Books by Tim Wescott
Applied Control Theory for Embedded Systems, Tim Wescott, Elsevier 2006, ISBN 0750678399
Buy it from my favorite bookstore
I wrote it because I kept getting asked "where can I get a book that covers all of this?", but couldn't find a good book to recommend.
In the book I present control theory and its application in a clear, straightforward manner. This book is primarily aimed at the working software engineer who must make an embedded controller work, however anyone who is required to understand the theoretical and practical aspects of sampledtime control will benefit from studying it.
Recommended Books
These are not books that have been exhaustively searched out. Rather, they are books that I happen to have on my shelf, and that I find useful. Some of these titles are older, but all of them are still useful if you can find copies.

Adaptive Control, Karl J. Åström and Björn Wittenmark, Addison Wesley 1995,
second edition, ISBN 0201558661.
This is the book on the subject. It's an advanced book, but it is written in as clear a manner as you could hope for. I taught myself adaptive control theory out of this book with little trouble.
It has a good section on leastsquares (ARMA) methods for system identification in Chapter 2, while chapters 8 through 10 have some good information on notquiteadaptive systems that are generally easier to apply in practice.

Engineering and Scientific Computing with Scilab, Claude Gomez,
editor, Birkhäuser, 1999. ISBN 0817640096.
The closest thing there is to a comprehensive users manual for Scilab, it covers Scilab functionality as well as techniques for solving engineering and scientific problems in a computational environment.

Understanding Digital Signal Processing, 3rd edition, Rick Lyons, Prentice Hall, 2004.
ISBN 0131089897.
Just what it says it is. Understanding Digital Signal Processing is written for the nearly the same audience that this book is, except that it covers signal processing where this one covers control systems. Where this book stops short on a DSP subject Understanding Digital Signal Processing should be of help.

Optimal State Estimation: Kalman, H Infinity, and Nonlinear Approaches Dan Simon, Wiley, 2008, ISBN 9780471708582.
This is a very clearly written treatment on Kalman filtering and related optimal state estimation methods. You can practically write a Kalman filter by propping this book up next to your keyboard and paying attention as you write.

Strapdown Inertial Navigation Technology D.H. Titterton, J.L. Weston, IEEE, 2004, ISBN 9780471708582.
To me, this is a companion book to Dan Simon's book on the Kalman filter, because I used them together to design a sensor fusion project for a customer. Like Dan Simon's book, this is a very clearly written book.