In this work we derive sufficient conditions for the stability of moving horizon state estimation with linear models subject to constraints on the estimate. The key result is that if the time-varying or steady-state Kalman filter covariance update is used to summarize the prior data, then the estimator is stable in the sense of an observer, even in the presence of constraints.
|Original language||English (US)|
|Number of pages||5|
|Journal||Proceedings of the American Control Conference|
|State||Published - 1999|
ASJC Scopus subject areas
- Control and Systems Engineering