Gossip and Distributed Kalman Filtering: Weak Consensus under Weak Detectability

The paper presents the gossip interactive Kalman filter (GIKF) for distributed Kalman filtering for networked systems and sensor networks, where inter-sensor communication and observations occur at the same time-scale. The communication among sensors is random; each sensor occasionally exchanges its filtering state information with a neighbor depending on the availability of the appropriate network link. We show that under a weak distributed detectability condition: 1. the GIKF error process remains stochastically bounded, irrespective of the instability properties of the random process dynamics; and 2. the network achieves \emph{weak consensus}, i.e., the conditional estimation error covariance at a (uniformly) randomly selected sensor converges in distribution to a unique invariant measure on the space of positive semi-definite matrices (independent of the initial state.) To prove these results, we interpret the filtered states (estimates and error covariances) at each node in the GIKF as stochastic particles with local interactions. We analyze the asymptotic properties of the error process by studying as a random dynamical system the associated switched (random) Riccati equation, the switching being dictated by a non-stationary Markov chain on the network graph.Comment: Submitted to the IEEE Transactions, 30 pages

Improved Distributed Estimation Method for Environmental\ud time-variant Physical variables in Static Sensor Networks

In this paper, an improved distributed estimation scheme for static sensor networks is developed. The scheme is developed for environmental time-variant physical variables. The main contribution of this work is that the algorithm in [1]-[3] has been extended, and a filter has been designed with weights, such that the variance of the estimation errors is minimized, thereby improving the filter design considerably\ud and characterizing the performance limit of the filter, and thereby tracking a time-varying signal. Moreover, certain parameter optimization is alleviated with the application of a particular finite impulse response (FIR) filter. Simulation results are showing the effectiveness of the developed estimation algorithm

Belief Consensus Algorithms for Fast Distributed Target Tracking in Wireless Sensor Networks

In distributed target tracking for wireless sensor networks, agreement on the target state can be achieved by the construction and maintenance of a communication path, in order to exchange information regarding local likelihood functions. Such an approach lacks robustness to failures and is not easily applicable to ad-hoc networks. To address this, several methods have been proposed that allow agreement on the global likelihood through fully distributed belief consensus (BC) algorithms, operating on local likelihoods in distributed particle filtering (DPF). However, a unified comparison of the convergence speed and communication cost has not been performed. In this paper, we provide such a comparison and propose a novel BC algorithm based on belief propagation (BP). According to our study, DPF based on metropolis belief consensus (MBC) is the fastest in loopy graphs, while DPF based on BP consensus is the fastest in tree graphs. Moreover, we found that BC-based DPF methods have lower communication overhead than data flooding when the network is sufficiently sparse

On the genericity properties in networked estimation: Topology design and sensor placement

In this paper, we consider networked estimation of linear, discrete-time dynamical systems monitored by a network of agents. In order to minimize the power requirement at the (possibly, battery-operated) agents, we require that the agents can exchange information with their neighbors only \emph{once per dynamical system time-step}; in contrast to consensus-based estimation where the agents exchange information until they reach a consensus. It can be verified that with this restriction on information exchange, measurement fusion alone results in an unbounded estimation error at every such agent that does not have an observable set of measurements in its neighborhood. To over come this challenge, state-estimate fusion has been proposed to recover the system observability. However, we show that adding state-estimate fusion may not recover observability when the system matrix is structured-rank ($S$-rank) deficient. In this context, we characterize the state-estimate fusion and measurement fusion under both full $S$-rank and $S$-rank deficient system matrices.Comment: submitted for IEEE journal publicatio

Distributed Kalman Filters over Wireless Sensor Networks: Data Fusion, Consensus, and Time-Varying Topologies

Kalman filtering is a widely used recursive algorithm for optimal state estimation of linear stochastic dynamic systems. The recent advances of wireless sensor networks (WSNs) provide the technology to monitor and control physical processes with a high degree of temporal and spatial granularity. Several important problems concerning Kalman filtering over WSNs are addressed in this dissertation. First we study data fusion Kalman filtering for discrete-time linear time-invariant (LTI) systems over WSNs, assuming the existence of a data fusion center that receives observations from distributed sensor nodes and estimates the state of the target system in the presence of data packet drops. We focus on the single sensor node case and show that the critical data arrival rate of the Bernoulli channel can be computed by solving a simple linear matrix inequality problem. Then a more general scenario is considered where multiple sensor nodes are employed. We derive the stationary Kalman filter that minimizes the average error variance under a TCP-like protocol. The stability margin is adopted to tackle the stability issue. Second we study distributed Kalman filtering for LTI systems over WSNs, where each sensor node is required to locally estimate the state in a collaborative manner with its neighbors in the presence of data packet drops. The stationary distributed Kalman filter (DKF) that minimizes the local average error variance is derived. Building on the stationary DKF, we propose Kalman consensus filter for the consensus of different local estimates. The upper bound for the consensus coefficient is computed to ensure the mean square stability of the error dynamics. Finally we focus on time-varying topology. The solution to state consensus control for discrete-time homogeneous multi-agent systems over deterministic time-varying feedback topology is provided, generalizing the existing results. Then we study distributed state estimation over WSNs with time-varying communication topology. Under the uniform observability, each sensor node can closely track the dynamic state by using only its own observation, plus information exchanged with its neighbors, and carrying out local computation