Self-tuning measurement fusion white noise deconvolution estimator and its convergence analysis

For the multisensor linear discrete time-invariant stochastic systems with correlated measurement noises and unknown noise statistics, an on-line noise statistics estimator is presented using the correlation method. By the weighted least square (WLS) method, a measurement fusion system is obtained. Using the Kalman filtering method, based on the Riccati equation, a self-tuning weighted measurement fusion white noise deconvolution estimator is presented. It is proved that the self-tuning fusion white noise deconvolution estimator converges to the optimal fusion steady-state white noise deconvolution estimator in a realization by the dynamic error system analysis (DESA) method, so that it has the asymptotic global optimality. A simulation example for a 3-sensor system with Bernoulli-Gaussian input white noise shows its effectiveness.