Optimal Fusion Filtering in Multisensor Stochastic Systems with Missing Measurements and Correlated Noises

R. Caballero-Águila, I. García-Garrido and J. Linares-Pérez

Mathematical Problems in Engineering, 2013, vol. 2013, 1-14

Abstract:

The optimal least-squares linear estimation problem is addressed for a class of discrete-time multisensor linear stochastic systems with missing measurements and autocorrelated and cross-correlated noises. The stochastic uncertainties in the measurements coming from each sensor (missing measurements) are described by scalar random variables with arbitrary discrete probability distribution over the interval ; hence, at each single sensor the information might be partially missed and the different sensors may have different missing probabilities. The noisecorrelation assumptions considered are (i) the process noise and all the sensor noises are one-step autocorrelated; (ii) different sensor noises are one-step cross-correlated; and (iii) the process noiseand each sensor noise are two-step cross-correlated. Under these assumptions and by an innovation approach, recursive algorithms for the optimal linear filter are derived by using the two basic estimation fusion structures; more specifically, both centralized and distributed fusion estimation algorithms are proposed. The accuracy of these estimators is measured by their error covariance matrices, which allow us to compare their performance in a numerical simulation example that illustrates the feasibility of the proposed filtering algorithms and shows a comparison with other existing filters.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:418678

DOI: 10.1155/2013/418678

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