Distributed Kalman-Bucy Filter With Embedded Dynamic Averaging Algorithm

This paper focuses on distributed estimation using networked sensor agents with local measurements and local communication. A distributed Kalman-Bucy filter implementation is proposed and analyzed for the general case of continuous-time linear time-varying systems as compared to linear time-invariant systems. The sensor agents employ a distributed average tracking algorithm and its extension that accounts for bounded noise to estimate the averages of certain time-varying signals by communicating with their local neighbors in the network. Such estimates are then used to recover certain information in the implementation of the distributed Kalman-Bucy filter. It is shown that using the proposed distributed filter, in the absence of measurement noise, the distributed local estimates approach the centralized filter's estimate asymptotically. In the presence of bounded measurement noise, the distributed local estimates asymptotically approach the centralized filter's estimate within some bound. Simulation results illustrate the good performance of the distributed filter.