Get a multimeter on the plugs to determine which has failed. Save the guesswork!
If you don't have a multi meter, pull the plugs and turn the ignition on, the one that doesn't light up like the end of a cigarette on full suck is the culprit.
Better still, with a multimeter, if you see they're all measuring correct resistance, but one still isn't lighting up, you've proven the issue is further up the line, either in the wiring or the relay.
Then you measure the voltage reaching that glowplug when the ignition is turned on. If it's zero it's the relay, if it's a low number you've got a rotten wire somewhere.