Recent Results on "Approximations to Optimal Alarm Systems for Anomaly Detection"

An optimal alarm system and its approximations may use Kalman filtering for univariate linear dynamic systems driven by Gaussian noise to provide a layer of predictive capability. Predicted Kalman filter future process values and a fixed critical threshold can be used to construct a candidate level-crossing event over a predetermined prediction window. An optimal alarm system can be designed to elicit the fewest false alarms for a fixed detection probability in this particular scenario.