Abstract

This paper is concerned with the problem of state estimation for discrete-time linear systems in the presence of additional (equality or inequality) constraints on the state (or estimate). By use of the minimum variance duality, the estimation problem is converted into an optimal control problem. Two algorithmic solutions are described: the full information estimator (FIE) and the moving horizon estimator (MHE). The main result is to show that the proposed estimator is stable in the sense of an observer. The proposed algorithm is distinct from the standard algorithm for constrained state estimation based upon the use of the minimum energy duality. The two are compared numerically on the benchmark batch reactor process model.

Original languageEnglish (US)
Article number110106
JournalAutomatica
Volume137
DOIs
StatePublished - Mar 2022

Keywords

  • Constrained estimation
  • Kalman filter
  • MHE
  • Minimum variance duality

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Electrical and Electronic Engineering

Fingerprint

Dive into the research topics of 'Minimum variance constrained estimator'. Together they form a unique fingerprint.

Cite this