An Algorithm for Nonlinear Moving Horizon State Estimation Using a Combination of Continuation Method and GMRES

Abstract

This paper proposes a fast algorithm for nonlinear moving horizon state estimation. The estimates are updated by a differential equation to trace the solution of an associated two-point boundary-value problem. A linear equation involved in the differential equation is solved by the generalized minimum residual (GMRES) method, one of the Krylov subspace methods. The proposed algorithm is applied to a hovercraft whose dynamics is highly nonlinear. The estimates are compared with the actual measurements.