Numerical Methods for Large Scale Moving Horizon Estimation and Control
نویسندگان
چکیده
Abstract: Both the linear moving horizon estimator and controller may be solved by solving a linear quadratic optimal control problem. A primal active set, a dual active set, and an interior point algorithm for solution of the linear quadratic optimal control problem are presented. The major computational effort in all these algorithms reduces to solution of certain unconstrained linear quadratic optimal control problems. A Riccati recursion procedure for efficient solution of such unconstrained problems is stated.
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