Estimation under unknown correlation: covariance intersection revisited
- 10 December 2002
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 47 (11), 1879-1882
- https://doi.org/10.1109/tac.2002.804475
Abstract
Addresses the problem of obtaining a consistent estimate (or upper bound) of the covariance matrix when combining two quantities with unknown correlation. The combination is defined linearly with two gains. When the gains are chosen a priori, a family of consistent estimates is presented in the note. The member in this family having minimal trace is said to be "family-optimal." When the gains are to be optimized in order to achieve minimal trace of the family-optimal estimate of the covariance matrix, it is proved that the global optimal solution is actually given by the covariance intersection algorithm, which conducts the search only along a one-dimensional curve in the n-squared-dimensional space of combination gains.Keywords
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