Moving horizon estimation on a chip

Second order Quadratic Programming (QP) solvers such as interior-point method (IPM) require the solution of a system of linear equations at every iteration and could be a factor limiting the implementation of IPM to miniaturized devices or embedded systems. In contrast, first order QP solvers such as alternating direction method of multipliers (ADMM) does not require the solution of a system of linear equations. Thus first order QP solver is cheaper and easier to be implemented in embedded systems such as FPGA which has limited hardware resources. In this paper an FPGA implementation of ADMM which solves QP problems arising from Moving Horizon Estimation is proposed to demonstrate the "MHE on a Chip" idea. Our design has been implemented in both fixed-point and floating point arithmetic on the Xilinx Zynq-7000 XC7Z020-1CLG484C AP SoC and clocks at 50 MHz.