期刊
IEEE TRANSACTIONS ON AUTOMATIC CONTROL
卷 47, 期 11, 页码 1879-1882出版社
IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
DOI: 10.1109/TAC.2002.804475
关键词
consistent estimation; covariance intersection; data fusion; filtering; Kalman filter; unknown correlation
This note addresses the problem of obtaining a consistent estimate (or upper bound) of the covariance matrix when combining two quantities with unknown correlation. The combination is defined linearly with two gains. When the gains are chosen a priori, a family of consistent estimates is presented in the note. The member in this family having minimal trace is said to be family-optimal. When the gains are to be optimized in order to achieve minimal trace of the family-optimal estimate of the covariance matrix, it is proved that the global optimal solution is actually given by the Covariance Intersection algorithm, which conducts the search only along a one-dimensional curve in the n-squared-dimensional space of combination gains.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据