Generic Stability Implication From Full Information Estimation to Moving-Horizon Estimation

Wuhua Hu

doi:10.1109/TAC.2023.3277315

2024-02-01

Wuhua Hu *

DOI：10.1109/TAC.2023.3277315

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摘要

En 中文

Optimization-based state estimation is useful for handling of constrained linear or nonlinear dynamical systems. It has an ideal form, known as full information estimation (FIE), which uses all past measurements to perform state estimation, and also a practical counterpart, known as moving-horizon estimation (MHE), which uses most recent measurements of a limited length to perform the estimation. This work reveals a generic link from robust stability of FIE to that of MHE, showing that the former implies at least a weaker robust stability of MHE, which implements a long enough horizon. The implication strengthens to strict robust stability of MHE if the corresponding FIE satisfies a mild Lipschitz continuity condition. The revealed implications are then applied to derive new sufficient conditions for robust stability of MHE, which further reveals an intrinsic relation between the existence of a robustly stable FIE/MHE and the system being incrementally input/output-to-state stable.

Keyword:

Robust stability

State estimation

Stability criteria

Length measurement

Uncertainty

Nonlinear dynamical systems

Indexes

Disturbances

full information estimation (FIE)

incremental input/output-to-state stability (i-IOSS)

moving-horizon estimation (MHE)