Sequential Covariance Intersection Fusion Robust Time-Varying Kalman Filters with Uncertainties of Noise Variances for Advanced Manufacturing.

This paper addresses the robust Kalman filtering problem for multisensor time-varying systems with uncertainties of noise variances. Using the minimax robust estimation principle, based on the worst-case conservative system with the conservative upper bounds of noise variances, the robust local time-varying Kalman filters are presented. Further, the batch covariance intersection (BCI) fusion and a fast sequential covariance intersection (SCI) fusion robust time-varying Kalman filters are presented. They have the robustness that the actual filtering error variances or their traces are guaranteed to have a minimal upper bound for all admissible uncertainties of noise variances. Their robustness is proved based on the proposed Lyapunov equations approach. The concepts of the robust and actual accuracies are presented, and the robust accuracy relations are proved. It is also proved that the robust accuracies of the BCI and SCI fusers are higher than that of each local Kalman filter, the robust accuracy of the BCI fuser is higher than that of the SCI fuser, and the actual accuracies of each robust Kalman filter are higher than its robust accuracy for all admissible uncertainties of noise variances. The corresponding steady-state robust local and fused Kalman filters are also presented for multisensor time-invariant systems, and the convergence in a realization between the local and fused time-varying and steady-state Kalman filters is proved by the dynamic error system analysis (DESA) method and dynamic variance error system analysis (DVESA) method. A simulation example is given to verify the robustness and the correctness of the robust accuracy relations.