A practical implementation for solutions to the algebraic matrix Riccati equation in an LQCM setting

DOI10.1016/S0165-1889(98)00002-5zbMath0911.90052MaRDI QIDQ1274837

R. B. Carroll, D. A. Brask

Publication date: 12 January 1999

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

superlinear convergenceBroyden's methodalgebraic matrix Riccati equationinfinite-horizon equilibrium solution

Mathematics Subject Classification ID

Abstract computational complexity for mathematical programming problems (90C60) Application models in control theory (93C95) Economic growth models (91B62) Linear-quadratic optimal control problems (49N10)

Cites Work

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• Numerical solutions of the algebraic matrix Riccati equation
• A new computationally effective algorithm for solving the discrete Riccati equation
• Numerical aspects of different Kalman filter implementations
• A Schur method for solving algebraic Riccati equations
• The discrete-time Riccati equation related to the H/sub ∞/ control problem
• On the Local and Superlinear Convergence of Quasi-Newton Methods
• A Class of Methods for Solving Nonlinear Simultaneous Equations

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