Control accuracy and stability control algorithm generalized state space model based predictive output depends on the prediction accuracy of the system. If a single sensor system, can only get part of the information, when the sensor is subjected to interference or failure, it will seriously affect the accuracy of the estimation system and even cause paralysis; therefore, many modern, high-level, complex systems require the use of multiple sensors to compensate for the lack of a single sensor system. <br>Application of Kalman filtering method, based on the Riccati equation, for a system with correlated noises, under minimum variance linear fusion criterion proposed two weighting matrix sensor information fusion k - step ahead predictor steady state optimal Kalman, gives the optimal weights array specific formula and the minimum prediction error covariance matrix of the fusion. With the single sensor case, can improve the accuracy of the predictor. A simulation example for a tracking system shows its effectiveness.
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