Data-Based Moving Horizon Estimation for Linear Discrete-Time Systems

Abstract: This paper introduces a data-based moving horizon estimation (MHE) scheme for linear time-invariant discrete-time systems. The scheme solely relies on collected data without employing any system identification step. Robust global exponential stability of the data-based MHE is proven under standard assumptions for the case where the online output measurements are corrupted by some non-vanishing measurement noise. A simulation example illustrates the behavior of the data-based MHE scheme.