<italic>Consensus+Innovations</italic> Distributed Kalman Filter With Optimized Gains

DOI10.1109/TSP.2016.2617827MaRDI QIDQ4620552zbMATH OpenOpenAlexFDO

Authors Subhro Das, José M. F. Moura

Publication date 8 February 2019

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

Full work available at URL https://arxiv.org/abs/1605.06096

Mathematics Subject Classification ID

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

Abstract: In this paper, we address the distributed filtering and prediction of time-varying random fields represented by linear time-invariant (LTI) dynamical systems. The field is observed by a sparsely connected network of agents/sensors collaborating among themselves. We develop a Kalman filter type consensus+innovations distributed linear estimator of the dynamic field termed as Consensus+Innovations Kalman Filter. We analyze the convergence properties of this distributed estimator. We prove that the mean-squared error of the estimator asymptotically converges if the degree of instability of the field dynamics is within a pre-specified threshold defined as tracking capacity of the estimator. The tracking capacity is a function of the local observation models and the agent communication network. We design the optimal consensus and innovation gain matrices yielding distributed estimates with minimized mean-squared error. Through numerical evaluations, we show that, the distributed estimator with optimal gains converges faster and with approximately 3dB better mean-squared error performance than previous distributed estimators.

Cited in

(23)

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• Distributed Kalman Filtering With Dynamic Observations Consensus
• A new approach to decentralized constrained nonlinear estimation over noisy communication links
• Globally optimal distributed time-varying weight information filter of mobile sensor network
• Distributed consensus-based estimation with unknown inputs and random link failures
• Decentralized fused-learner architectures for Bayesian reinforcement learning
• Non-fragile distributed state estimation over sensor networks subject to DoS attacks: the almost sure stability
• Novel event‐triggered distributed state estimation algorithm for nonlinear systems over wireless sensor networks
• Innovation-based stealthy attack against distributed state estimation over sensor networks
• Discrete-time stochastic consensus: a Kalman-filter-based two-time-scale protocol

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