Two-sensor information fusion steady-state Kalman filter weighted by diagonal matrices
Liang Zuo · Journal of Natural Science of Heilongjiang University · 2004
By the modern time series analysis method, under the linear minimum variance optimal information fusion criterion weighted by diagonal matrices, based on the Riccati equation, the two-sensor information fusion steady-state optimal Kalman filter is presented. Compared with optimal fusion Kalman filter weighted by matrices, the computational burden may be reduced. Compared with the single sensor case, the filtering accuracy is improved. A simulation example shows its effectiveness.