Robust integrated covariance intersection fusion Kalman estimators for networked mixed uncertain time-varying systems

For the multisensor time-varying networked mixed uncertain systems with random one-step sensor delays and uncertain-variance multiplicative and linearly dependent additive white noises, a new augmented state method with fictitious noises is presented, by which the original system is transformed into a standard system without delays and with uncertain-variance fictitious white noises. According to the minimax robust estimation principle and the Kalman filtering theory, based on the worst-case system with the conservative upper bounds of uncertain noise variances, the local and integrated covariance intersection (ICI) fused robust time-varying Kalman estimators (filter, predictor and smoother) are presented respectively in the sense that their actual estimation error variances are guaranteed to have the corresponding minimal upper bounds for all admissible uncertainties. Their robustness is proved by the extended Lyapunov equation method, and their accuracy relations are compared based on the traces of the variance matrices and the covariance ellipsoids, respectively. Specially, a universal ICI fusion robust Kalman filtering method of integrating the local robust estimators and their conservative cross-covariances is presented. It overcomes the drawbacks of the original covariance intersection (CI) fusion method and improves robust accuracy of the original CI fuser. A simulation example applied to two-mass spring system shows the effectiveness of the proposed methods and results.