A simple suboptimal moving horizon estimation scheme with guaranteed robust stability
Systems and Control
2022-07-18 v2 Systems and Control
Abstract
We propose a suboptimal moving horizon estimation (MHE) scheme for a general class of nonlinear systems. To this end, we consider an MHE formulation that optimizes over the trajectory of a robustly stable observer. Assuming that the observer admits a Lyapunov function, we show that this function is an M-step Lyapunov function for suboptimal MHE. The presented sufficient conditions can be easily verified in practice. We illustrate the practicability of the proposed suboptimal MHE scheme with a standard nonlinear benchmark example. Here, performing a single iteration is sufficient to significantly improve the observer's estimation results under valid theoretical guarantees.
Keywords
Cite
@article{arxiv.2203.16090,
title = {A simple suboptimal moving horizon estimation scheme with guaranteed robust stability},
author = {Julian D. Schiller and Boyang Wu and Matthias A. Müller},
journal= {arXiv preprint arXiv:2203.16090},
year = {2022}
}