Robust weighted measurement fusion Kalman filter for uncertain multi-sensor descriptor system with colored measurement noises

Abstract

For uncertain multi-sensor descriptor stochastic linear system with colored measurement noises, by applying the singular value decomposition, the original system can be transformed into two reduced-order subsystems with correlated noises by means of difference transformation of the measurement equation. Then the problem of weighted measurement fusion Kalman filtering is transformed into prediction problem for subsystems. The robust weighted measurement fusion time-varying Kalman predictor is presented for the first subsystem. Based on the relationship between subsystems and original system, the robust weighted measurement fusion Kalman filter of the original multi-sensor descriptor system is presented. The effectiveness of the proposed algorithm is verified by a numerical simulation example.