An improved algorithm to solve a discrete matrix Riccati equation

DOI10.1016/0165-1889(90)90006-3MaRDI QIDQ749484zbMATH OpenOpenAlexFDO

Authors Thierry Pujol

Publication date 1990

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1889(90)90006-3

zbMATH Keywords

factorisationfinite-horizon stabilization problemmatrix Riccati equationtime-invariant

Mathematics Subject Classification ID

Economic growth models (91B62) Synthesis problems (93B50) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Stabilization of systems by feedback (93D15)

Review text

For the linear econometric dynamic model \(X_ t=AX_{t-1}+BU_ t\), \(t\in N\), \(X_ t\in R^ n\), \(U_ t\in R^ q\), the objective function \(V=\sum^{T}_{1}(X_ t'QX_ t+U_ t'RU_ t)\), Q, R symmetric positive, \(Q\geq 0\), \(R\geq 0\) is considered in a finite-horizon stabilization problem. The paper presents an efficient algorithm which takes into account some features of optimal control problems in applied economics such as: rank Q is generally small, q is far smaller than n etc. The algorithm is based on a factorisation of the matrix Riccati equation and was suggested by various approaches in engineering science. Its efficiency is proved on an example using a French macroeconometric model.

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Cites work

• scientific article; zbMATH DE number 3678613 (Why is no real title available?)
• scientific article; zbMATH DE number 3473222 (Why is no real title available?)
• On a Matrix Riccati Equation of Stochastic Control
• On the discrete time algebraic Riccati equation
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• Stationary uncertainty frontiers in macroeconometric models and existence and uniqueness of solutions to matrix Riccati equations
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