A study on recursive algorithm of moving horizon estimation

A recursive algorithm of moving horizon estimation (MHE) with the convergence property is presented in this paper. In this work, we formulate the state estimation problem as a quadratic program problem with fixed-size estimation window and a recursive formula for prior state estimation and covariance matrix is established. The proposed algorithm can improve the performance of MHE and offers advantages over other algorithm of MHE and Kalman filter.