Moving Horizon State Estimation of Discrete Time Systems

algorithms Asymptotic Stability batch estimator batch state estimator calculated considered convergence cost function cost-function CTR-¹C derived deterministic discrete time systems disturbances Dynamic Programming eigenvalues estimation error estimation methods example extended Kalman filter Figure filtered estimate finite horizon given GMHE horizon length horizon state estimation initial estimate initial weight input K-function least squares linear MHE linear systems Luenberger Lyapunov function matrix MHE formulation MHE with filtered model predictive control moving horizon estimator MPC formulation MPC problem Muske and Rawlings NMHE nominal asymptotic stable nominal stability nonlinear moving horizon nonlinear program nonlinear systems optimization problem output measurements Peter Klaus possible probabilistic Q-Nk quadratic recursive resulting Riccati equation routine sequence simulation smoothed update solution stability conditions Stability in dependence Theorem toolbox unconstrained MHE University of Wisconsin-Madison update scheme upper bound variables vector ŵj|k xk+1