Near-optimal state estimation for interconnected systems

A new algorithm is proposed for estimating the state of a nonlinear stochastic system when only noisy observations of the state are available. The state estimation problem is formulated as a modaltrajectory maximum-likelihood estimation problem. The resulting minimization problem is analogous to the nonlinear tracking problem in optimal control theory. By viewing the system as an interconnection of lower-dimensional subsystems and applying the so-called ??-coupling technique, which originated in the study of the sensitivity of control systems to parameter variations, a near-optimal state estimation algorithm is derived which has the properties that all computations can be performed in parallel at the subsystem level and only linear equations need be solved. The principal attraction of the method is that significant reductions in the computational requirements relative to other approximate algorithms can be achieved when the system is large-dimensional.