Multi-Sensor Linear State Estimation Under High Rate Quantization

In this paper we consider state estimation of a discrete time linear system using multiple sensors, where the sensors quantize their individual innovations, which are then combined at the fusion center to form a global state estimate. We obtain an asymptotic approximation for the error covariance matrix that relates the system parameters and quantization levels used by the different sensors. Numerical results show close agreement with the true error covariance for quantization at high rates. An optimal rate allocation problem amongst the different sensors is also considered.