Kalman Estimators for Multi-sensor System with Colored Measurement Noises

For multi-sensor system with colored measurement noises, using the observation transformation, the system can be converted into an equivalent system with correlated measurement noises. Based on this method, using the classical Kalman filtering, this paper proposed a covariance intersection (CI) fusion Kalman estimator, which can handle the fused filtering, prediction and smoothing problems. The advantage of the proposed method is that it can avoid the computation of the cross co-variances among the local filtering errors and can reduce the computational burden significantly, as well as the CI fusion algorithm can be used in the uncertain system with unknown cross covariances. Based on classical Kalman filtering theory, the centralized fusion and three weighted fusion (weighted by matrices, scalars and diagonal) estimators are also presented respectively. Their accuracy comparisons are given. The geometric interpretations based on covariance ellipses are also given. A Monte-Carlo simulation example shows that the accuracy relations.