A Unified Family-optimal Solution to Covariance Intersection Problems with Semidefinite Programming
The paper introduces Overlapping Covariance Intersection (OCI), a unified framework to solve various covariance intersection problems by minimizing uncertainty bounds. It defines a family of admissible cross-correlation matrices P and uses a Kahan family of bounding ellipsoids to create an efficient optimization problem. This leads to the Kahan-family-optimal solution, which characterizes solutions for standard CI and SCI problems via Semidefinite Programming (SDP).