Optimal State Fusion of Linear Systems with Two Channel Observations
State fusion problem of linear systems with two channel observations is discussed. A globally optimal recursive algorithm is proposed based on projection formula and innovation analysis. Different linear weighted fusion, the algorithm presented is globally optimal, which is equivalent to centralized Kalman filtering. Moreover, the algorithm is good for real-time demand for innovations from different channels are orthogonal.
P. Cui et al., "Optimal State Fusion of Linear Systems with Two Channel Observations", Key Engineering Materials, Vols. 467-469, pp. 823-828, 2011