This article is concerned with the moving horizon estimation (MHE) problem for a class of linear discrete‐time systems subject to multirate measurements and correlated noises. The sensors of the plant are grouped into two nodes with different sampling periods, which give rise to the multirate measurements. Under the effects of multirate measurements, the underlying system is then described by a periodic system with correlated noises. A MHE strategy is formulated and the corresponding analytical solution of the state estimation is derived by using the “completing the square” technique. Based on the lifting approach, the dynamics of the estimation error covariance is analyzed and the desired estimator parameters are obtained by solving a set of linear matrix inequalities. An illustrative example is given to show the effectiveness of our proposed MHE method.

中文翻译：

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具有多速率测量和相关噪声的移动视界估计

本文关注一类线性离散时间系统的运动视域估计（MHE）问题，该系统需要进行多速率测量和相关噪声。工厂的传感器分为两个具有不同采样周期的节点，这导致了多速率测量。在多速率测量的影响下，底层系统由具有相关噪声的周期性系统描述。制定了MHE策略，并使用“完成平方”技术得出了状态估计的相应解析解。基于提升方法，分析了估计误差协方差的动力学特性，并通过求解一组线性矩阵不等式来获得所需的估计器参数。