NCS: Moving Horizon Estimation
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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 receeding horizon control (RHC) and also relies on optimization software. The lecture ends with a bried discussion on stability properties of MHE.