Optimization based input preview filtering for dynamical systems

Abstract

This paper is about filtering uncertain forecast information to update a preview model of inputs to a linear dynamical system, as may be useful in predictive control schemes. A moving horizon optimization approach is proposed, with a view to smoothing abrupt changes in order based forecast information and to manage error, given observations of the dynamics. Numerical examples are used to illustrate a potential application of this approach within the context of processing demand profile requests in a water distribution system.