Consensus-based distributed linear filtering

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Consensus-based distributed linear filtering
We address the consensus-based distributed linear filtering problem, where a discrete time, linear stochastic process is observed by a network of sensors. We assume that the consensus weights are known and we first provide sufficient conditions under which the stochastic process is detectable, i.e. for a specific choice of consensus weights there exists a set of filtering gains such that the dynamics of the estimation errors (without noise) is asymptotically stable. Next, we provide a distributed, sub-optimal filtering scheme based on minimizing an upper bound on a quadratic filtering cost. In the stationary case, we provide sufficient conditions under which this scheme converges; conditions expressed in terms of the convergence properties of a set of coupled Riccati equations. We continue with presenting a connection between the consensusbased distributed linear filter and the optimal linear filter of a Markovian jump linear system, appropriately defined. More specifically, we show th...
Ion Matei, John S. Baras
Added 13 May 2011
Updated 13 May 2011
Type Journal
Year 2010
Where CDC
Authors Ion Matei, John S. Baras
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