Patent US 6,092,033

A method and apparatus are described for fusing a plurality of signals, corresponding to mean and covariance estimates, into a single signal when the given signal estimates are correlated to an unknown degree. The core components of the method and apparatus are (1) capability to express the means and covariances of the set of signals in inverse form in a common coordinate frame and (2) capability to form a signal determined by a convex combination of the means and covariances, so expressed. The set of estimates to be fused may comprise previously fused estimates as well as measurements of a physical system. The signal derived from the fused result can be transmitted and used to physically respond to the measured state of the system of interest.