System identification (2nd ed.): theory for the user
System identification (2nd ed.): theory for the user
Brief paper: Optimal Kalman filtering fusion with cross-correlated sensor noises
Automatica (Journal of IFAC)
Self-tuning decoupled information fusion Wiener state component filters and their convergence
Automatica (Journal of IFAC)
New approach to information fusion steady-state Kalman filtering
Automatica (Journal of IFAC)
Multi-sensor optimal information fusion Kalman filter
Automatica (Journal of IFAC)
A self-tuning filter for fixed-lag smoothing
IEEE Transactions on Information Theory
Self-tuning weighted measurement fusion Kalman filtering algorithm
Computational Statistics & Data Analysis
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For the multisensor multi-channel autoregressive moving average (ARMA) signal with white measurement noises and a common disturbance measurement white noise, when the model parameters and the noise variances are all unknown, a multi-stage information fusion identification method is presented, where the consistent fused estimates of the model parameters and noise variances are obtained by the multi-dimension recursive instrumental variable (RIV) algorithm, correlation method and Gevers-Wouters algorithm with a dead band. Substituting these estimates into the optimal distributed measurement fusion Kalman signal estimator, a self-tuning distributed measurement fusion Kalman signal estimator is presented. Its convergence is proved by the dynamic error system analysis (DESA) method, so that it has asymptotical global optimality. In order to reduce computational load, a fast recursive inversion algorithm for a high-dimension matrix is presented by the inversion formula of partitioned matrix. Especially, when the process and measurement noise variance matrices are all diagonal matrices, the inversion formula of a high-dimension matrix is presented, which extends the formula of the inverse of Pei-Radman matrix. Applying the proposed inversion algorithm, the computation of the fused measurement and fused noise variance is simplified and their computational burden is reduced. A simulation example shows effectiveness of the proposed method.