MHE observer tool

This is a MATLAB tool implementing a Moving Horizon Estimator (MHE). The repository is structured as follows:

• Lib: this folder contains all the code. For more information see comments on the code.
• doc: this folder contains documentation.

More specifically, the following info can be useful:

• Observer_opt_presentation.pdf: general overview on the theoretical basis for MHEs. More specifically, the presentation covers standard MHE, filtered MHE, and adaptive MHE (see https://doi.org/10.48550/arXiv.2204.09359).
• Lib/obs/obsopt.m: the actual MATLAB class implementing the MHE.
• Lib/simulation_scripts: this folder contains the scripts to test and use the MHE.
• Models: the default version of the observer is provided with a Van der Pol oscillator as test example. The user may add its own models following the structure of the files in Lib/models

The MHE is designed to work as in the following flow (for more detailed information refer to simulation_general_v3.m):

1. init model and observer
2. for loop a) simulate model b) get measurements (noise) c) run the observer
3. post simulation analysis

Install and test

First add the library to your MATLAB path and then run the test scripts. On a MATLAB prompt:
>> addpath(genpath('Lib'))
>> test_VDP;

Now, use simulation_general.m as a templte for your code. The file can be run as follows:
>> [params,obs] = simulation_general();