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Thyristors

Depending upon your power source, you will probably need a voltage regulator circuit for this.

The thyristor breaks the circuit until a voltage is passed accross the 'gate'. This then completes the connection for the circuit containing the audio alarm, causing it to sound.

Your sensor should therefore cause a voltage to pass across the gate when you wish the alarm to sound. Once triggered the alarm will not stop until the voltage input to the anode is reset, or the battery dies.