An efficient algorithm for optimal linear estimation fusion in distributed multisensor systems

Under the assumption of independent observation noises across sensors, Bar-Shalom and Campo proposed a distributed fusion formula for two-sensor systems, whose main calculation is the inverse of submatrices of the error covariance of two local estimates instead of the inverse of the error covariance itself. However, the corresponding simple estimation fusion formula is absent in a general distributed multisensor system. In this paper, an efficient iterative algorithm for distributed multisensor estimation fusion without any restrictive assumption on the noise covariance (i.e., the assumption of independent observation noises across sensors and the two-sensor system, and the direct computation of the Moore-Penrose generalized inverse of the joint error covariance of local estimates are not necessary) is presented. At each iteration, only the inverse or generalized inverse of a matrix having the same dimension as the error covariance of a single-sensor estimate is required. In fact, the proposed algorithm is a generalization of Bar-Shalom and Campo's fusion formula and reduces the computational complexity significantly since the number of iterative steps is less than the number of sensors. An example of a three-sensor system shows how to implement the specific iterative steps and reduce the computational complexities