Condition monitoring often involves the analysis of systems with hidden factors that switch between different modes of operation in some way. Given a sequence of observations, the task is to infer the filtering distribution of the switch setting at each time step. In this paper, we present factorial switching linear dynamical systems as a general framework for handling such problems. We show how domain knowledge and learning can be successfully combined in this framework, and introduce a new factor (the "X-factor") for dealing with unmodeled variation. We demonstrate the flexibility of this type of model by applying it to the problem of monitoring the condition of a premature baby receiving intensive care. The state of health of a baby cannot be observed directly, but different underlying factors are associated with particular patterns of physiological measurements and artifacts. We have explicit knowledge of common factors and use the X-factor to model novel patterns which are clinically significant but have unknown cause. Experimental results are given which show the developed methods to be effective on typical intensive care unit monitoring data.

The observed physiological dynamics of an infant receiving intensive care are affected by many possible factors, including interventions to the baby, the operation of the monitoring equipment and the state of health. The Factorial Switching Kalman Filter can be used to infer the presence of such factors from a sequence of observations, and to estimate the true values where these observations have been corrupted. We apply this model to clinical time series data and show it to be effective in identifying a number of artifactual and physiological patterns.