Covariance intersection for continuous Kalman filters

Abstract

The Kalman filter is a recursive algorithm that estimates the state of a dynamic system subject to measurement and model noise. If all noise terms affecting the system are white Gaussian noise with known mean and variance, and all noise terms are independent of each other, then the Kalman filter is the optimal estimator for the state variable. When measurements are collected from multiple sources, the covariance between these sources should be known or the sources should be independent to ensure that the estimate made by the Kalman filter is optimal. When the covariance between dependent measurement sources is not known, various methods exist which provide a solution to this problem. This thesis discusses two methods: the H∞ filter and covariance intersection...