A study on recursive algorithm of moving horizon estimation

A recursive algorithm of moving horizon estimation (MHE) with the convergence property is presented in this paper. In this work, we formulate the state estimation problem as a quadratic program problem with fixed-size estimation window and a recursive formula for prior state estimation and covarianc...

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Bibliographic Details
Published inProceedings of 2003 IEEE Conference on Control Applications, 2003. CCA 2003 Vol. 2; pp. 972 - 976 vol.2
Main Authors Zhao Wang, Zhiyuan Liu Xiguang Ban, Run Pei
Format Conference Proceeding
LanguageEnglish
Published IEEE 2003
Subjects
Constraint optimization
Convergence
Costs
Covariance matrix
Noise measurement
Predictive control
Predictive models
Q measurement
Recursive estimation
State estimation
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Summary:A recursive algorithm of moving horizon estimation (MHE) with the convergence property is presented in this paper. In this work, we formulate the state estimation problem as a quadratic program problem with fixed-size estimation window and a recursive formula for prior state estimation and covariance matrix is established. The proposed algorithm can improve the performance of MHE and offers advantages over other algorithm of MHE and Kalman filter.
ISBN:078037729X
9780780377295
DOI:10.1109/CCA.2003.1223142