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Stability of Constrained Moving Horizon Estimation Schemes

Author(s):

M. Tyler, M. Morari
Conference/Journal:

vol. AUT96-18
Abstract:

The stability properties of a Moving Horizon Estimation scheme are investigated. For the unconstrained case, stability is guaranteed by properly choosing an initial error weighting matrix, or by properly weighting the final error. For the constrained case, feasibility at each step can be guaranteed by expanding the constraints to include the future trajectory. Stability in the constrained case with the expanded constraint set and a modified objective is proven. Examples are used to demonstrate the improved stability properties of the modified algorithm, as well as to shown how constraints can improve estimation of unknown faults and disturbances.

Year:

1995
Type of Publication:

(04)Technical Report
Supervisor:



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% Autogenerated BibTeX entry
@TechReport { TylMor:1995:IFA_1479,
    author={M. Tyler and M. Morari},
    title={{Stability of Constrained Moving Horizon Estimation Schemes}},
    institution={},
    year={1995},
    number={},
    address={},
    url={http://control.ee.ethz.ch/index.cgi?page=publications;action=details;id=1479}
}
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