Distributing the Kalman Filter for Large-Scale Systems

DOI10.1109/TSP.2008.927480MaRDI QIDQ4569129zbMATH OpenOpenAlexFDO

Authors Usman A. Khan, José M. F. Moura

Publication date 27 June 2018

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0708.0242

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: This paper derives a emph{distributed} Kalman filter to estimate a sparsely connected, large-scale, $n-$dimensional, dynamical system monitored by a network of $N$ sensors. Local Kalman filters are implemented on the ($n_l-$dimensional, where $n_{l}lln$) sub-systems that are obtained after spatially decomposing the large-scale system. The resulting sub-systems overlap, which along with an assimilation procedure on the local Kalman filters, preserve an $L$th order Gauss-Markovian structure of the centralized error processes. The information loss due to the $L$th order Gauss-Markovian approximation is controllable as it can be characterized by a divergence that decreases as $Luparrow$. The order of the approximation, $L$, leads to a lower bound on the dimension of the sub-systems, hence, providing a criterion for sub-system selection. The assimilation procedure is carried out on the local error covariances with a distributed iterate collapse inversion (DICI) algorithm that we introduce. The DICI algorithm computes the (approximated) centralized Riccati and Lyapunov equations iteratively with only local communication and low-order computation. We fuse the observations that are common among the local Kalman filters using bipartite fusion graphs and consensus averaging algorithms. The proposed algorithm achieves full distribution of the Kalman filter that is coherent with the centralized Kalman filter with an $L$th order Gaussian-Markovian structure on the centralized error processes. Nowhere storage, communication, or computation of $n-$dimensional vectors and matrices is needed; only $n_{l}lln$ dimensional vectors and matrices are communicated or used in the computation at the sensors.

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