New approach to information fusion steady-state Kalman filtering

  • Authors:

  • Zi-Li Deng;Yuan Gao;Lin Mao;Yun Li;Gang Hao

  • Affiliations:

  • Department of Automation, Heilongjiang University, Harbin, People's Republic of China;Department of Automation, Heilongjiang University, Harbin, People's Republic of China;Department of Automation, Heilongjiang University, Harbin, People's Republic of China;Department of Automation, Heilongjiang University, Harbin, People's Republic of China;Department of Automation, Heilongjiang University, Harbin, People's Republic of China

  • Venue:
  • Automatica (Journal of IFAC)
  • Year:
  • 2005

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Abstract

By the modern time series analysis method, based on the autoregressive moving average (ARMA) innovation model, a unified and general information fusion steady-state Kalman filtering approach is presented for the general multisensor systems with different local dynamic models and correlated noises. It can handle the filtering, smoothing, and prediction fusion problems for state or signal. The optimal fusion rule weighted by matrices is re-derived as a weighted least squares (WLS) fuser, and is reviewed. An optimal fusion rule weighted by diagonal matrices is presented, which is equivalent to the optimal fusion rule weighted by scalars for components, and it realizes a decoupled fusion. The new algorithms of the steady-state Kalman estimator gains are presented. In order to compute the optimal weights, the formulas of computing the cross-covariances among local estimation errors by Lyapunov equations are presented. The exponential convergence of the iterative solution of Lyapunov equation is proved. It is proved that the optimal fusion estimators under three weighted fusion rules are locally optimal, but are globally suboptimal. The proposed steady-state Kalman fusers can reduce the on-line computational burden, and are suitable for real-time applications. A simulation example for the 3-sensor steady-state Kalman tracking fusion estimators shows their effectiveness and correctness, and gives the accuracy comparison of the fusion rules.