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For multi-model multisensor systems with both the uncertain-variance multiplicative and linearly correlated additive white noises, a universal fictitious noise-based Lyapunov equation approach is presented, by which the original system can be converted into one with only uncertain additive noise variances, and then the local and four weighted fused minimax robust time-varying Kalman estimators (predictor,...
This paper addresses the design of robust weighted fusion Kalman filters for multisensor time-varying systems with uncertainties of noise variances. Using the minimax robust estimation principle and the unbiased linear minimum variance (ULMV) optimal estimation rule, the five robust weighted fusion time-varying Kalman filters are presented based on the worst-case conservative systems with the conservative...
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