Distributed Fusion Filter for Multi-sensor Multi-delay Systems with Colored Measurement Noises

Based on the innovation analysis approach,a non-augmented optimal filter with a white noise estimator is presented for a multiple time-delay system with colored measurement noise.It is equivalent to the first-step predictor for a multiple time-delay system with correlated white noise.When the system contains multiple sensors,the estimation error cross-covariance matrix between any two sensor subsystems is derived for the multiple time-delay system.A distributed weighted fusion optimal filter is given based on the optimal weighted fusion estimation algorithm in the linear minimum variance sense.The distributed fusion filter has a higher accuracy than the local filter based on each sensor.It has better reliability than the centralized optimal filter by augmentation,and avoids the high-dimensional computation and the large space memory.An example shows its effectiveness.