state-space representation of is given as in
(22), then a state space representation of is given
by
with
where is the
stabilizing solution to the Riccati equation
such that is stable and
Proof. Since
Assumptions 1–3 are satisfied, Lemmas 3 and 4 can be applied to to get , where satisfies the
following Riccati equation
It is easy to show that the above algebraic Riccati
equation can be simplified to (35). The rest of the proof follows from some simple
algebraic manipulations.
The following lemma is the key to the solutions of all
the above problems.
Lemma 6. Suppose Assumptions 1–3 are satisfied. Let be defined as
in (32). Let
for and denote . Then the
fault-detection Problems 1–3
are equivalent to Problems 4–6
below, respectively.
Problem 4.
Problem 5.
Problem 6.
Proof. We will first
show that Problems 1 and 2 are equivalent to Problems 4 and
5,
respectively.
Note that by Lemma 6 there exists such that and Therefore,
that is, We can,
therefore without loss of generality, take in the form of for some . Hence , so that is equivalent
to Moreover, , hence Problem 1 is equivalent to Problem 4 and Problem 2 is equivalent
to Problem 5.
Next we show that Problem 3 is equivalent to Problem
6. Note that in
Problem 3, we have . Hence,
such that Since and , we can let for some . Therefore, so that is equivalent
to Moreover, , hence Problem 3 is equivalent to Problem 6.
We will provide optimal solutions for each of the
above problems in the following sections.
4. Fault-Detection Filter Design
In this section,
we give a complete solution for the fault-detection
filter design problem, that is, Problem 1 or
Problem 4.
Theorem 1. Suppose Assumptions 1–3 are satisfied. Let
be any left coprime factorization over and let be a square
transfer matrix such that and . Then
and an optimal fault-detection filter for Problem
1 is
given by
where
Proof. Note that by
Lemma 6, we only need to solve Problem 4:
From Lemma 1 we know that for every frequency ,
so that
By letting , we have and , which means that is an optimal
solution achieving the maximum.
Remark 3. The optimal fault-detection filter given in
Theorem 1 does not depend on and matrices.
Remark 4. Note that the solution given in the above theorem
does not depend on the specific definitions of index. Hence,
the solution provided here is an optimal solution for all indices.
However, it should be pointed out that this optimal filter is not the only
optimal solution for some index
criterion. For example, let where is a low-pass
filter with a very small bandwidth so that and . Then this is also an
optimal solution for
even though this is obviously a bad fault-detection
filter because the low-pass filter would make the
filter much less sensitive to faults.
Note also that the solution given in the above theorem
is completely general and it does not depend on specific state space
representation of those coprime factorization and spectral factorization, which
may be necessary in some fault tolerant control applications [5, 31]. On the other hand, if those specific state-space
coprime and spectral factorizations in the previous sections are used, the
optimal filter can be written in a very simple form.
Theorem 2. Suppose Assumptions 1–3 are satisfied. Let be the
stabilizing solution to the Riccati equation
such that is stable and
let . Define
Then
and an optimal fault-detection
filter has the following state space representation
where
In other words, the optimal fault-detection
filter is the following observer:
Proof. Note that
where is a matrix
with appropriate dimensions such that is stable. Note
from Theorem 1 and Lemma 5 that
Then
Similarly, we have
Remark 5. Note that the optimal fault-detection filter is independent
of the choice of matrix.
Remark 6. It is easy to see that our optimal filter given in
Theorems 1 and
2
is also optimal for the so-called problem
and it turns out this filter is the same as the one
given by Zhang et al. in [27]
under the following equivalent optimization
criterion:
5. Fault-Detection Filter Design
In this section,
we give an optimal solution for the problem stated
in Section 3 as
Problem 2.
Similar to the solution for problem given
in Theorems 1 and
2,
we have the following parallel results for the problem.
