Multi-sensor Optimal Robust Information Fusion for Uncertain Systems with Colored Noises

A problem of multi-sensor robust information fusion for uncertain systems with colored noises is investigated. A new multi-sensor optimal information fusion steady-state robust filter weighted by Matrix and scalars with uncertain parameters is given using robust filter theory based on linear least variance information fusion criterion. Compared with existing filter, the proposed robust steady-state filter considers the perturbation factor in the solution to the weighting matrices, the optimal parameter and the filter. Simulation example shows the effectiveness of the proposed method.