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Arthur, W.B. (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: | 27 Aug 2021 17:08 |
| URI: | https://pure.iiasa.ac.at/697 |
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