Diffusion Strategies for Distributed Kalman Filtering and Smoothing

We study the problem of distributed Kalman filtering and smoothing, where a set of nodes is required to estimate the state of a linear dynamic system from in a collaborative manner. Our focus is on diffusion strategies, where nodes communicate with their direct neighbors only, and the information is diffused across the network through a sequence of Kalman iterations and data-aggregation. We study the problems of Kalman filtering, fixed-lag smoothing and fixed-point smoothing, and propose diffusion algorithms to solve each one of these problems. We analyze the mean and mean-square performance of the proposed algorithms, provide expressions for their steady-state mean-square performance, and analyze the…