Weighted Fusion Robust Steady-State Kalman Filters for Multisensor System with Uncertain Noise Variances

Abstract EN

A direct approach of designing weighted fusion robust steady-state Kalman filters with uncertain noise variances is presented.

Based on the steady-state Kalman filtering theory, using the minimax robust estimation principle and the unbiased linear minimum variance (ULMV) optimal estimation rule, the six robust weighted fusion steady-state Kalman filters are designed based on the worst-case conservative system with the conservative upper bounds of noise variances.

The actual filtering error variances of each fuser are guaranteed to have a minimal upper bound for all admissible uncertainties of noise variances.

A Lyapunov equation method for robustness analysis is proposed.

Their robust accuracy relations are proved.

A simulation example verifies their robustness and accuracy relations.