NCS: Moving Horizon Estimation - Revision history

Sandberg: /* Lecture Materials */

2006-05-01T04:52:01Z

Lecture Materials

← Older revision		Revision as of 04:52, 1 May 2006
Line 10:		Line 10:
	<!-- Sample lecture link: * [[Media:L1-1_Intro.pdf\|Lecture: Networked Control Systems: Course Overview]] -->		<!-- Sample lecture link: * [[Media:L1-1_Intro.pdf\|Lecture: Networked Control Systems: Course Overview]] -->
	* [[Media:L4-2_MHE.pdf\|Lecture: Moving Horizon Estimation]]		* [[Media:L4-2_MHE.pdf\|Lecture: Moving Horizon Estimation]]
			* [[Media:Stateestim.pdf\|Lecture notes: State estimation]]

	== Reading ==		== Reading ==

Murray: /* Lecture Materials */

2006-04-20T06:08:55Z

Lecture Materials

← Older revision		Revision as of 06:08, 20 April 2006
Line 9:		Line 9:
	<!-- Include links to materials that you used in your lecture. At a minimum, this should include a link to your lecture presentation. You might also include links to MATLAB scripts or other source code that students would find useful -->		<!-- Include links to materials that you used in your lecture. At a minimum, this should include a link to your lecture presentation. You might also include links to MATLAB scripts or other source code that students would find useful -->
	<!-- Sample lecture link: * [[Media:L1-1_Intro.pdf\|Lecture: Networked Control Systems: Course Overview]] -->		<!-- Sample lecture link: * [[Media:L1-1_Intro.pdf\|Lecture: Networked Control Systems: Course Overview]] -->
	[[Media:L4-2_MHE.pdf\|Lecture: Moving Horizon Estimation]]		* [[Media:L4-2_MHE.pdf\|Lecture: Moving Horizon Estimation]]

	== Reading ==		== Reading ==

Sandberg: /* Additional Resources */

2006-04-20T00:36:32Z

Additional Resources

← Older revision		Revision as of 00:36, 20 April 2006
Line 22:		Line 22:
	<!-- Links to additional information. If there are good sources of additional information for students interested in exploring this topic further, these should go at the bottom of the page. -->		<!-- Links to additional information. If there are good sources of additional information for students interested in exploring this topic further, these should go at the bottom of the page. -->
	* <p>[http://jbrwww.che.wisc.edu/theses/rao.ps Moving Horizon Strategies for the Constrained Monitoring and Control of Nonlinear Discrete-Time Systems] C.V. Rao. Rao's PhD thesis contains a lot of material on MHE. There is also a discussion on MAP estimates.</p>		* <p>[http://jbrwww.che.wisc.edu/theses/rao.ps Moving Horizon Strategies for the Constrained Monitoring and Control of Nonlinear Discrete-Time Systems] C.V. Rao. Rao's PhD thesis contains a lot of material on MHE. There is also a discussion on MAP estimates.</p>
			* <p>[http://www.eng.newcastle.edu.au/eecs/cdsc/books/cce/ Constrained Control and Estimation - An Optimisation Approach], G. C. Goodwin, M. M. Seron, J. A. De Dona. Springer Verlag, 2005. This is a recent book treating constrained control and estimation in a unified framework (including finite horizon optimal control and RHC) using discrete-time formulation. The website has a lot of additional useful and interesting material.</p>

Sandberg: /* Lecture Materials */

2006-04-20T00:35:23Z

Lecture Materials

← Older revision		Revision as of 00:35, 20 April 2006
Line 9:		Line 9:
	<!-- Include links to materials that you used in your lecture. At a minimum, this should include a link to your lecture presentation. You might also include links to MATLAB scripts or other source code that students would find useful -->		<!-- Include links to materials that you used in your lecture. At a minimum, this should include a link to your lecture presentation. You might also include links to MATLAB scripts or other source code that students would find useful -->
	<!-- Sample lecture link: * [[Media:L1-1_Intro.pdf\|Lecture: Networked Control Systems: Course Overview]] -->		<!-- Sample lecture link: * [[Media:L1-1_Intro.pdf\|Lecture: Networked Control Systems: Course Overview]] -->
			[[Media:L4-2_MHE.pdf\|Lecture: Moving Horizon Estimation]]

