Distributed Robust Fusion Estimation With Application to State Monitoring Systems

This paper studies the distributed robust fusion estimation problem with stochastic and deterministic parameter uncertainties, where the covariance of the Gaussian white noise is unknown, and the covariances of the random variables in the stochastic uncertainties are in a bounded set. By using the discrete-time stochastic bounded real lemma and the matrix analysis approach, each local robust estimator is derived to guarantee an optimal estimation performance for admissible uncertainties, and then necessary and sufficient condition for the distributed robust fusion estimator is presented to obtain an optimal weighting fusion criterion. Note that the local robust estimation problem and the distributed robust fusion estimation problem are both converted into convex optimization problems, which can be easily solved by standard software packages. The advantage and effectiveness of the proposed methods are demonstrated through state monitoring for target tracking system and stirred rank reactor system.