Distributed outer approximation of the intersection of ellipsoids

Abstract: The outer Lowner-John method is widely used in sensor fusion applications to find the smallest ellipsoid that can approximate the intersection of a set of ellipsoids, described by positive definite covariance matrices modeling the quality of each sensor. We propose a distributed algorithm to solve this problem when these matrices are defined over the network's nodes. This is of particular significance as it is the first decentralized algorithm capable of computing the covariance intersection ellipsoid by combining information from the entire network using only local interactions. The solution is based on a reformulation of the centralized problem, leading to a local protocol based on exact dynamic consensus tools. After reaching consensus, the protocol converges to an outer Lowner-John ellipsoid in finite time, and to the global optimum asymptotically. Formal convergence analysis and numerical experiments are provided to validate the proposal's advantages.