	== Reading ==		== Reading ==

Sandberg at 18:22, 19 April 2006

2006-04-19T18:22:44Z

← Older revision		Revision as of 18:22, 19 April 2006
Line 21:		Line 21:
	== Additional Resources ==		== Additional Resources ==
	<!-- Links to additional information. If there are good sources of additional information for students interested in exploring this topic further, these should go at the bottom of the page. -->		<!-- Links to additional information. If there are good sources of additional information for students interested in exploring this topic further, these should go at the bottom of the page. -->
			* <p>[http://jbrwww.che.wisc.edu/theses/rao.ps Moving Horizon Strategies for the Constrained Monitoring and Control of Nonlinear Discrete-Time Systems] C.V. Rao. Rao's PhD thesis contains a lot of material on MHE. There is also a discussion on MAP estimates.</p>

Sandberg: /* Reading */

2006-04-19T17:17:40Z

Reading

← Older revision		Revision as of 17:17, 19 April 2006
Line 17:		Line 17:
	* <p>[http://ieeexplore.ieee.org/xpls/abs_all.jsp?isnumber=26479&arnumber=1178905&count=27&index=5 Constrained State Estimation for Nonlinear Discrete-Time Systems: Stability and Moving Horizon Approximations], C.V. Rao, J.B. Rawlings, and D.Q. Mayne, ''IEEE Transactions on Automatic Control'', vol.48, no.2, 2003. A mathematical treatment of MHE and stability conditions are derived. Everybody should read at least Section I.</p>		* <p>[http://ieeexplore.ieee.org/xpls/abs_all.jsp?isnumber=26479&arnumber=1178905&count=27&index=5 Constrained State Estimation for Nonlinear Discrete-Time Systems: Stability and Moving Horizon Approximations], C.V. Rao, J.B. Rawlings, and D.Q. Mayne, ''IEEE Transactions on Automatic Control'', vol.48, no.2, 2003. A mathematical treatment of MHE and stability conditions are derived. Everybody should read at least Section I.</p>

	* <p>[http://www.cs.unc.edu/~welch/media/pdf/kalman_intro.pdf An Introduction to the Kalman Filter], G. Welch and G. Bishop. Gives ~~a brief~~ introduction to the extended Kalman filter in discrete time.</p>		* <p>[http://www.cs.unc.edu/~welch/media/pdf/kalman_intro.pdf An Introduction to the Kalman Filter], G. Welch and G. Bishop. Gives an introduction to the extended Kalman filter in discrete time.</p>

	== Additional Resources ==		== Additional Resources ==
	<!-- Links to additional information. If there are good sources of additional information for students interested in exploring this topic further, these should go at the bottom of the page. -->		<!-- Links to additional information. If there are good sources of additional information for students interested in exploring this topic further, these should go at the bottom of the page. -->

Sandberg at 17:16, 19 April 2006

2006-04-19T17:16:13Z

← Older revision		Revision as of 17:16, 19 April 2006
Line 13:		Line 13:
	== Reading ==		== Reading ==
	<!-- A reading list for the lecture. This will typically be 3-5 articles or book chapters that are particularly relevant to the material being presented. The reading list should be annotated to explain how the articles fit into the topic for the lecture. -->		<!-- A reading list for the lecture. This will typically be 3-5 articles or book chapters that are particularly relevant to the material being presented. The reading list should be annotated to explain how the articles fit into the topic for the lecture. -->
	* <p>[http://pubs.acs.org/cgi-bin/abstract.cgi/iecred/2005/44/i08/abs/ie034308l.html Critical evaluation of extended Kalman filtering and moving horizon estimation], E.L. Haseltine and J.B. Rawlings, ''Ind. Eng. Chem. Res.'', vol. 44, no.8, 2005. Contains several examples where EKF and MHE have been applied. Discusses the differences between the methods and when EKF is likely to fail.		* <p>[http://pubs.acs.org/cgi-bin/abstract.cgi/iecred/2005/44/i08/abs/ie034308l.html Critical evaluation of extended Kalman filtering and moving horizon estimation], E.L. Haseltine and J.B. Rawlings, ''Ind. Eng. Chem. Res.'', vol. 44, no.8, 2005. Contains several examples where EKF and MHE have been applied. Discusses the differences between the methods and when EKF is likely to fail.</p>

