The series Advances in Industrial Control aims to report and encourage technology transfer in control engineering. The rapid development of control technology impacts all areas of the control discipline. New theory, new controllers, actuators, sensors, new industrial processes, computer methods, new applications, new philosophies ... , new challenges. Much of this development work resides in industrial reports, feasibility study papers and the reports of advanced collaborative projects. The series offers an opportunity for researchers to present an extended exposition of such new work in all aspects of industrial control for wider and rapid dissemination. This monograph brings together two of the most exciting areas of advanced signal processing and control. The first involves the development of optimal estimators for uncertain signal and noise models. The second is the subject of failure detection and isolation, which has considerable potential in a range of applications. The text provides a gradual build-up of ideas moving from traditional Wiener and Kalman fIltering to risk sensitive control and estimation problems.