Sensor fusioning with Kalman filter
I'm interested, how is the dual input in a sensor fusioning setup in a Kalman filter modeled?
Say for instance that you have an accelerometer and a gyro and want to present the "horizon level", like in an airplane, a good demo of something like this here.
How do you actually harvest the two sensors positive properties and minimize the negative?
Is this modeled in the Observation Model matrix (usually symbolized by capital H)?
Remark: This question was also asked without any answers at math.stackexchange.com
Answer
Usually, the sensor fusion problem is derived from the bayes theorem. Actually you have that your estimate (in this case the horizon level) will be a weighted sum of your sensors, which is caracterized by the sensor model. For dual sensors, you have two common choices: Model a two sensor system and derive the kalman gain for each sensor (using the system model as the predictor), or run two correction stages using different observation models. You should take a look at Bayesian Predictors (a little more general than Kalman Filter) which is precisely derived from minimizing the variance of an estimate, given two different information sources. If you have a weighted sum, and minimize the variance of the sum, for two sensors, then you get the Kalman Gain.
The properties of the sensor can be "seen" in two parts of the filter. First, you have the error matrix for your observations. This is the matrix that represents the noise in the sensors observation (it is assumed to be zero mean gaussian noise, which isn't a too big assumption, given that during calibration, you can achieve a zero mean noise).
The other important matrix is the observation covariance matrix. This matrix gives you an insight about how good is the sensor at giving you information (information meaning something "new" and not dependent on the other sensors reading).
About "harvesting the good characteristics", what you should do is do a good calibration and noise characterization (is that spelled ok?) of the sensors. The best way to get a Kalman Filter to converge is to have a good noise model for your sensors, and that is 100% experimental. Try to determine the variance for your system (dont always trust datasheets).
Hope that helps a bit.