Moving horizon estimation based on distributionally robust optimisation

DOI10.1080/00207721.2024.2305691MaRDI QIDQ6557212zbMATH OpenFDO

Authors Aolei Yang, Qing Sun, Minrui Fei

Publication date 18 June 2024

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207721.2024.2305691

Mathematics Subject Classification ID

Nonlinear systems in control theory (93C10) Fuzzy control/observation systems (93C42) Estimation and detection in stochastic control theory (93E10)

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Cites work

• Bridging Bayesian and Minimax Mean Square Error Estimation via Wasserstein Distributionally Robust Optimization
• Constrained linear state estimation -- a moving horizon approach
• Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
• Data-driven risk-averse stochastic optimization with Wasserstein metric
• Distributionally Robust Convex Optimization
• Nonlinear moving horizon estimation in the presence of bounded disturbances
• On a Formula for the L2 Wasserstein Metric between Measures on Euclidean and Hilbert Spaces
• Robust optimization
• Robust Stability of Moving Horizon Estimation Under Bounded Disturbances
• Stochastically resilient extended Kalman filtering for discrete-time nonlinear systems with sensor failures
• Variance-constrained filtering for uncertain stochastic systems with missing measurements

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