A State-Space Approach to Optimal Level-Crossing Prediction for Linear Gaussian Processes

Abstract

In many complex engineered systems, the ability to give an alarm prior to impending critical events is of great importance. These critical events may have varying degrees of severity, and in fact they may occur during normal system operation. In this article, we investigate approximations to theoretically optimal methods of designing alarm systems for the prediction of level-crossings by a zero-mean stationary linear dynamic system driven by Gaussian noise. An optimal alarm system is designed to elicit the fewest false alarms for a fixed detection probability. This work introduces the use of Kalman filtering in tandem with the optimal level-crossing problem. It is shown that there is a negligible loss in overall accuracy when using approximations to the theoretically optimal predictor, at the advantage of greatly reduced computational complexity. I