Consensus in ad hoc WSNs with noisy links - Part II: Distributed estimation and smoothing of random signals

Distributed algorithms are developed for optimal estimation of stationary random signals and smoothing of (even nonstationary) dynamical processes based on generally correlated observations collected by ad hoc wireless sensor networks (WSNs). Maximum a posteriori (MAP) and linear minimum mean-square error (LMMSE) schemes, well appreciated for centralized estimation, are shown possible to reformulate for distributed operation through the iterative (alternating-direction) method of multipliers. Sensors communicate with single-hop neighbors their individual estimates as well as multipliers measuring how far local estimates are from consensus. When iterations reach consensus, the resultant distributed (D) MAP and LMMSE estimators converge to their centralized counterparts when inter-sensor communication links are ideal. The D-MAP estimators do not require the de,sired estimator to be expressible in closed form, the D-LMMSE ones are provably robust to communication or quantization noise and both are particularly simple to implement when the data model is linear-Gaussian. For decentralized tracking applications, distributed Kalman filtering and smoothing algorithms are derived for any-time MMSE optimal consensus-based state estimation using WSNs. Analysis and corroborating numerical examples, demonstrate the merits of the novel distributed estimators.