Theorem 3. Suppose Assumptions 1–3 are satisfied. Let
be any left coprime factorization over and let be a square
transfer matrix such that and . Then
and the optimal fault-detection filter for Problem 1
given in Theorems 1 and 2 is also the optimal filter for this
problem.
Proof. Note that by
Lemma 6,
we only need to solve Problem 5:
Note that
By letting , we have and , which means that is an optimal
solution achieving the maximum.
6. Fault-Detection Filter Design: Case 1
From Lemma 6
we know that the problem is
equivalent to Problem 6, that is,
Unlike the problem studied
in Section 4,
we have different solutions for the problem if
different definitions are
considered. In this section and the next two sections we will illustrate this
point and give solutions for all cases.
Theorem 4. Suppose Assumptions 1–3 are satisfied. Then
Furthermore, for any given , let and
Then
is satisfied for a sufficiently small .
Proof. Again note that
the equivalent Problem 6 in this case is
Take such that . Then and Let , then , so that
Remark 7. We should point out that an optimal filter
designed using Theorem 4
is not necessarily good for fault detection since
this optimal filter can be extremely narrowbanded near
0 frequency so
that any higher frequency component of fault may not be detected.
7. Fault-Detection Filter Design: Case 2
In this section, we will consider another special
case where the index is
defined for all frequencies but with full column
rank. As we have mentioned before, this is a very restrictive case. We are
interested in this case because an analytic solution is possible.
Lemma 7. Suppose has full column
rank. Then an optimal solution to Problem 6
has the form and
where is a positive
scalar and is an all-pass stable
transfer matrix.
Proof. We will first
show
where C is a nonnegative scalar.
Suppose there exists a such that does not hold.
Let denote the set
of all values such
that
is achieved.
Let such that
Then there exists a weighting function such that and
Therefore, and is not an
optimal solution. Hence, it must be true that for every
Next we show that
Suppose there exists a such that for some , that is,
Then a can be selected
such that
Since for every Let , then and
Therefore,
is not optimal
and by contradiction the assumption is false. So holds for every
Since for every , and that has full column
rank implies , has the form
where is an all-pass
stable transfer matrix and is a positive
scalar. Let , then
Lemma 8. Suppose has full column
rank. Then Problem 6
is equivalent to the following problem.
Problem 7.
Proof. From Lemma 7
we know that the optimal solution to Problem 6
has
the form and
Let , where is and is Then so and . Since Problem 6
needs to maximize with the
constraint , it is equivalent to find a with the smallest norm such that Denote then Problem 6
is equivalent to Problem 7.
In [32]
the solution to a dual problem of Problem 7 is
given. Similarly, we have the solution to
Problem 7 given by the following
lemma.
Lemma 9. Assume
is strictly
minimum phase and has full column
rank. Let is chosen such
that and , then the optimal solution to problem
is given by
where is the solution
to the algebraic Ricatti equation
Proof. The equation is equivalent
to ,
so Problem 7 is equivalent to finding an with the smallest norm such that Hence the
conclusion in [32] can be applied to to get the
optimal . is then
obtained by taking transpose of
Theorem 5. Suppose Assumptions 1–3 are satisfied. Let has all zeros
inside the unit circle and has full column
rank. Let
be any left coprime factorization over and let be a square
transfer matrix such that and . Let be the optimal
solution to Problem 7. Then
and an optimal fault detection filter is given by
where
Proof. Note that by
Lemma 6, we only need to solve
Problem 6
Since has all zeros
inside the unit circle and , is strictly
minimum phase. From Lemmas 7–9 we know that the optimal solutionto Problem 6 is
given by
where is the optimal
solution to Problem 7 and is a unitary
matrix. Take , then an optimal
solution is given by
Again the solution given in the above theorem is
general and it does not depend on specific state-space representation of
those coprime factorization and spectral factorization. If specific state-space
coprime and spectral factorization in the previous section are used, the
optimal filter can be written in an explicit form.
