Kumar P.R., Varaiya P.P. Stochastic systems: Estimation, identification, and adaptive control

Prentice Hall, 1986. — 374 p.
The theoretical approaches to the subject derive from the invention in the 1950s of dynamic programming and the rich body of research in statistical time series analysis. Although theoretically appealing, these approaches found little practical use since they demanded a computing capacity that was too expensive at that time. The tremendous advances in information technology (the ability to collect and process huge quantities of data) provided the motivation for subsequent impulses that advanced the subject. Recent years have witnessed an explosion of work aimed at applications in signal processing, control, operations research, and economics. As a result there has been a proliferation of specialized journals, books, conferences, and inevitably—vocabularies—that makes it difficult for the newcomer to grasp the unity of the subject.
This book is an attempt to provide such a newcomer with a unified treatment of the most important aspects of the subject to the level from
where more specialized contemporary research may then become accessible.