Large-scale distributed Kalman filtering via an optimization approach
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Publication:6285366
arXiv1704.03125MaRDI QIDQ6285366FDOQ6285366
Mathias Hudoba de Badyn, Mehran Mesbahi
Publication date: 10 April 2017
Abstract: Large-scale distributed systems such as sensor networks, often need to achieve filtering and consensus on an estimated parameter from high-dimensional measurements. Running a Kalman filter on every node in such a network is computationally intensive; in particular the matrix inversion in the Kalman gain update step is expensive. In this paper, we extend previous results in distributed Kalman filtering and large-scale machine learning to propose a gradient descent step for updating an estimate of the error covariance matrix; this is then embedded and analyzed in the context of distributed Kalman filtering. We provide properties of the resulting filters, in addition to a number of applications throughout the paper.
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