Moving Horizon Estimation

From a perspective of Bayesian theory, the constrained state estimation problem can be formulated as the solution of the following optimization problem

φ∗T = min x0,{wk} T−1 k=0 φT(x0,{wk}) = min x0,{wk}T−1k=0 T −1 X k=0 v_k′R−1vk+ wk′Q −1_w k+ (x0− ˆx0)′Π−10 (x0− ˆx0) (2.12)

subject to

xk = f (xk−1, uk−1, wk−1)

yk = h(xk, uk, vk)

xk ∈ X, wk ∈ W, vk∈ V

(2.13)

where the sets X, W and V are constraints, xk := x(k; x0,{wj}k−1j=0) denotes the

estimate of the system (2.13) at time k when the initial state is x0, {wj}k−1j=0 is the

process noise sequence and vk := yk − Cx(k; x0,{wj}k−1j=0). Since all of the available

measurements are used to generate an estimate, the problem given by (2.12) and (2.13) is referred to the full information estimator (FIE).

There exist efficient strategies for solving the FIE, which is a nonlinear program. When the process model is stiff or has unstable dynamics, it is beneficial to perform the discretization and optimization simultaneously [149]. When the process model is linear and the constraints are polyhedral convex sets, the nonlinear program simplifies to a quadratic program, which is far less computationally complex. Regardless of the complexity of problems, real time solution to FIE is impossible to be obtained because the size of problems grows unbounded with the number of points in time considered as more data need to be processed. One strategy to make the estimation problem tractable is to bound the problem size by employing a moving horizon approach.

It is fundamental to introduce an arrival cost, resulting in the following opti- mization problem min x0,{wk} T−1 k=0 φT(x0,{wk}) = min z,{wk} T−1 k=T−N T −1 X k=T −N v′_kR−1vk+ w′kQ −1_w k+ θT −N(z). (2.14)

where θT −N(z) is referred to as the arrival cost, which summarizes the effect of the data

{yk}T −N −1k=0 on the state xT −N and makes it possible to transform the optimization

remains an open issue for MHE.

For unconstrained, linear systems, the arrival cost can be expressed explicitly since the MHE optimization simplifies to the Kalman filter and its covariance update formula can be used [98]. Subject to the initial condition Π0and assuming the matrix

ΠT −N is invertible, the arrival cost can then be expressed as

θT −N(z) = (z− ˆxT −N)′ΠT −N−1 (z− ˆxT −N) + φ∗T −N. (2.15)

where ˆxT −N denotes the optimal estimate at time T−N given all of the measurements

yk from time 0 to T − N − 1, φ∗T −N represents the optimal cost at time T − N and

ΠT −N is computed from the Kalman filter covariance update

ΠT = AΠT −1AT + GQGT − AΠT −1CT(CΠT −1CT + HRHT)−1CΠT −1AT. (2.16)

The solution to the problem described by equations (2.14) and (2.15) is the unique optimal pair (z∗_,

{ ˆw∗

k}T −1k=T −N) and it can be integrated to yield the optimal state es-

timates _{ˆx∗

k}Tk=T −N +1, where ˆx∗k := x(k; z∗,{ ˆw∗j} k−1

j=T −N) denotes the optimal estimate

of the system at time k when the initial state is z∗ _{and the estimated process noise}

sequence is{ ˆw∗

j}k−1j=T −N.

For constrained, linear systems, general analytical expressions for the arrival cost are not available. One reasonable strategy is to approximate the arrival cost by the one for the unconstrained problem. The approximation is exact when the inequality constraints are inactive. For nonlinear systems, Tenny and Rawlings estimate the arrival cost by approximating a constrained, nonlinear system as an unconstrained, linear time-varying system [103]. In their work the model functions f (.) and h(.) in Eq.(2.13) are supposed to be sufficiently smooth so that a first-order Taylor series approximation of the model can then be applied, i.e. Ak := ∂f_∂x|xˆk|k−1, Ck :=

∂h ∂x|ˆxk|k−1,

Gk := _∂w∂f|wk and Hk :=

∂h

can be computed by solving the matrix Riccati Eq.(2.16) subject to the initial con- dition Π0. This is called the MHE problem with an arrival cost computed by EKF.

The horizon length N is a tuning parameter for MHE. As a general rule, the larger the horizon length, the more accurate the estimation results will be, however, this comes at the expense of an increase of the computational burden. A practical rule of thumb is that the length of the horizon should not be less than the number of the system states. Rao and Rawlings recommend to choose the horizon length as twice the order of the system [98].

MHE fixes the computational burden of solving FIE by considering a finite hori- zon of the previous measurements, however, the computational complexity of itself remains a significant research challenge. Due to advances in numerical optimization, real time solutions to small dimensional nonlinear models could be found in the work of Rawlings [103].

One way to construct an analytic expression for the arrival cost θT −N(z) is to use

the Kalman filter covariance update formula from equations (2.10) and (2.11), where P is denoted as Π in MHE.