Distributed moving horizon fusion estimation for linear constrained uncertain systems

Abstract In this paper, the distributed moving horizon fusion estimation of uncertain systems with constraints of system noise and state variables is studied. Firstly, relying on the basic idea of consensus algorithm, the cost function in the performance index is reconstructed by weighted fusion of the state prediction values. Secondly, considering the performance index with uncertain parameters, the min‐max optimization problem of the algorithm is transformed into the least squares optimization problem based on 2‐norm regularization method. Thirdly, the scalar‐weighted linear minimum variance fusion estimation strategy is used to realize the weighted fusion of local state estimation values. Then, on the premise of minimum network connectivity and collective observability, the stability of the proposed algorithm is studied, and the sufficient conditions for the expected convergence of the fused estimation error norm square are given. Finally, the effectiveness of the algorithm is verified by numerical simulation.