期刊
IEEE TRANSACTIONS ON AUTOMATIC CONTROL
卷 59, 期 8, 页码 2215-2221出版社
IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
DOI: 10.1109/TAC.2014.2298984
关键词
Moving horizon estimation (MHE)
资金
- Research Council KUL via the Optimization in Engineering Center OPTEC [CoE EF/05/006, PFV/10/002]
- IOF-SCORES4CHEM
- FWO [G0226.06, G0321.06, G.0302.07, G.0320.08, G.0558.08, G.0557.08, G.0588.09, G.0377.09]
- ICCoS
- ANMMM
- MLDM
- IWT
- Belgian Federal Science Policy Office [IUAP P6/04]
- IBBT
- viCERP
- ACCM
- EU [ICT-248940, INFSO-ICT-223854]
- ERNSI
- COST intelliCIS
- FP7-SADCO [MC ITN-264735]
- ERC project HIGHWIND [259 166]
- [GOA/11/05 Ambiorics]
- [GOA/10/09 MaNet]
In this note, conditions are proven under which a real-time implementable moving horizon estimation (MHE) scheme is locally convergent. Specifically, the real-time iteration scheme of [17] is studied in which a single Gauss-Newton iteration is applied to approximate the solution to the respective MHE optimization problem at each time-step. Convergence is illustrated by a challenging small scale example, the Lorenz attractor with an unknown parameter. It is shown that the performance of the proposed real-time MHE algorithm is nearly identical to a fully converged MHE solution, while its fixed execution time per sample would allow one to solve 30 000 MHE problems per second on current hardware.
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