High-Performance Small-Scale Solvers for Moving Horizon Estimation

Gianluca Frison, Milan Vukov, Niels Kjølstad Poulsen, Moritz Diehl, John Bagterp Jørgensen

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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
Publication statusPublished - 2015
Event5th IFAC Conference on Nonlinear Model Predictive Control (NMPC 2015) - Seville, Spain
Duration: 17 Sept 201520 Sept 2015
Conference number: 5


Conference5th IFAC Conference on Nonlinear Model Predictive Control (NMPC 2015)
Internet address

Bibliographical note

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


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