A new fusion formula and its application to continuous-time linear systems with multisensor environment

Authors:
Vladimir Shin;Georgy Shevlyakov;Kiseon Kim
Affiliations:
School of Information and Mechatronics, Gwangju Institute of Science and Technology, 1 Oryong-Dong Buk-Gu, Gwangju 500-712, South Korea;School of Information and Mechatronics, Gwangju Institute of Science and Technology, 1 Oryong-Dong Buk-Gu, Gwangju 500-712, South Korea;School of Information and Mechatronics, Gwangju Institute of Science and Technology, 1 Oryong-Dong Buk-Gu, Gwangju 500-712, South Korea
Venue:
Computational Statistics & Data Analysis
Year:
2007

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Abstract

The problem of fusion of local estimates is considered. An optimal mean-square linear combination (fusion formula) of an arbitrary number of local vector estimates is derived. The derived result holds for all dynamic systems with measurements. In particular, for scalar uncorrelated local estimates, the fusion formula represents the well-known result in statistics. The fusion formula is applied to fusion of local Kalman estimates in multisensor filtering problem. Examples demonstrate high accuracy of the proposed fusion formula.