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bench: MovingHorzizonEstimator benchmark with SteadyKalmanFilter for the arrival covariance #376

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bench: MovingHorzizonEstimator benchmark with SteadyKalmanFilter for the arrival covariance #376

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0712562
refactor: update arrival covariance handling in MovingHorizonEstimator
franckgaga Jun 13, 2026
c2dd801
bench: MHE test with `covestim=SteadyKalmanFilter`
franckgaga Jun 13, 2026
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7 changes: 7 additions & 0 deletions benchmark/2_bench_state_estim.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -146,6 +146,7 @@ UNIT_ESTIM["ExtendedKalmanFilter"]["evaloutput"]["NonLinModel"] =

mhe_lin_curr = MovingHorizonEstimator(linmodel, He=10, direct=true)
mhe_lin_pred = MovingHorizonEstimator(linmodel, He=10, direct=false)
mhe_lin_skf = MovingHorizonEstimator(linmodel, He=10, covestim=SteadyKalmanFilter(linmodel))
mhe_nonlin_curr = MovingHorizonEstimator(nonlinmodel, He=10, direct=true)
mhe_nonlin_pred = MovingHorizonEstimator(nonlinmodel, He=10, direct=false)

Expand All @@ -161,6 +162,12 @@ UNIT_ESTIM["MovingHorizonEstimator"]["updatestate!"]["LinModel"]["Current form"]
setup=preparestate!($mhe_lin_curr, $y, $d),
samples=samples, evals=evals, seconds=seconds,
)
UNIT_ESTIM["MovingHorizonEstimator"]["updatestate!"]["LinModel"]["Constant arr. cov."] =
@benchmarkable(
updatestate!($mhe_lin_skf, $u, $y, $d),
setup=preparestate!($mhe_lin_skf, $y, $d),
samples=samples, evals=evals, seconds=seconds,
)
UNIT_ESTIM["MovingHorizonEstimator"]["preparestate!"]["LinModel"]["Prediction form"] =
@benchmarkable(
preparestate!($mhe_lin_pred, $y, $d),
Expand Down
2 changes: 2 additions & 0 deletions check_syntax.jl
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Original file line number Diff line number Diff line change
@@ -0,0 +1,2 @@
import JuliaFormatter
include("src/estimator/mhe/execute.jl")
17 changes: 15 additions & 2 deletions src/estimator/mhe/execute.jl
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Expand Up @@ -709,7 +709,7 @@ function correct_cov!(estim::MovingHorizonEstimator)
correct_estimate!(estim.covestim, y0marr, d0arr)
all(isfinite, estim.covestim.cov.P̂) || error("Arrival covariance P̄ is not finite")
estim.P̂arr_old .= estim.covestim.cov.P̂
invert_cov!(estim, estim.P̂arr_old)
update_arrival_cov!(estim)
catch err
if err isa PosDefException
@error("Arrival covariance P̄ is not positive definite: keeping the old one")
Expand All @@ -736,7 +736,7 @@ function update_cov!(estim::MovingHorizonEstimator)
update_estimate!(estim.covestim, y0marr, d0arr, u0arr)
all(isfinite, estim.covestim.cov.P̂) || error("Arrival covariance P̄ is not finite")
estim.P̂arr_old .= estim.covestim.cov.P̂
invert_cov!(estim, estim.P̂arr_old)
update_arrival_cov!(estim)
catch err
if err isa PosDefException
@error("Arrival covariance P̄ is not positive definite: keeping the old one")
Expand Down Expand Up @@ -764,6 +764,19 @@ function invert_cov!(estim::MovingHorizonEstimator, P̄)
return nothing
end

"Update the arrival covariance matrix at the next time step based on the covariance estimator type."
function update_arrival_cov!(estim::MovingHorizonEstimator)
_update_arrival_cov!(estim, estim.covestim)
end

function _update_arrival_cov!(estim::MovingHorizonEstimator, ::StateEstimator)
invert_cov!(estim, estim.P̂arr_old)
end

function _update_arrival_cov!(estim::MovingHorizonEstimator, ::SteadyKalmanFilter)
return nothing
end

"""
obj_nonlinprog(estim::MovingHorizonEstimator, ::LinModel, _ , _ , _ , Z̃)
Expand Down
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