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In this article a primal barrier interior-point method for moving horizon estimation (MHE) is presented. It exploits the structure of the KKT systems yielding an algorithm with linear complexity in the horizon length as opposed to cubically as in unstructured solvers. Ideas of square root covariance Kalman filtering are proposed in order to update covariance matrices occurring in the factorization...
This paper introduces a convex formulation approach for the initialization of parameter estimation problems (PEP). The proposed method exploits the parameter-affine feature exhibited by some dynamic systems. The method attempts to solve a related convex problem and uses its result as the initial guess for the solution of the original nonconvex PEP. The proposed approach is illustrated through two...
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