Optimal Estimation With an Introduction to Stochastic Control Theory: With an Introduction to Stochastic Control Theory

This book is intended for use in graduate level courses in modern control theory. A background in both probability theory and the state variable representation of systems is assumed. One advantage of modern control theory is that it employs matrix algebra, which results in a simplification in notation and mathematical manipulations when dealing with multivariable systems. The book is also intended as a reference. Equations of recurring usefulness are displayed in tabular form for easy access. Many examples are used to illustrate the concepts and to impart intuition, and the reader is shown how to write simple software implementations of estimators for use on a computer.