Fusion steady‐state robust filtering for uncertain multisensor networked systems with application to autoregressive moving average signal estimates

Abstract

AbstractThis article is concerned with the centralized fusion (CF) robust steady‐state Kalman filtering problem for a class of multisensor networked systems with mixed uncertainties including state‐dependent and noise‐dependent multiplicative noises, missing measurements, packet dropouts, and uncertain noise variances. By using a model transformation approach, the initial multisensor system under study is transformed into a multi‐model multisensor system only with uncertain noise variances. By introducing an augmented state vector, the CF system is obtained. In the light of the minimax robust estimation method, and based on the worst‐case fusion system with conservative upper bounds of uncertain noise variances, the CF robust steady‐state Kalman estimators (predictor, filter, and smoother) are proposed in a unified form. By means of the permutation matrices and Lyapunov equation method, the robustness of CF estimators is proved. The accuracy relations among the robust local and fusion steady‐state estimators are proved. An example applied to autoregressive moving average signal estimation is put forward, and the robust CF steady‐state signal estimators are proposed. Simulation experiment shows the correctness of the proposed approach.