Linear constrained moving horizon estimator with pre-estimating observer

Abstract In this paper, a constrained moving horizon estimation (MHE) strategy for linear systems is proposed. Recently, the use of a pre-estimating linear observer in the forward prediction equations in the MHE cost function has been proposed in order to reduce the effects of uncertainty. Here we introduce state constraints within this formulation and investigate stability properties in the presence of bounded disturbances and noise. The robustness and performance of the proposed observer is demonstrated with a simulation example.