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 procedures are derived for such problems in discrete time. The results reduce computations from order N 3 in the usual methods to order N 2 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.
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