Distributed Noise Covariance Matrices Estimation in Sensor Networks

Abstract: Adaptive algorithms based on in-network processing over networks are useful for online parameter estimation of historical data (e.g., noise covariance) in predictive control and machine learning areas. This paper focuses on the distributed noise covariance matrices estimation problem for multi-sensor linear time-invariant (LTI) systems. Conventional noise covariance estimation approaches, e.g., auto-covariance least squares (ALS) method, suffers from the lack of the sensor's historical measurements and thus produces high variance of the ALS estimate. To solve the problem, we propose the distributed auto-covariance least squares (D-ALS) algorithm based on the batch covariance intersection (BCI) method by enlarging the innovations from the neighbors. The accuracy analysis of D-ALS algorithm is given to show the decrease of the variance of the D-ALS estimate. The numerical results of cooperative target tracking tasks in static and mobile sensor networks are demonstrated to show the feasibility and superiority of the proposed D-ALS algorithm.