Title :
A study on recursive algorithm of moving horizon estimation
Author :
Zhao Wang ; Run Pei
Author_Institution :
Dept. of Control Sci. & Eng., Harbin Inst. of Technol., China
Abstract :
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.
Keywords :
Kalman filters; convergence of numerical methods; covariance matrices; quadratic programming; recursive estimation; recursive functions; state estimation; Kalman filter; convergence property; covariance matrix; fixed-size estimation window; moving horizon estimation; quadratic program problem; recursive algorithm; state estimation problem; Constraint optimization; Convergence; Costs; Covariance matrix; Noise measurement; Predictive control; Predictive models; Q measurement; Recursive estimation; State estimation;
Conference_Titel :
Control Applications, 2003. CCA 2003. Proceedings of 2003 IEEE Conference on
Print_ISBN :
0-7803-7729-X
DOI :
10.1109/CCA.2003.1223142
