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

Understand

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.
• Due to the theoretical ideal, conditions for robust stability of FIE are relatively easier to establish than those for MHE, and various sufficient conditions have been developed in literature.
• 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.