  The split covariance intersection filter (split CIF) is a useful tool for
general data fusion and has the potential to be applied in a variety of
engineering tasks. An indispensable optimization step (referred to as
w-optimization) involved in the split CIF concerns the performance and
implementation efficiency of the Split CIF, but explanation on w-optimization
is neglected in the paper [1] that provides a theoretical foundation for the
Split CIF. This note complements [1] by providing a theoretical proof for the
convexity of the w-optimization problem involved in the split CIF (convexity is
always a desired property for optimization problems as it facilitates
optimization considerably).
