Numerical solutions of the algebraic matrix Riccati equation

DOI10.1016/S0165-1889(96)00936-0zbMATH Open0879.90040OpenAlexW2144429983MaRDI QIDQ673254FDOQ673254

Authors: Hans M. Amman, Heinz Neudecker 

Publication date: 28 February 1997

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

Full work available at URL: https://doi.org/10.1016/s0165-1889(96)00936-0

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zbMATH Keywords

Algebraic matrix Riccati equationEquilibrium solutionNewton numerical solution method

Mathematics Subject Classification ID

Economic growth models (91B62) Application models in control theory (93C95)

Cites Work

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• Dynamic programming and stochastic control
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• A new computationally effective algorithm for solving the discrete Riccati equation
• The discrete-time Riccati equation related to the H/sub ∞/ control problem
• Nonconvexities in Stochastic Control Models
• A note on computing competitive equilibria in linear models
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Cited In (18)

• Algorithm for solving algebraic Riccati equation which has singular Hamiltonian matrix
• Reducing the dimensionality of linear quadratic control problems
• Title not available (Why is that?)
• An analytic Riccati solution for two-target discrete-time control
• Optimizing Static Linear Feedback: Gradient Method
• A practical implementation for solutions to the algebraic matrix Riccati equation in an LQCM setting
• Mitigation of the Lucas critique with stochastic control methods
• Computing the steady state of linear quadratic optimization models with rational expectations
• Eigenfactor solution of the matrix Riccati equation--A continuous square root algorithm
• Numerical Solution of Projected Algebraic Riccati Equations
• Title not available (Why is that?)
• An improved algorithm to solve a discrete matrix Riccati equation
• Stationary uncertainty frontiers in macroeconometric models and existence and uniqueness of solutions to matrix Riccati equations
• Applying the Newton-Raphson method in order to solve the Riccati algebraic equations in dynamic structural controlled models
• Using the generalized Schur form to solve a multivariate linear rational expectations model
• Title not available (Why is that?)
• Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems
• Efficient Solution of Algebraic Bernoulli Equations Using ℋ-Matrix Arithmetic

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