Receding Horizon Recursive Location Estimation

Abstract: This paper presents a recursive solution to the receding or moving horizon estimation (MHE) problem for nonlinear time-variant systems. We provide the conditions under which the recursive MHE is equivalent to the extended Kalman filter (EKF), regardless of the horizon size. Theoretical and empirical evidence is also provided. Moreover, we clarify the connection between MHE and factor graph optimization (FGO). We apply the recursive MHE to GNSS localization and evaluate its performance using publicly available datasets. The paper is based on the deterministic least squares framework.