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Kalman filter update with multiple measurements
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Edward Jensen
Nov 30, 2009, 1:21:47 PM11/30/09
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Hi.
I have a system which I track using a Kalman filter. In the update step I,
however, have multiple measurements from different sensors available with
their respective covariances. Any input on how to take advantage of this in
a Kalman filter?
Thanks in advance.
Tim Wescott
Nov 30, 2009, 2:05:08 PM11/30/09
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If this is the usual Kalman construction and you just follow the normal
recipe for it, you should "automatically" get the right weighting for
your various sensors -- even if you have redundant sensors each with a
different linear combination of the the variables you're measuring.
Tim Wescott
Nov 30, 2009, 2:39:18 PM11/30/09
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