Robust Stability of Gaussian Process Based Moving Horizon Estimation

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Original languageEnglish
Title of host publication2023 62nd IEEE Conference on Decision and Control, CDC 2023
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages4087-4093
Number of pages7
ISBN (electronic)9798350301243
Publication statusPublished - 2023
Event62nd IEEE Conference on Decision and Control, CDC 2023 - Singapore, Singapore
Duration: 13 Dec 202315 Dec 2023

Publication series

NameProceedings of the IEEE Conference on Decision and Control
ISSN (Print)0743-1546
ISSN (electronic)2576-2370

Abstract

In this paper, we introduce a Gaussian process based moving horizon estimation (MHE) framework. The scheme is based on offline collected data and offline hyperparameter optimization. In particular, compared to standard MHE schemes, we replace the mathematical model of the system by the posterior mean of the Gaussian process. To account for the uncertainty of the learned model, we exploit the posterior variance of the learned Gaussian process in the weighting matrices of the cost function of the proposed MHE scheme. We prove practical robust exponential stability of the resulting estimator using a recently proposed Lyapunov-based proof technique. Finally, the performance of the Gaussian process based MHE scheme is illustrated via a nonlinear system.

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Cite this

Robust Stability of Gaussian Process Based Moving Horizon Estimation. / Wolff, Tobias M.; Lopez, Victor G.; Müller, Matthias A.
2023 62nd IEEE Conference on Decision and Control, CDC 2023. Institute of Electrical and Electronics Engineers Inc., 2023. p. 4087-4093 (Proceedings of the IEEE Conference on Decision and Control).

Research output: Chapter in book/report/conference proceedingConference contributionResearchpeer review

Wolff, TM, Lopez, VG & Müller, MA 2023, Robust Stability of Gaussian Process Based Moving Horizon Estimation. in 2023 62nd IEEE Conference on Decision and Control, CDC 2023. Proceedings of the IEEE Conference on Decision and Control, Institute of Electrical and Electronics Engineers Inc., pp. 4087-4093, 62nd IEEE Conference on Decision and Control, CDC 2023, Singapore, Singapore, 13 Dec 2023. https://doi.org/10.48550/arXiv.2304.06530, https://doi.org/10.1109/CDC49753.2023.10383304
Wolff, T. M., Lopez, V. G., & Müller, M. A. (2023). Robust Stability of Gaussian Process Based Moving Horizon Estimation. In 2023 62nd IEEE Conference on Decision and Control, CDC 2023 (pp. 4087-4093). (Proceedings of the IEEE Conference on Decision and Control). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.48550/arXiv.2304.06530, https://doi.org/10.1109/CDC49753.2023.10383304
Wolff TM, Lopez VG, Müller MA. Robust Stability of Gaussian Process Based Moving Horizon Estimation. In 2023 62nd IEEE Conference on Decision and Control, CDC 2023. Institute of Electrical and Electronics Engineers Inc. 2023. p. 4087-4093. (Proceedings of the IEEE Conference on Decision and Control). doi: 10.48550/arXiv.2304.06530, 10.1109/CDC49753.2023.10383304
Wolff, Tobias M. ; Lopez, Victor G. ; Müller, Matthias A. / Robust Stability of Gaussian Process Based Moving Horizon Estimation. 2023 62nd IEEE Conference on Decision and Control, CDC 2023. Institute of Electrical and Electronics Engineers Inc., 2023. pp. 4087-4093 (Proceedings of the IEEE Conference on Decision and Control).
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