Theorem 6. Suppose Assumptions 1–3 are satisfied. Let has all zeros
inside the unit circle and has full column
rank. Let be the
stabilizing solution to the Riccati equation
such that is stable. Let and define
Let is chosen such
that and . Let is the solution
to the algebraic Ricatti equation
and define
Then
where
and an optimal fault-detection
filter has the following state-space representation:
where
where , and
Proof. Note that
where is a matrix
with appropriate dimensions such that is stable. From
Theorem 1
From Theorem 2
From Lemma 9
Therefore,
where and
Remark 8. Note that the optimal fault-detection filter
is independent
of the choice of
matrix.
Remark 9. Note that the strictly minimum phase assumption
for is not needed.
In general, if does not have
any zeros on the unit circle, one can always factorize
so that is strictly
minimum phase and is a stable
all-pass matrix. Then the solution can be computed by using
in place of . In the case when
has zeros on
the unit circle, approximation factorization can also be carried out to obtain
an approximation solution.
8. Fault-Detection Filter Design: Case 3
When Problem 3 is considered with the
index defined
over a finite frequency range , the solution becomes much more complicated. We will
now state this as a separate problem as below.
Problem 8 (Interval Problem). Let an
uncertain system be described by (16)–(20) and let be a given
disturbance rejection level. Find a stable transfer matrix
in (23)–(25) such that
and is maximized, that is,
or, equivalently, let and solve
Remark 10. It is not hard to see that there is no rational
function solution to the above problem. This is because an optimal must satisfy almost every
where for any . Hence, an analytic optimal solution seems to be
impossible. Nevertheless, it is intuitively feasible to find some rational
approximations so that a rational has the form of
a bandpass filter with the pass-band close to and .
Remark 11. When the
condition that has full column
rank is not satisfied, the rational optimal solution to the problem
may not exist. In this case, we also need to find some
rational approximate solutions. Moreover, this problem is a special case of
Problem 8 by letting and , we will only consider the solution to
Problem 8.
In the following, we will describe an optimization
approach to find a good rational approximation for the two
cases above. To do
that, we will need a state-space parametrization
of a stable rational function
with a given norm [33].
Lemma 10. Let
be an
th order
proper stable transfer matrix. Then the state space parameters of can be
expressed as for some and some satisfies Furthermore,
Proof. Assume that
is an th order
observable realization, then the Observability Gramian satisfies
Since , there exists a Cholesky factorization of where is invertible.
Perform a similarity transformation on such that
Thus, , so that where is an
orthogonal matrix and is a nonnegative
definite. Since an orthogonal matrix with no
eigenvalue equals can be
represented as , where is a
skew-symmetric matrix, we have
and Consequently,
If we use directly the elements of , , , and as optimization
variables the total number of variables is However, from
Lemma 10 can be computed
from and so the elements , , , and are all (necessary) optimization variables. Using this technique, the total number of optimization
variables is and the
reduction is
In order to carry out the subsequent optimization
effectively, we need an effective method of computing index fast and
exactly. Enlightened by the bisection method of computing norm of a
transfer matrix [34],
we now present a bisection algorithm to compute the index defined
over .
The following result shows the main idea used in our
algorithm.
Lemma 11. Suppose
and , then
if and only if , and
where and has no eigenvalues on the segment of unit circle
between and , where .
The detailed procedure of our algorithm for computing index is
summarized below.
(1)Give an initial
guess on lower bound and upper bound such that
and give a tolerance .(2)Let . Compute the eigenvalues of
where
and (3)If has no
eigenvalue on the segment of unit circle between and , which means
that
is true, then let ; else let .(4)Repeat steps (2)
and (3) until is satisfied.
And the approximate value of
is given by with tolerance .
