Robust Moving Horizon Estimation for Constrained Linear System with Uncertainties

This paper presents a tractable robust moving horizon estimation (MHE) scheme, where the to be on-line solved optimization problem is relaxed to a minimization problem with an guaranteed bound for any allowed uncertainty. This proposed approach can make use of the additional knowledge of constraints on states and disturbances to achieve an improvement in the estimation performance. Simulation results show that the robust MHE is effective for constrained linear systems with uncertain model.