Minimum variance constrained estimator

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.