Moving horizon estimation with multirate measurements and correlated noises

Summary This article is concerned with the moving horizon estimation (MHE) problem for a class of linear discrete‐time systems subject to multirate measurements and correlated noises. The sensors of the plant are grouped into two nodes with different sampling periods, which give rise to the multirat...

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Bibliographic Details
Published inInternational journal of robust and nonlinear control Vol. 30; no. 17; pp. 7429 - 7445
Main Authors Zou, Lei, Wang, Zidong, Dong, Hongli, Han, Qing‐Long
Format Journal Article
LanguageEnglish
Published Bognor Regis Wiley Subscription Services, Inc 25.11.2020
Subjects
correlated noises
Correlation analysis
Covariance
Error analysis
Exact solutions
lifting technique
Linear matrix inequalities
Mathematical analysis
moving horizon estimation
multirate measurements
Parameter estimation
periodic system
State estimation
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Summary:Summary This article is concerned with the moving horizon estimation (MHE) problem for a class of linear discrete‐time systems subject to multirate measurements and correlated noises. The sensors of the plant are grouped into two nodes with different sampling periods, which give rise to the multirate measurements. Under the effects of multirate measurements, the underlying system is then described by a periodic system with correlated noises. A MHE strategy is formulated and the corresponding analytical solution of the state estimation is derived by using the “completing the square” technique. Based on the lifting approach, the dynamics of the estimation error covariance is analyzed and the desired estimator parameters are obtained by solving a set of linear matrix inequalities. An illustrative example is given to show the effectiveness of our proposed MHE method.
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content type line 14
ISSN:1049-8923
1099-1239
DOI:10.1002/rnc.5193