Generic Stability Implication From Full Information Estimation to Moving-Horizon Estimation

Optimization-based state estimation is useful for handling of constrained linear or nonlinear dynamical systems. It has an ideal form, known as full information (FIE) which uses all past measurements to perform estimation, and also a practical counterpart, moving-horizon (MHE) most recent limited length the estimation. This work reveals generic link from robust stability FIE that MHE, showing former implies at least weaker MHE implements long enough horizon. The implication strengthens strict if corresponding satisfies mild Lipschitz continuity condition. revealed implications are then applied derive new sufficient conditions further intrinsic relation between existence robustly stable FIE/MHE system being incrementally input/output-to-state stable.