The control accuracy and stability of GPC algorithm based on state space model depend on the output prediction accuracy of the system. If it is a single sensor system, only part of the information can be obtained. When the sensor is disturbed or fails, it will seriously affect the estimation accuracy and even cause system paralysis. Therefore, many modern, advanced and complex systems need to Multiple sensors are used to make up for a single sensor system.<br>Based on Riccati equation and Kalman filtering method, for the system with correlated noise, under the linear minimum variance fusion criterion, a k-step steady-state optimal Kalman predictor with two sensors fused by matrix weighting information is proposed, and the specific calculation formulas of the optimal weighting matrix and the minimum fusion prediction error variance matrix are given. Compared with the case of single sensor, the accuracy of the predictor can be improved. A simulation example of tracking system shows its effectiveness.<br>
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