Book reviews

This book is an admirable addition to the tradition that the authors began with their first book On Linear Optimal Control. As they did in the former book, they have assembled material in such a way that, once it is assimilated, the book will become an invaluable reference for the practitioner. The problem with the book is in the assimilation. This is definitely not a book for self study unless the learner is already somewhat familiar with the basics of Kaiman filtering and very familiar with the analysis of stochastic linear systems. For classroom learning, however, their book should be excellent for a multi-semester course on optimal filtering. In this case the instructor can provide the student with the required background on discrete linear systems in state variable form, z-transforms, discrete stochastic processes, and probability theory. The appendices that are included in the book cover these topics and are excellent for reviewing this material.