Stability Analysis and Robustness Assessment of Deterministic and Stochastic Nonlinear Moving Horizon Estimators

Rata Suwantong , Sylvain Bertrand (1) , Didier Dumur (2) , Dominique Beauvois

1 ONERA - The French Aerospace Lab [Palaiseau]
2 L2S - Laboratoire des signaux et systèmes

This paper proposes a discussion on the classification of the formulations of nonlinear Moving Horizon Estimators (MHE) of the literature into two categories: deterministic and stochastic. The stability of the dynamics of the estimation error is discussed for the MHEs in both frameworks. This paper also provides full explicit formulation of the stability conditions for the MHE in the deterministic framework, which were not given in the literature. Furthermore, robustness of MHE in both frameworks with respect to model errors is investigated through a simulation example of space object tracking. Comparison with other more classical estimators such as EKF, UKF and particle filter is also achieved.

Domains: Engineering Sciences [physics]

Rata Suwantong, Sylvain Bertrand, Didier Dumur, Dominique Beauvois. Stability Analysis and Robustness Assessment of Deterministic and Stochastic Nonlinear Moving Horizon Estimators. 55th IEEE Conference on Decision and Control (CDC 2016), Dec 2016, Las Vegas, United States. ⟨10.1109/cdc.2016.7798701⟩. ⟨hal-01637691⟩