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Mathematical Problems in Engineering
Volume 2013, Article ID 418678, 14 pages
Research Article

Optimal Fusion Filtering in Multisensor Stochastic Systems with Missing Measurements and Correlated Noises

1Departamento de Estadística, Universidad de Jaén, Paraje Las Lagunillas, 23071 Jaén, Spain
2Departamento de Estadística, Universidad de Granada, Avenida Fuentenueva, 18071 Granada, Spain

Received 30 January 2013; Accepted 28 April 2013

Academic Editor: Weihai Zhang

Copyright © 2013 R. Caballero-Águila et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


The optimal least-squares linear estimation problem is addressed for a class of discrete-time multisensor linear stochastic systems with missing measurements and autocorrelated and cross-correlated noises. The stochastic uncertainties in the measurements coming from each sensor (missing measurements) are described by scalar random variables with arbitrary discrete probability distribution over the interval ; hence, at each single sensor the information might be partially missed and the different sensors may have different missing probabilities. The noise correlation assumptions considered are (i) the process noise and all the sensor noises are one-step autocorrelated; (ii) different sensor noises are one-step cross-correlated; and (iii) the process noise and each sensor noise are two-step cross-correlated. Under these assumptions and by an innovation approach, recursive algorithms for the optimal linear filter are derived by using the two basic estimation fusion structures; more specifically, both centralized and distributed fusion estimation algorithms are proposed. The accuracy of these estimators is measured by their error covariance matrices, which allow us to compare their performance in a numerical simulation example that illustrates the feasibility of the proposed filtering algorithms and shows a comparison with other existing filters.