Stochastic Control for Linear Discrete-Time Distributed-Lag Models

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/715 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/715 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/715 archive 351 disk0/00/00/06/97 2016-01-15 01:44:01 2021-08-27 17:08:34 2016-01-15 01:44:01 monograph show 3 Arthur W.B. 518 Stochastic Control for Linear Discrete-Time Distributed-Lag Models pub iis_met iis_mod prog_sds 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. 1977-08 published RR-77-018 RR-77-018 10 1694 public research_report IIASA, Laxenburg, Austria 14 TRUE FALSE info:eu-repo/semantics/book