	* <p>[http://ieeexplore.ieee.org/xpls/abs_all.jsp?isnumber=26479&arnumber=1178905&count=27&index=5 Constrained State Estimation for Nonlinear Discrete-Time Systems: Stability and Moving Horizon Approximations], C.V. Rao, J.B. Rawlings, and D.Q. Mayne, ''IEEE Transactions on Automatic Control'', vol.48, no.2, 2003. A mathematical treatment of MHE and stability conditions are derived. Everybody should read at least Section I.		* <p>[http://ieeexplore.ieee.org/xpls/abs_all.jsp?isnumber=26479&arnumber=1178905&count=27&index=5 Constrained State Estimation for Nonlinear Discrete-Time Systems: Stability and Moving Horizon Approximations], C.V. Rao, J.B. Rawlings, and D.Q. Mayne, ''IEEE Transactions on Automatic Control'', vol.48, no.2, 2003. A mathematical treatment of MHE and stability conditions are derived. Everybody should read at least Section I.</p>

	* <p>[http://www.cs.unc.edu/~welch/media/pdf/kalman_intro.pdf An Introduction to the Kalman Filter], G. Welch and G. Bishop. Gives a brief introduction to the extended Kalman filter in discrete time.</p>		* <p>[http://www.cs.unc.edu/~welch/media/pdf/kalman_intro.pdf An Introduction to the Kalman Filter], G. Welch and G. Bishop. Gives a brief introduction to the extended Kalman filter in discrete time.</p>

Sandberg: /* Reading */

2006-04-19T17:15:32Z

Reading

← Older revision		Revision as of 17:15, 19 April 2006
Line 13:		Line 13:
	== Reading ==		== Reading ==
	<!-- A reading list for the lecture. This will typically be 3-5 articles or book chapters that are particularly relevant to the material being presented. The reading list should be annotated to explain how the articles fit into the topic for the lecture. -->		<!-- A reading list for the lecture. This will typically be 3-5 articles or book chapters that are particularly relevant to the material being presented. The reading list should be annotated to explain how the articles fit into the topic for the lecture. -->
	* <p>[http://pubs.acs.org/cgi-bin/abstract.cgi/iecred/2005/44/i08/abs/ie034308l.html Critical evaluation of extended Kalman filtering and moving horizon estimation], E.L. Haseltine and J.B. Rawlings, ''Ind. Eng. Chem. Res.'', vol. 44, no.8, 2005. Contains several examples where EKF and MHE have been applied. Discusses the differences.		* <p>[http://pubs.acs.org/cgi-bin/abstract.cgi/iecred/2005/44/i08/abs/ie034308l.html Critical evaluation of extended Kalman filtering and moving horizon estimation], E.L. Haseltine and J.B. Rawlings, ''Ind. Eng. Chem. Res.'', vol. 44, no.8, 2005. Contains several examples where EKF and MHE have been applied. Discusses the differences between the methods and when EKF is likely to fail.

			* <p>[http://ieeexplore.ieee.org/xpls/abs_all.jsp?isnumber=26479&arnumber=1178905&count=27&index=5 Constrained State Estimation for Nonlinear Discrete-Time Systems: Stability and Moving Horizon Approximations], C.V. Rao, J.B. Rawlings, and D.Q. Mayne, ''IEEE Transactions on Automatic Control'', vol.48, no.2, 2003. A mathematical treatment of MHE and stability conditions are derived. Everybody should read at least Section I.

	* <p>[http://www.cs.unc.edu/~welch/media/pdf/kalman_intro.pdf An Introduction to the Kalman Filter], G. Welch and G. Bishop. Gives a brief introduction to the extended Kalman filter in discrete time.</p>		* <p>[http://www.cs.unc.edu/~welch/media/pdf/kalman_intro.pdf An Introduction to the Kalman Filter], G. Welch and G. Bishop. Gives a brief introduction to the extended Kalman filter in discrete time.</p>

Sandberg at 17:09, 19 April 2006

2006-04-19T17:09:04Z

← Older revision		Revision as of 17:09, 19 April 2006
Line 4:		Line 4:
	This is the template for CDS 270 lectures. If you edit this page, you will see comments describing what goes in each section. '''Do not edit this template.''' See [[CDS 270: Information for Lecturers]] for more information on how to create a wiki page corresponding to a lecture. -->		This is the template for CDS 270 lectures. If you edit this page, you will see comments describing what goes in each section. '''Do not edit this template.''' See [[CDS 270: Information for Lecturers]] for more information on how to create a wiki page corresponding to a lecture. -->

