Bayesian Fusion of Data Partitioned Particle Estimates

Abstract

We present a Bayesian data fusion method to approximate a posterior distribution from an ensemble of particle estimates that only have access to subsets of the data. Our approach relies on approximate probabilistic inference of model parameters through Monte Carlo methods, followed by an update and resample scheme related to multiple importance sampling to combine information from the initial estimates. We show the method is convergent in the particle limit and directly suited to application on multi-sensor data fusion problems by demonstrating efficacy on a multi-sensor Keplerian orbit determination problem and a bearings-only tracking problem.