Change Detection and Input Design in Dynamical Systems Book

Provides information on the detection and diagnosis of abrupt changes in the dynamics of single input single output stochastic systems and the design of auxiliary inputs for this purpose. The problem is put in a decision theoretic framework and the concepts of classicial decision theory are augmented to accommodate the input design as well as the decision rules for change detection. The sequential probability ratio test (SPRT) is investigated in detail. The detection mechanism as well as the input design techniques are extended to the multihypothesis case.