Self-tuning weighted measurement fusion Kalman filter and its convergence

Abstract

For multisensor systems, when the model parameters and the noise variances are unknown, the consistent fused estimators of the model parameters and noise variances are obtained, based on the system identification algorithm, correlation method and least squares fusion criterion. Substituting these consistent estimators into the optimal weighted measurement fusion Kalman filter, a self-tuning weighted measurement fusion Kalman filter is presented. Using the dynamic error system analysis (DESA) method, the convergence of the self-tuning weighted measurement fusion Kalman filter is proved, i.e., the self-tuning Kalman filter converges to the corresponding optimal Kalman filter in a realization. Therefore, the self-tuning weighted measurement fusion Kalman filter has asymptotic global optimality. One simulation example for a 4-sensor target tracking system verifies its effectiveness.