  We consider a linear dynamical system in which the state vector consists of
both public and private states. One or more sensors make measurements of the
state vector and sends information to a fusion center, which performs the final
state estimation. To achieve an optimal tradeoff between the utility of
estimating the public states and protection of the private states, the
measurements at each time step are linearly compressed into a lower dimensional
space. Under the centralized setting where all measurements are collected by a
single sensor, we propose an optimization problem and an algorithm to find the
best compression matrix. Under the decentralized setting where measurements are
made separately at multiple sensors, each sensor optimizes its own local
compression matrix. We propose methods to separate the overall optimization
problem into multiple sub-problems that can be solved locally at each sensor.
We consider the cases where there is no message exchange between the sensors;
and where each sensor takes turns to transmit messages to the other sensors.
Simulations and empirical experiments demonstrate the efficiency of our
proposed approach in allowing the fusion center to estimate the public states
with good accuracy while preventing it from estimating the private states
accurately.
