Sensor fusion technology is one of extensive used methods in the field of robot, aerospace and target tracking control. In this paper, the generalized sensor fusion framework, named the closed-loop fusion (CLF) is analyzed and the optimal design principle of filter is proposed in detail. Fusion error optimization problem, which is the core issue of fusion design, is also solved better through the feedback compensation law of CLF framework. Differently from conventional methods, the fusion filter of CLF can be optimally designed and the determination of superposition of fusion information is avoided. To show the validity, simulation and experimental results are to be submitted.