In many practical problems in signal processing and control, the signal values are often restricted to belong to a finite number of levels. These questions are generally referred to as "finite alphabet" problems. There are many applications of this class of problems including: on-off control, optimal audio quantization, design of finite impulse response filters having quantized coefficients, equalization of digital communication channels subject to intersymbol interference, and control over networked communication channels. This paper will explain how this diverse class of problems can be formulated as optimization problems having finite alphabet constraints. Methods for solving these problems will be described and it will be shown that a semi-closed form solution exists. Special cases of the result include well known practical algorithms such as optimal noise shaping quantizers in audio signal processing and decision feedback equalizers in digital communication. Associated stability questions will also be addressed and several real world applications will be presented.