State Fusion of Decentralized Optimal Unbiased FIR Filters

The paper presents a decentralized fusion strategy based on the optimal unbiased finite impulse response (OUFIR) filter for discrete systems with correlated process and measurement noise. We extend OUFIR filter to apply in the model with control inputs. Taking it as local filters, cross covariance between any two is calculated; then it is expressed to the fast iterative form. Finally based on cross covariance, optimal weights are utilized to fuse local estimates and the overall outcome is obtained. The numerical examples show that the proposed filter exhibits better robustness against temporary modeling uncertainties than the fusion Kalman filter used commonly.