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

matrix Riccati equationtime-invariantfactorisationfinite-horizon stabilization problem

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)

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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
• Second-order convergent algorithms for the steady-state Riccati equation†
• Square-root algorithms for least-squares estimation
• Stationary uncertainty frontiers in macroeconometric models and existence and uniqueness of solutions to matrix Riccati equations
• Sufficient Conditions for Optimal Stabilization Policies

Cited in

(5)

• Stationary uncertainty frontiers in macroeconometric models and existence and uniqueness of solutions to matrix Riccati equations
• A new computationally effective algorithm for solving the discrete Riccati equation
• Dual forecasting algorithm for technological structural matrices in dynamic input-output models
• scientific article; zbMATH DE number 1618013 (Why is no real title available?)
• scientific article; zbMATH DE number 4066722 (Why is no real title available?)

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