Probabilistic Anomaly Detection in Dynamic Systems

Padhraic Smyth Jet Propulsion Laboratory 238-420 California Institute of Technology 4800 Oak Grove Drive Pasadena, CA 91109 Abstract This paper describes probabilistic methods for novelty detection when using pattern recognition methods for fault monitoring of dynamic systems. The problem of novelty detection is particularly acutewhen prior knowledge and training data only allow one to construct an incomplete classification model. Allowance must be made in model design so that the classifier will be robust to data generated by classes not included in the training phase. For diagnosis applications one practical approach is to construct both an input density model and a discriminative class model. Using Bayes' rule and prior estimates of the relative likelihood of data of known and unknown origin the resulting classification equations are straightforward.