“…• The entropy-based ambiguity set P e (P 0 , 𝜂) includes any distribution P whose KL divergence (i.e., negative relative entropy) with respect to a nominal distribution P 0 is less than or equal to a predefined nonnegative value 𝜂, that is, P e (P 0 , 𝜂) = {P ∈ D|KL(P, P 0 ) ≤ 𝜂} , (11) where D denotes the set of all probability distributions, and KL(P, P 0 ) = ∫ log dP dP 0 dP represents the KL divergence from P to P 0 . In this paper, assume z 0,k ∼ P e (P z 0 , 𝜂) in the fault-free case, that is, the true distribution z 0 of the fault-free primary residual z 0,k satisfies KL( z 0 , P z 0 ) ≤ 𝜂, with the nominal distribution P z 0 being (0, Σ 0 ).…”