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Covarience Intersection Assignment Help

Covariance intersection implies an algorithm which is responsible for the combination of two or more estimates of state variables in a Kalman filter.


When lack of knowledge occurs between the noise corrupted signal sources and is basically dependent on cross correlations, then it suffers from information fusion. The Kalman filter acts as an optimal estimator for known Gaussian system and measurement noise in the mean square error known as MSE which is made for the linear dynamic system. When there is a non – Gussian system with known second order exists, then mean square error known as (MSE) acts as an optimal dynamic system. In both situations the estimate of state system is given.

For solving the real world problems, the second system based on second statistics is ignored due to incomplete knowledge about the observed system or reduced filter implementations due to complexity reasons. The examples of significant cross correlations between noise sources are multiple model filtering, simultaneous map building and localization etc.


Let’s consider one problem. There are two pieces of information namely A and B, they are fused together to give the output of the variable C. A and B can be two different sensor measurements. It is also possible that A can be a prediction from a system model and B can be sensor information. The corruption in both the terms can be occurred on the basis of measurement noises and modelling errors therefore their values may not be clear that is why A and B can be said as a and bto be the random variables. The consistency is not possible in C because the cross connection between the variables is unknown and will not be zero in general.

Now let’s see the data fusion.

The network of the data fusion consists of N nodes whose connection topology that can change dynamically. Every node has the information only about its local topology. The disturbed data fusion is the only source of unmodeled correlations since the process and observation noises are independent. CI is the source which is used to develop the distributed fusion algorithm which exploits the structure.


  • Multiple model filtering – Many systems execute behavioursin a very complicated manner which results in difficulty to derive the comprehensive model. If multiple approximate models are available which can capture different behaviour aspects, then they can be combined together to achieve better results.
  • Track – to track data fusion in multiple – target tracking systems –During the dense target environment, when the sensor observations are attempted, then a great confusion takes place that which tracked target has produced which observation. To release this confusion this domain is used.
  • Non – linear filtering – The correlated errors arise in the observation sequence when non linear transformations are applied in the observation sequence. Covariance intersection ensures non-divergent nonlinear filtering if every covariance estimate is conservative.

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