With the state-space parametrization of on space and our
bisection algorithm for computing index, the
optimization process for solving Problem 8,
can be performed as
Furthermore, we introduce a penalty function to ensure the
conditions and is defined as
where is a
large positive number. Therefore, the new optimization scheme is
For this optimization scheme we have developed a
two-stage optimization algorithm which is a combination of genetic
algorithm [35, 36] and
Nelder-Mead simplex method [10, 26]. Genetic algorithm is good at searching for the right
direction for global optimum but has slow convergence, while Nelder-Mead
simplex method is good at searching for small neighborhood. So the result
obtained by genetic algorithm is used as the starting point for the second-step
optimization by Nelder-Mead simplex method, the latter gives the final results
of the optimization process.
Theoretically, can be a
transfer matrix of any order. However, in practice we try to find a with low
degree. Thus, we run the optimization process as follows: first set with a given
starting order, searching for the optimal value; then increase the order of , run the searching algorithm again and compare the
results with the former one; if higher degree gives a better
performance and the 's degree
does not exceed the predefined limit, then keep increasing the degree of and redo the
searching process; else the optimization process ends.
Example 4 will
demonstrate the effectiveness of this optimization method.
9. Numerical Examples
In this section,
we give some numerical examples to show the
effectiveness of our approaches for
solving the fault-detection problems.
Example 1. We consider Problem 1
for a third-order system:
Let the pair represents the
performance of an fault-detection
filter such that and . Using our approach an optimal fault-detection filter
has the form in Theorem 2 with
Let , we have the
optimal . The singular value plots of and are shown in
Figures 2 and 3, respectively.
Figure 2: The singular value plot of
,
, for Example
1.
Figure 3: The singular value plot of
,
, for Example
1.
Example 2. We consider Problem 2
for the same system in Example 1.
Let the pair represents the
performance of an fault-detection
filter such that and . From Theorem 3
the optimal fault-detection filter in Example 1 is
also optimal for this example. Let , the optimal .
Note that if the so-called problem is
considered for this system, the above fault-detection filter is also the
optimal filter. Let , then the optimal is .Example 3. We consider Problem 3
for the system
We let the pair represents the
performance of an fault-detection
filter such that and . Since this has all zeros
inside the unit circle and has full column
rank, we get from Theorem 6
and the optimal filter
Let the optimal
The singular value plots of and are shown in
Figures 4 and 5, respectively.
Figure 4: Singular value plot of
,
, for Example
3.
Figure 5: Singular value plot of
,
, for Example
3.
Example 4.
We consider Problem 8 for a system
where and .
As discussed in Section 8
we use optimization method
to search for a good solution. Let us denote the maximum of as when . In Table 1 the results obtained using our
optimization algorithm with different predefined orders are
given. It is clear that the results improve with the increasing order of . In particular, a third-order design
achieving is given by
The singular value plots of and are shown in
Figures 6 and 7 for this third-order . Figure 8
demonstrates how the smallest singular
value of changes in the
frequency range of with the order
of . It is seen that the improvement on the performance
with any of higher order
than 3 is insignificant.
It is interesting to note that the is trying to
invert in the
frequency interval .
Table 1: Results for
different 's order.
Figure 6: Singular value plot of
with a third
order
,
, for Example
4.
Figure 7: Singular value plot of
with a third
order
,
, for Example
4.
Figure 8: Singular value plot of
for different
order of
: first order (solid line), second order (dotted
line), and third order (dashed line), for Example
4.
10. Conclusion
In this paper,
we have presented optimal solutions to various robust fault-detection problems
for linear discrete time systems in parallel with our continuous time results
in [28]. We have shown that an
optimal filter for both and can be obtained
by solving one Riccati equation. It is also interesting to note that we are able to give
analytic solution to an problem defined
on the entire frequency range when has full column
rank. In contrast, the corresponding continuous time problem does not make any
sense [28]. The critical reason for this difference is because
the entire frequency range in discrete time is finite () while the entire frequency range in continuous time
is infinite. We have also shown that many design criteria considered in the
literature do not give desirable fault-detection designs.
Acknowledgments
This work was supported in part by grants from NASA (NCC5-573), LEQSF (NASA/LEQSF(2001-04)-01), and the NNSFC
Young Investigator Award for Overseas Collaborative Research (60328304).