High-Performance Small-Scale Solvers for Moving Horizon Estimation

Publication: Research - peer-reviewArticle in proceedings – Annual report year: 2015

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In this paper we present a moving horizon estimation (MHE) formulation suitable to easily describe the quadratic programs (QPs) arising in constrained and nonlinear MHE. We propose algorithms for factorization and solution of the underlying Karush-Kuhn-Tucker (KKT) system, as well as the ecient implementation techniques focusing on small-scale problems. The proposed MHE solver is implemented using custom linear algebra routines and is compared against implementations using BLAS libraries. Additionally, the MHE solver is interfaced to a code generation tool for nonlinear model predictive control (NMPC) and nonlinear MHE (NMHE). On an example problem with 33 states, 6 inputs and 15 estimation intervals execution times below 500 microseconds are reported for the QP underlying the NMHE.
Original languageEnglish
Title of host publicationPreprints of the 5th IFAC Conference on Nonlinear Model Predictive Control (NMPC)
PublisherInternational Federation of Automatic Control
Publication date2015
Pages80-86
StatePublished - 2015
Event5th IFAC Conference on Nonlinear Model Predictive Control (NMPC 2015) - Seville, Spain

Conference

Conference5th IFAC Conference on Nonlinear Model Predictive Control (NMPC 2015)
Number5
CountrySpain
CitySeville
Period17/09/201520/09/2015
Internet address

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The preprints of the meeting will be hosted on-line on the IFAC-PapersOnLine.net website

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