Moving horizon estimation meets multi-sensor information fusion: Development, opportunities and challenges

Since the proposal of moving horizon (MH) estimation in 1960s, the MH estimation approach has drawn ever-increasing research interests due mainly to its inherent capability of handling complex nonlinear systems and constrained systems. Recent years have witnessed considerable progress on the theoretical and practical research of MH estimation. In this work, a bibliographical review is provided on the moving horizon estimation problem and its applications. The basic idea of MH estimation is first introduced in detail. Then recent advances of MH estimation according to the underlying systems are summarized. Furthermore, some applications of MH estimation are presented. Finally, some research challenges of MH estimation problem are outlined for the further research.