Anytime MHE-based output feedback MPC

In this paper, we develop an efficient algorithmic implementation of output feedback control of discrete-time linear systems with state and input constraints that is based on model predictive control (MPC) and moving horizon estimation (MHE). We present an iteration scheme which combines previously proposed proximity-based MHE and relaxed barrier function based MPC algorithms in a certainty equivalence output feedback fashion. The resulting overall closed-loop system is shown to converge to the origin under mild assumptions and simulation examples are used to demonstrate the advantages of the proposed approach. Copyright (C) 2021 The Authors.