Split Covariance Intersection with Correlated Components for Distributed Estimation

This paper introduces a new conservative fusion method to exploit the correlated components within the estimation errors. Fusion is the process of combining multiple estimates of a given state to produce a new estimate with a smaller MSE. To perform the optimal linear fusion, the (centralized) covariance associated with the errors of all estimates is required. If it is partially unknown, the optimal fusion cannot be computed. Instead, a solution is to perform a conservative fusion. A conservative fusion provides a gain and a bound on the resulting MSE matrix which guarantees that the error is not underestimated. A well-known conservative fusion is the Covariance Intersection fusion. It has been modified to exploit the uncorrelated components within the errors. In this paper, it is further extended to exploit the correlated components as well. The resulting fusion is integrated into standard distributed algorithms where it allows exploiting the process noise observed by all agents. The improvement is confirmed by simulations.