Stability Analysis of an Approximate Scheme for Moving Horizon Estimation

TitleStability Analysis of an Approximate Scheme for Moving Horizon Estimation
Publication TypeJournal Article
Year of Publication2009
AuthorsZavala, VM
JournalComput. Chem. Eng.
Volume34
Issue10
Pagination1662-1670
Date Published12/2009
Other NumbersANL/MCS-P1644-0609
Abstract

We analyze the stability properties of an approximate algorithm for moving horizon estimation (MHE). The strategy provides instantaneous state estimates and is thus suitable for large-scale feedback control. In particular, we study the interplay between numerical approximation errors and the convergence of the estimator error. In addition, we establish connections between the numerical properties of the Hessian of the MHE problem and traditional observability definitions. We demonstrate the developments through a simulation case study.

PDFhttp://www.mcs.anl.gov/papers/P1644-revised.pdf