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Weighted measurement fusion white noise deconvolution filter with correlated noise for multisensor stochastic systems. (English) Zbl 1264.93249

Summary: For the multisensor linear discrete time-invariant stochastic control systems with different measurement matrices and correlated noises, the centralized measurement fusion white noise estimators are presented by the linear minimum variance criterion under the condition that noise input matrix is full column rank. They have the expensive computing burden due to the high-dimension extended measurement matrix. To reduce the computing burden, the weighted measurement fusion white noise estimators are presented. It is proved that weighted measurement fusion white noise estimators have the same accuracy as the centralized measurement fusion white noise estimators, so it has global optimality. It can be applied to signal processing in oil seismic exploration. A simulation example for Bernoulli-Gaussian white noise deconvolution filter verifies the effectiveness.

MSC:

93E11 Filtering in stochastic control theory
94A12 Signal theory (characterization, reconstruction, filtering, etc.)
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References:

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