Duality Theory for Non-Markovian Linear Gaussian Models

Abstract

This work develops a duality theory for partially observed linear Gaussian models in discrete time. The state process evolves according to a causal but non-Markovian (or higher-order Gauss-Markov) structure, captured by a lower-triangular transition operator, which is related to transformer, with $T$ as the context length. The main contributions are: (i) a dual control system for the linear Gaussian model, formulated as a backward difference equation (B $\Delta$ E); (ii) a duality principle establishing that a specific linear-quadratic optimal control problem for the B $\Delta$ E is dual to the filtering problem for the partially observed model; and (iii) an explicit optimal control formula yielding a novel (transformer-like) linear predictor, referred to as the dual filter, whose computational complexity scales linearly in the time horizon $T$, in contrast to the $O(T^3)$ cost of classical smoothing and Wiener-Hopf approaches.