Research on ellipsoidal intersection fusion method with unknown correlation

This paper reviews the advantages and shortages of the covariance intersection (CI) and ellipsoidal intersection (EI) methods for decentralized state fusion with unknown correlation, and makes some progress on both of them. New results are: a). For CI method, the convexity property is proved for the two classical cost functions (i.e., trace and natural logarithm of determinant of the fused covariance), and a simple form of the optimization conditions is derived for the latter one. Furthermore, a fast 2-sensor CI algorithm is proposed by expressing the cost function in scalar form. b). For the 2-sensor EI algorithm which minimized the natural logarithm of determinant of the mutual covariance, a new proof for its optimality is presented, which partly makes up the gap in [17]. Simulation results show the efficiency for both the 2-sensor CI and EI algorithms.