Difference between revisions of "NCS: Moving Horizon Estimation"

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* <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>
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* <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 ==
 
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Revision as of 17:17, 19 April 2006

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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

Reading

Additional Resources