On w-Optimization of the Split Covariance Intersection Filter

Abstract: The split covariance intersection filter (split CIF) is a useful tool for general data fusion and has the potential to be applied in a variety of engineering tasks. An indispensable optimization step (referred to as w-optimization) involved in the split CIF concerns the performance and implementation efficiency of the Split CIF, but explanation on w-optimization is neglected in the paper [1] that provides a theoretical foundation for the Split CIF. This note complements [1] by providing a theoretical proof for the convexity of the w-optimization problem involved in the split CIF (convexity is always a desired property for optimization problems as it facilitates optimization considerably).