Minimax Robust Optimal Estimation Fusion in Distributed Multisensor Systems With Uncertainties

Abstract

In this paper, the robust estimation fusion problem in multisensor systems with norm-bounded uncertainties concerning the error covariance matrix between local estimates is addressed. A robust fusion method by minimizing the worst-case fused mean-squared error (MSE) for all feasible error covariance matrices of local estimates is proposed. The minimax robust fusion weighting matrices can be explicitly formulated as a function of solution of a semidefinite programming (SDP). Some numerical examples demonstrate that when the error covariance matrix suffers disturbance, the proposed fusion method is more robust than the nominal fusion method which ignores the uncertainties, and can improve the performance when the disturbance is considerably large.