Covariance Intersection Kalman Fuser with Time-delayed Measurements

Abstract

For a two-sensor linear discrete time-invariant stochastic system with time-delayed measurements, by the measurement transformation method, an equivalent system without measurement delays is obtained, and then using the covariance intersection (CI) fusion method, the covariance intersection steady-state Kalman fuser is presented. It can handle the estimation fusion problem between local estimation errors for the system with unknown cross-covariances and avoid a large computed burden and computational complexity of cross-covariances. It is proved that its accuracy is higher than that of each local estimator, and is lower than that of optimal Kalman fuser weighted by matrices with known cross-covariances. A Monte-Carlo simulation example shows the above accuracy relation, and indicates that its actual accuracy is close to that of the Kalman fuser weighted by matrices, hence it has good performances.