Recursive state estimation via approximate modal paths

Abstract: In this paper, a method for recursively computing approximate modal paths is developed. A recursive formulation of the modal path can be obtained either by backward or forward dynamic programming. By combining both methods, a ``two-filter'' formula is demonstrated. Both method involves a recursion over a so-called value function, which is intractable in general. This problem is overcome by quadratic approximation of the value function in the forward dynamic programming paradigm, resulting in both a filtering and smoothing method. The merit of the approach is verified in a simulation experiments, where it is shown to be on par or better than other modern algorithms.