Distributed Fusion Filtering in Networked Systems with Random Measurement Matrices and Correlated Noises

Abstract

The distributed fusion state estimation problem is addressed for sensor network systems with random state transition matrix and random measurement matrices, which provide a unified framework to consider some network-induced random phenomena. The process noise and all the sensormeasurement noises are assumed to be one-step autocorrelated and different sensor noises are one step cross-correlated; also, the process noise and each sensor measurement noise are two-step cross-correlated. These correlation assumptions cover many practical situations, where the classical independence hypothesis is not realistic. Using an innovation methodology, local least-squares linear filtering estimators are recursively obtained at each sensor. The distributed fusion method is then used to formthe optimal matrix-weighted sum of these local filters according to the mean squared error criterion. A numerical simulation example shows the accuracy of the proposed distributed fusion filtering algorithm and illustrates some of the network induced stochastic uncertainties that can be dealt with in the current system model, such as sensor gain degradation, missing measurements, and multiplicative noise.