Sensory observations about the world are invariably ambiguous. Inference about the world's latent variables is thus an important computation for the brain. However, computational constraints limit the performance of these computations. These constraints include energetic costs for neural activity and noise for every channel. Efficient coding is a prominent theory that describes how limited resources can be used best. In one incarnation, this leads to a theory of predictive coding, where predictions are subtracted from signals, reducing the cost of sending something that is already known. This theory does not, however, account for the costs or noise associated with those predictions. Here we offer a theory that accounts for both feedforward and feedback costs, and noise in all computations. We formulate this inference problem as message-passing on a graph whereby feedback is viewed as a control signal aiming to maximize how well an inference tracks a target state while minimizing the costs of computation. We apply this novel formulation of inference as control to the canonical problem of inferring the hidden scalar state of a linear dynamical system with Gaussian variability. Our theory predicts the gain of optimal predictive feedback and how it is incorporated into the inference computation. We show that there is a non-monotonic dependence of optimal feedback gain as a function of both the computational parameters and the world dynamics, and we reveal phase transitions in whether feedback provides any utility in optimal inference under computational costs.