	In this lecture, we give an introduction to moving horizon estimation (MHE) and extended Kalman filters (EKF). These filter stuctures can be used with nonlinear models and are therefore more general than the standard Kalman filter. Furthermore, MHE can also take constraints on the noise and the state space, as well as asymmetric probability distributions, into account. MHE is dual to ~~receeding~~ horizon control (RHC) and also relies on optimization software. The lecture ends with a ~~bried~~ discussion on stability properties of MHE.		In this lecture, we give an introduction to moving horizon estimation (MHE) and extended Kalman filters (EKF). These filter stuctures can be used with nonlinear models and are therefore more general than the standard Kalman filter. Furthermore, MHE can also take constraints on the noise and the state space, as well as asymmetric probability distributions, into account. MHE is dual to receding horizon control (RHC) and also relies on optimization software. The lecture ends with a brief discussion on stability properties of MHE.

	== Lecture Materials ==		== Lecture Materials ==
	<!-- Include links to materials that you used in your lecture. At a minimum, this should include a link to your lecture presentation. You might also include links to MATLAB scripts or other source code that students would find useful -->		<!-- Include links to materials that you used in your lecture. At a minimum, this should include a link to your lecture presentation. You might also include links to MATLAB scripts or other source code that students would find useful -->
	<!-- Sample lecture link: * [[Media:L1-1_Intro.pdf\|Lecture: Networked Control Systems: Course Overview]] -->		<!-- Sample lecture link: * [[Media:L1-1_Intro.pdf\|Lecture: Networked Control Systems: Course Overview]] -->


	== Reading ==		== Reading ==
	<!-- A reading list for the lecture. This will typically be 3-5 articles or book chapters that are particularly relevant to the material being presented. The reading list should be annotated to explain how the articles fit into the topic for the lecture. -->		<!-- A reading list for the lecture. This will typically be 3-5 articles or book chapters that are particularly relevant to the material being presented. The reading list should be annotated to explain how the articles fit into the topic for the lecture. -->
			* <p>[http://pubs.acs.org/cgi-bin/abstract.cgi/iecred/2005/44/i08/abs/ie034308l.html Critical evaluation of extended Kalman filtering and moving horizon estimation], E.L. Haseltine and J.B. Rawlings, ''Ind. Eng. Chem. Res.'', vol. 44, no.8, 2005. Contains several examples where EKF and MHE have been applied. Discusses the differences.

			* <p>[http://www.cs.unc.edu/~welch/media/pdf/kalman_intro.pdf An Introduction to the Kalman Filter], G. Welch and G. Bishop. Gives a brief introduction to the extended Kalman filter in discrete time.</p>

	== Additional Resources ==		== Additional Resources ==
	<!-- Links to additional information. If there are good sources of additional information for students interested in exploring this topic further, these should go at the bottom of the page. -->		<!-- Links to additional information. If there are good sources of additional information for students interested in exploring this topic further, these should go at the bottom of the page. -->

Sandberg at 16:59, 19 April 2006

2006-04-19T16:59:24Z

← Older revision		Revision as of 16:59, 19 April 2006
Line 4:		Line 4:
	This is the template for CDS 270 lectures. If you edit this page, you will see comments describing what goes in each section. '''Do not edit this template.''' See [[CDS 270: Information for Lecturers]] for more information on how to create a wiki page corresponding to a lecture. -->		This is the template for CDS 270 lectures. If you edit this page, you will see comments describing what goes in each section. '''Do not edit this template.''' See [[CDS 270: Information for Lecturers]] for more information on how to create a wiki page corresponding to a lecture. -->

	In this lecture, we give an introduction to moving horizon estimation (MHE) and extended Kalman filters (EKF). These filter stuctures can be used with nonlinear models and are therefore more general than the standard Kalman filter. Furthermore, MHE can also take constraints on the noise and the state space into account, and ~~deal~~ with ~~asymmetric probability distributions~~.		In this lecture, we give an introduction to moving horizon estimation (MHE) and extended Kalman filters (EKF). These filter stuctures can be used with nonlinear models and are therefore more general than the standard Kalman filter. Furthermore, MHE can also take constraints on the noise and the state space, as well as asymmetric probability distributions, into account. MHE is dual to receeding horizon control (RHC) and also relies on optimization software. The lecture ends with a bried discussion on stability properties of MHE.

	== Lecture Materials ==		== Lecture Materials ==