Self-tuning Measurement Fusion Kalman Filter with Correlated Measurement Noises and Its convergence
会议名称：《第二十七届中国控制会议》
会议日期：2008年
学科分类：11[军事学] 0810[工学-信息与通信工程] 1105[军事学-军队指挥学] 080902[工学-电路与系统] 0809[工学-电子科学与技术（可授工学、理学学位）] 08[工学] 081002[工学-信号与信息处理] 110503[军事学-军事通信学]
基 金：supported by National Nature Science Foundation under Grant 60374026 Science and Technology Research Foundation of Heilongjiang Education Department under Grant 11521214 Key Laboratory of Electronics Engineering,College of Heilongjiang Province under Grant DZZD2006-16
关 键 词：Multisensor measurement fusion Self-tuning Kalman filter Convergence in a realization Correlation method
摘 要：For the multisensor system with unknown noise statistics and correlated measurement noises,based on the solution of the matrix equations for correlation function,the on-line estimators of the noise variances and cross-covariances are obtained. Further,a self-tuning weighted measurement fusion Kalman filter is *** on the stability of the dynamic error system and the concept of the convergence in a realization,it is strictly proved that the proposed self-tuning filter convergences to the steady-state optimal Kalman filter in a realization or with probability one,so that it has asymptotic global optimality. Compared with the centralized self-tuning Kalman filter,it can reduce the computational burden,and is suitable for real time applications.A simulation example for a target tracking system with 3-sensor shows its effectiveness.