A Moving Horizon Estimator for processes with multi-rate measurements: A Nonlinear Programming sensitivity approach

► A relationship between the covariance and reduced Hessian of the NLP in MHE is proved. ► A novel approach to approximate the arrival cost covariance matrix of MHE through NLP sensitivity is described. ► MHE based on NLP sensitivity is extended to deal with multi-rated measurements. ► Simulation examples are used to illustrate the proposed method.