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debug: fallback if nonfinite arr. cov. after correction/update #156

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Feb 6, 2025
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debug: fallback if nonfinite arr. cov. after correction/update #156

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6 changes: 6 additions & 0 deletions src/estimator/mhe/execute.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -441,11 +441,14 @@ function correct_cov!(estim::MovingHorizonEstimator)
estim.covestim.P̂ .= estim.P̂arr_old
try
correct_estimate!(estim.covestim, y0marr, d0arr)
all(isfinite, estim.covestim.P̂) || error("Arrival covariance P̄ is not finite")
estim.P̂arr_old .= estim.covestim.P̂
invert_cov!(estim, estim.P̂arr_old)
catch err
if err isa PosDefException
@error("Arrival covariance P̄ is not positive definite: keeping the old one")
elseif err isa ErrorException
@error("Arrival covariance P̄ is not finite: keeping the old one")
else
rethrow()
end
Expand All @@ -461,11 +464,14 @@ function update_cov!(estim::MovingHorizonEstimator)
estim.covestim.P̂ .= estim.P̂arr_old
try
update_estimate!(estim.covestim, y0marr, d0arr, u0arr)
all(isfinite, estim.covestim.P̂) || error("Arrival covariance P̄ is not finite")
estim.P̂arr_old .= estim.covestim.P̂
invert_cov!(estim, estim.P̂arr_old)
catch err
if err isa PosDefException
@error("Arrival covariance P̄ is not positive definite: keeping the old one")
elseif err isa ErrorException
@error("Arrival covariance P̄ is not finite: keeping the old one")
else
rethrow()
end
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15 changes: 15 additions & 0 deletions test/test_state_estim.jl
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Expand Up @@ -1003,6 +1003,21 @@ end
(:error, "Arrival covariance P̄ is not invertible: keeping the old one"),
ModelPredictiveControl.invert_cov!(mhe, Hermitian(zeros(mhe.nx̂, mhe.nx̂),:L))
)
mhe.P̂arr_old[1, 1] = Inf # Inf to trigger fallback
P̂arr_old_copy = deepcopy(mhe.P̂arr_old)
invP̄_copy = deepcopy(mhe.invP̄)
@test_logs(
(:error, "Arrival covariance P̄ is not finite: keeping the old one"),
preparestate!(mhe, [50, 30], [5])
)
@test mhe.P̂arr_old ≈ P̂arr_old_copy
@test mhe.invP̄ ≈ invP̄_copy
@test_logs(
(:error, "Arrival covariance P̄ is not finite: keeping the old one"),
updatestate!(mhe, [10, 50], [50, 30], [5])
)
@test mhe.P̂arr_old ≈ P̂arr_old_copy
@test mhe.invP̄ ≈ invP̄_copy
end

@testset "MovingHorizonEstimator set constraints" begin
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