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Optimal distributed Kalman filtering fusion for a linear dynamic system with cross-correlated noises
Authors:Jianxin Feng  Ming Zeng
Affiliation:1. Space Control and Inertial Technology Research Centre , Harbin Institute of Technology , Harbin 150001, China fengjx774@gmail.com;3. Space Control and Inertial Technology Research Centre , Harbin Institute of Technology , Harbin 150001, China
Abstract:In this article, we study the distributed Kalman filtering fusion problem for a linear dynamic system with multiple sensors and cross-correlated noises. For the assumed linear dynamic system, based on the newly constructed measurements whose measurement noises are uncorrelated, we derive a distributed Kalman filtering fusion algorithm without feedback, and prove that it is an optimal distributed Kalman filtering fusion algorithm. Then, for the same linear dynamic system, also based on the newly constructed measurements, a distributed Kalman filtering fusion algorithm with feedback is proposed. A rigorous performance analysis is dedicated to the distributed fusion algorithm with feedback, which shows that the distributed fusion algorithm with feedback is also an optimal distributed Kalman filtering fusion algorithm; the P matrices are still the estimate error covariance matrices for local filters; the feedback does reduce the estimate error covariance of each local filter. Simulation results are provided to demonstrate the validity of the newly proposed fusion algorithms and the performance analysis.
Keywords:constructed measurements  Kalman filtering  distributed data fusion  feedback  performance analysis
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