Stochastic Control for Linear Discrete-Time Distributed-Lag Models

Arthur WB (1977). Stochastic Control for Linear Discrete-Time Distributed-Lag Models. IIASA Research Report. IIASA, Laxenburg, Austria: RR-77-018

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Abstract

In an important class of linear stochastic control problems distributed-lag state or control variables appear in the dynamics or in the observations. Optimal control and estimation theory is derived for such problems in discrete time using a simple procedure.

The results reduce computations from order N-cubed in the usual methods to order N-squared; they show the special structure of the time-lag controller and estimator more clearly; and they correspond closely to the known results for the continuous-time case.

Item Type: Monograph (IIASA Research Report)
Research Programs: System and Decision Sciences - Core (SDS)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 01:44
Last Modified: 15 Aug 2016 19:55
URI: http://pure.iiasa.ac.at/697

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