Distributed fusion filter for time-delay systems with colored measurement noise

Based on the optimal weighted fusion estimation algorithm in the linear minimum variance sense, a distributed information fusion state filter is given for a multi-sensor multi-delay system with colored measurement noise. The filtering error cross-covariance matrix between any two sensor subsystems for the multiple time-delay system is derived. The proposed distributed fusion filter has higher accuracy than any local filter. It has better reliability than the centralized optimal filter by augmentation. An example shows its effectiveness.