XXooptRobotics

Static 1D Fusion: Optimal Inverse-Variance Weighting and Fused Variance

hardnumerical

General

Two independent, unbiased sensors each measure the same constant scalar quantity (e.g., the distance to a wall). Sensor A reports zA=10.0z_A = 10.0 with variance σA2=4.0 m2\sigma_A^2 = 4.0\ \mathrm{m}^2. Sensor B reports zB=11.0z_B = 11.0 with variance σB2=1.0 m2\sigma_B^2 = 1.0\ \mathrm{m}^2. Using the optimal (minimum-variance / maximum-likelihood, inverse-variance-weighted) static fusion of two independent Gaussian estimates, compute the variance of the fused estimate. Give the answer in m2\mathrm{m}^2.

For reference, the fused mean is z^=σB2zA+σA2zBσA2+σB2\hat{z} = \dfrac{\sigma_B^2\,z_A + \sigma_A^2\,z_B}{\sigma_A^2 + \sigma_B^2} and the fused variance satisfies 1σ2=1σA2+1σB2\dfrac{1}{\sigma^2} = \dfrac{1}{\sigma_A^2} + \dfrac{1}{\sigma_B^2}.

m^2