Numerical solutions of the algebraic matrix Riccati equation

DOI10.1016/S0165-1889(96)00936-0MaRDI QIDQ673254zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Algebraic matrix Riccati equationEquilibrium solutionNewton numerical solution method

Mathematics Subject Classification ID

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

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Cites work

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• scientific article; zbMATH DE number 1099380 (Why is no real title available?)
• scientific article; zbMATH DE number 3435336 (Why is no real title available?)
• scientific article; zbMATH DE number 802915 (Why is no real title available?)
• A new computationally effective algorithm for solving the discrete Riccati equation
• A note on computing competitive equilibria in linear models
• Dynamic programming and stochastic control
• Nonconvexities in Stochastic Control Models
• The discrete-time Riccati equation related to the H/sub ∞/ control problem

Cited in

(18)

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• 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
• scientific article; zbMATH DE number 4187037 (Why is no real title available?)
• An improved algorithm to solve a discrete matrix Riccati equation
• Optimizing static linear feedback: gradient method
• 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
• scientific article; zbMATH DE number 1618013 (Why is no real title available?)
• 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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