Journal
AUTOMATICA
Volume 44, Issue 7, Pages 1753-1765Publisher
PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/j.automatica.2007.11.020
Keywords
state estimation; moving horizon; discrete-time nonlinear systems; approximate solution
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A moving-horizon state estimation problem is addressed for a class of nonlinear discrete-time systems with bounded noises acting on the system and measurement equations. As the statistics of such disturbances and of the initial state are assumed to be unknown, we use a generalized least-squares approach that consists in minimizing a quadratic estimation cost function defined on a recent batch of inputs and outputs according to a sliding-window strategy. For the resulting estimator, the existence of bounding sequences on the estimation error is proved. In the absence of noises, exponential convergence to zero is obtained. Moreover, suboptimal solutions are sought for which a certain error is admitted with respect to the optimal cost value. The approximate solution can be determined either on-line by directly minimizing the cost function or off-line by using a nonlinear parameterized function. Simulation results are presented to show the effectiveness of the proposed approach in comparison with the extended Kalman filter. (c) 2008 Elsevier Ltd. All rights reserved.
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