A Study on Robust Estimation via Moving Horizon Strategy

This paper investigates a robust moving horizon estimation method for the constrained system with uncertain model. In the framework of moving horizon strategy, we formulated the robust estimation problem as a min-max problem subject to system dynamics and constraints on states and disturbances. In this paper an algorithm of the robust moving horizon estimation is developed and a recursive covariance matrix algorithm is presented. Moreover, for the unconstrained system, the algorithm stability is discussed. Simulation results show that the robust moving horizon estimation proposed in this paper is effective for constrained linear systems with uncertain model.