Hassibi B., Sayed A.H., Kailath T. Indefinite-quadratic estimation and control

SIAM, 1999. — 574 p.
This monograph presents a unified mathematical framework for a wide range of problems in estimation and control. The authors discuss the two most commonly used methodologies: the stochastic H2 approach and the deterministic (worst-case) H approach. Despite the fundamental differences in the philosophies of these two approaches, the authors have discovered that, if indefinite metric spaces are considered, they can be treated in the same way and are essentially the same. The benefits and consequences of this unification are pursued in detail, as well as new results and insight, the development of new algorithms, and applications to adaptive signal processing.