【摘 要】
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In this paper, distributed Kalman filter design is studied for linear dynamics with unknown measurement noise variance, which modeled by Wishart distribution. T
【机 构】
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Rocket Force University of Engineering, Xi’an Shannxi 710025, China;Department of Mathematics, Royal
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In this paper, distributed Kalman filter design is studied for linear dynamics with unknown measurement noise variance, which modeled by Wishart distribution. To solve the problem in a multi-agent network, a distributed adaptive Kalman filter is proposed with the help of variational Bayesian, where the posterior distribution of joint state and noise variance is approximated by a free-form distribution. The convergence of the proposed algorithm is proved in two main steps:noise statistics is estimated, where each agent only use its local information in variational Bayesian expectation (VB-E) step, and state is estimated by a consensus algorithm in variational Bayesian maximum (VB-M) step. Finally, a distributed target tracking problem is investigated with simulations for illustration.
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