Robust stability of moving horizon estimation for continuous-time systems

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Original languageEnglish
Pages (from-to)120-133
Number of pages14
JournalAt-Automatisierungstechnik
Volume72
Issue number2
Publication statusPublished - 26 Feb 2024

Abstract

We consider a moving horizon estimation (MHE) scheme involving a discounted least squares objective for general nonlinear continuous-time systems. Provided that the system is detectable (incrementally integral input/output-to-state stable, i-iIOSS), we show that there exists a sufficiently long estimation horizon that guarantees robust global exponential stability of the estimation error in a time-discounted L2-to-L sense. In addition, we show that i-iIOSS Lyapunov functions can be efficiently constructed by verifying certain linear matrix inequality conditions. In combination, we propose a flexible Lyapunov-based MHE framework in continuous time, which particularly offers more tuning possibilities than its discrete-time analog, and provide sufficient conditions for stability that can be easily verified in practice. Our results are illustrated by a numerical example.

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Robust stability of moving horizon estimation for continuous-time systems. / Schiller, Julian D.; Müller, Matthias A.
In: At-Automatisierungstechnik, Vol. 72, No. 2, 26.02.2024, p. 120-133.

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Schiller JD, Müller MA. Robust stability of moving horizon estimation for continuous-time systems. At-Automatisierungstechnik. 2024 Feb 26;72(2):120-133. doi: 10.48550/arXiv.2305.06614, 10.1515/auto-2023-0087
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AU - Müller, Matthias A.

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