Consensus optimization approach for distributed Kalman filtering: performance recovery of centralized filtering with proofs

Abstract: This paper investigates the distributed Kalman filtering (DKF) from distributed optimization viewpoint. Motivated by the fact that Kalman filtering is a maximum a posteriori estimation (MAP) problem, which is a quadratic optimization problem, we reformulate DKF problem as a consensus optimization problem, resulting in that it can be solved by many existing distributed optimization algorithms. A new DKF algorithm employing the dual ascent method is proposed, and its stability is proved under mild assumptions. The performance of the proposed algorithm is evaluated through numerical experiments.