S.L. Sun, Y.L. Shen, and J. Ma
Multisensor, optimal information fusion, reduced-order Kalman estimator, cross-covariance, stochastic singular system
Based on the optimal fusion algorithm weighted by scalars in the linear minimum variance (LMV) sense, the distributed optimal fusion reduced-order Kalman estimators including predictor, filter and smoother are presented for discrete-time stochastic singular linear systems with multiple sensors and correlated noises. The fusion estimation problem of original high-order singular system is transferred to that of two reduced-order subsystems. They have better precision than any local estimators from every sensor do. The estimation error cross-covariance matrices between any two sensor subsystems are derived for two reduced-order subsystems, respectively. Furthermore, the steady-state fusion estimators are also investigated, which have the reduced online computational burden. A simulation example with three sensors shows the effectiveness.
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