Optimal and Robust Estimation with an Introduction to Stochastic Control Theory, Second Edition (Lewis, F.L., et al; 2008) [Book Shelf]

This book is intended as a text for a second graduate course in modern control theory. The book primarily concerns Kalman filtering, its extensions, design, and implementation, with the latest developments on the effects of parameter variations (robustness) and its use in the separation theorem of stochastic control. The authors assume the reader has a good background in state variables and probability as well as some linear-quadratic regulator (LQR) theory. The book is fairly complete and has excellent examples and problems, and Matlab code is given both in the text and on the Web site. These features and material that is hard to find elsewhere on criteria, robustness, and Chang-Letov make the book invaluable to both grad students and practicing engineers using Kalman filters.