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How to use Wald Sequence detection method to test the filtering residual?

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dab483
dab483 on 17 Feb 2014
Closed: dab483 on 17 Feb 2014
Hi,
I have this EKF Equation.
PMinus(:,:,i) = A(:,:,i)*P(:,:,i)*A(:,:,i)'+ Q(:,:,i);
xhat(:,:,i+1) = Fs(xhat(:,:,i),u(:,:,i),wp(:,:,i),dt);
K(:,:,i) = PMinus(:,:,i)*H'*(H*PMinus(:,:,i)*H'+R)^-1;
xhat(:,:,i+1) = xhat(:,:,i+1)+K(:,:,i)*(y(:,:,i+1)-H*xhat(:,:,i+1));
P(:,:,i+1) = (eye(4)-K(:,:,i)*H)*P(:,:,i);
Now I need to use Wald Sequence detection method to test the filtering residual, r=y-H*xhat. to observe if the residual contain any fault information where its distribution N(m,sg^2) The general simplified decision law of wald sequence is:
Ly(n-1)=Ly(n) + m/sg^2*[r(n)-0.5m]
Any one can help me to code it to use with my above equation? Thanks.

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