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

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1 Author(s)
Martin, R.A. ; Intell. Syst. Div., NASA Ames Res. Center, Moffett Field, CA, USA

In this paper, approximations of an optimal level-crossing predictor for a zero-mean stationary linear dynamical system driven by Gaussian noise in state-space form are investigated. The study of this problem is motivated by the practical implications for design of an optimal alarm system, which will elicit the fewest false alarms for a fixed detection probability in this context. This work introduces the use of Kalman filtering in tandem with the optimal level-crossing prediction 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.

Published in:

Information Theory, IEEE Transactions on  (Volume:56 ,  Issue: 10 )

Date of Publication:

Oct. 2010

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