A variety of experimental studies suggest that sensory systems are capable of performing estimation or decision tasks at near-optimal levels. In this chapter, I explore the use of optimal estimation in describing sensory computations in the brain. I define what is meant by optimality and provide three quite different methods of obtaining an optimal estimator, each based on different assumptions about the nature of the information that is available to constrain the problem. I then discuss how biological systems might go about computing (and learning to compute) optimal estimates.