Brownian motion with adaptive drift for remaining useful life prediction : Revisited

Research output: Journal Publications and ReviewsRGC 21 - Publication in refereed journalpeer-review

99 Scopus Citations
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  • Dong Wang
  • Kwok-Leung Tsui


Original languageEnglish
Pages (from-to)691-701
Journal / PublicationMechanical Systems and Signal Processing
Online published15 Jul 2017
Publication statusPublished - 15 Jan 2018


Linear Brownian motion with constant drift is widely used in remaining useful life predictions because its first hitting time follows the inverse Gaussian distribution. State space modelling of linear Brownian motion was proposed to make the drift coefficient adaptive and incorporate on-line measurements into the first hitting time distribution. Here, the drift coefficient followed the Gaussian distribution, and it was iteratively estimated by using Kalman filtering once a new measurement was available. Then, to model nonlinear degradation, linear Brownian motion with adaptive drift was extended to nonlinear Brownian motion with adaptive drift. However, in previous studies, an underlying assumption used in the state space modelling was that in the update phase of Kalman filtering, the predicted drift coefficient at the current time exactly equalled the posterior drift coefficient estimated at the previous time, which caused a contradiction with the predicted drift coefficient evolution driven by an additive Gaussian process noise. In this paper, to alleviate such an underlying assumption, a new state space model is constructed. As a result, in the update phase of Kalman filtering, the predicted drift coefficient at the current time evolves from the posterior drift coefficient at the previous time. Moreover, the optimal Kalman filtering gain for iteratively estimating the posterior drift coefficient at any time is mathematically derived. A discussion that theoretically explains the main reasons why the constructed state space model can result in high remaining useful life prediction accuracies is provided. Finally, the proposed state space model and its associated Kalman filtering gain are applied to battery prognostics.

Research Area(s)

  • Filtering, Performance degradation assessment, Prognostics and health management, Remaining life prediction, State space modelling