Patent ID: 8560492

Claim:
A method for filtering a signal from a sensor in a machine monitoring system using a switching Kalman filter, the signal having at least a steady mode wherein a mode variable s t has a first value and a non-steady mode wherein s t has a second value, the method comprising: receiving at a machine monitoring computer a new observation y t of the signal; computing an estimate of a current mode s t of the signal based on the new observation y t , a previous mode s t−1 and a previous state x t−1 of the signal, the previous state x t−1 comprising values for at least a previous true signal z t−1 and a first derivative ż t−1 of the previous true signal; computing an estimate of a current state x t of the signal based on the estimate of the current mode s t , the previous mode s t−1 and the previous state x t−1 wherein computing an estimate of a current state x t of the signal comprises selecting a Kalman filter to compute the estimate of the current state x t , the Kalman filter being selected from at least a first Kalman filter for use when the current mode s t is the steady mode, and a second Kalman filter for use when the current mode s t is the non-steady mode, wherein the first and second Kalman filters differ only by an evolution covariance matrix; setting the previous mode s t−1 equal to the estimate of the current mode s t , and setting the previous state x t−1 equal to the estimate of the current state x t ; and repeating the above steps.