Computing the steady state of linear quadratic optimization models with rational expectations

DOI10.1016/S0165-1765(97)00263-2zbMath0908.90039MaRDI QIDQ1129157

David A. Kendrick, Hans M. Amman

Publication date: 13 August 1998

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

stochastic optimizationrational expectationsmacroeconomicscomputational economics

Mathematics Subject Classification ID

Economic growth models (91B62) Linear-quadratic optimal control problems (49N10)

Related Items (9)

Dualization and discretization of linear-quadratic control problems with bang-bang solutions ⋮ The linearisation and optimal control of large nonlinear rational expectations models by persistent excitation ⋮ A geometric programming approach to profit maximization ⋮ A computational method for the maximization of long-run and short-run profit ⋮ Douglas–Rachford algorithm for control-constrained minimum-energy control problems ⋮ Optimal Control Duality and the Douglas–Rachford Algorithm ⋮ Solution algorithm to a class of monetary rational equilibrium macromodels with optimal monetary policy design ⋮ Mitigation of the Lucas critique with stochastic control methods ⋮ Stochastic policy design in a learning environment with rational expectations.

Cites Work

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• Numerical solutions of the algebraic matrix Riccati equation
• Solving stochastic optimization models with learning and rational expectations
• Handbook of computational economics. Vol. 1
• Solving linear rational expectations models
• The Solution of Linear Difference Models under Rational Expectations
• LINEAR-QUADRATIC OPTIMIZATION FOR MODELS WITH RATIONAL EXPECTATIONS
• An Algorithm for Generalized Matrix Eigenvalue Problems

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