Tuesday, 10-11:30 a.m., BA2159
Thursday, 2-3:30 p.m., BA2159
B.D.O. Anderson and J.B. Moore, Optimal Filtering, Prentice Hall, N.J., 1979
F.L. Lewis, Optimal Estimation: With an Introduction to Stochastic Control Theory, John Wiley, 1986.
M.H.A. Davis and R.B. Vinter, Stochastic Modelling and Control, Chapman and Hall, London, 1985.
P.R. Kumar and P. Varaiya, Stochastic Systems: Estimation, Identification, and Adaptive Control, Prentice Hall, N.J., 1986.
G.R. Grimmett and D.R. Stirzaker, Probability and Random Processes, 2nd ed., Oxford, 1992.
Notes on discrete-time linear systems analysis
Solutions to Probability Review Problems