Minimax robust optimal estimation fusion for distributed multisensor systems with a relative entropy uncertainty (Q1719370)

Summary: This paper considers the robust estimation fusion problem for distributed multisensor systems with uncertain correlations of local estimation errors. For an uncertain class characterized by the Kullback-Leibler (KL) divergence from the actual model to nominal model of local estimation error covariance, the robust estimation fusion problem is formulated to find a linear minimum variance unbiased estimator for the least favorable model. It is proved that the optimal fuser under nominal correlation model is robust while the estimation error has a relative entropy uncertainty.