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Moving Horizon Estimation

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Encyclopedia of Systems and Control

Abstract

Moving horizon estimation (MHE) is a state estimation method that is particularly useful for nonlinear or constrained dynamical systems for which few general methods with established properties are available. This article explains the concept of full information estimation and introduces moving horizon estimation as a computable approximation of full information. To obtain a tractable approximation, the moving horizon method considers a fixed-sized window of only the most recent measurements, and therefore the horizon window moves in time with the data. The basic design methods for ensuring stability of MHE are presented. Relationships of full information and MHE to other state estimation methods such as Kalman filtering and statistical sampling are discussed.

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Author information

Authors and Affiliations

  1. Department of Chemical Engineering, University of California, Santa Barbara, CA, USA

    James B. Rawlings & Douglas A. Allan

Authors
  1. James B. Rawlings
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  2. Douglas A. Allan
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Corresponding author

Correspondence to James B. Rawlings .

Editor information

Editors and Affiliations

  1. Electrical and Computer Engineering, Boston University, Boston, MA, USA

    John Baillieul

  2. Automation and Control Solutions, Honeywell, Golden Valley, MN, USA

    Tariq Samad

Section Editor information

  1. Dept. of Chemical Engineering, University of California, Santa Barbara, CA, USA

    James B. Rawlings

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Rawlings, J.B., Allan, D.A. (2021). Moving Horizon Estimation. In: Baillieul, J., Samad, T. (eds) Encyclopedia of Systems and Control. Springer, London. https://doi.org/10.1007/978-1-4471-5102-9_4-2

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  • DOI: https://doi.org/10.1007/978-1-4471-5102-9_4-2

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  • Publisher Name: Springer, London

  • Print ISBN: 978-1-4471-5102-9

  • Online ISBN: 978-1-4471-5102-9

  • eBook Packages: Springer Reference EngineeringReference Module Computer Science and Engineering

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Chapter history

  1. Latest

    Moving Horizon Estimation
    Published:
    21 November 2020

    DOI: https://doi.org/10.1007/978-1-4471-5102-9_4-2

  2. Original

    Moving Horizon Estimation
    Published:
    07 February 2014

    DOI: https://doi.org/10.1007/978-1-4471-5102-9_4-1

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