An improved algorithm to solve a discrete matrix Riccati equation

DOI10.1016/0165-1889(90)90006-3zbMATH Open0712.93017OpenAlexW2082933714MaRDI QIDQ749484FDOQ749484

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

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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)

Cites Work

• On a Matrix Riccati Equation of Stochastic Control
• 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
• Title not available (Why is that?)
• On the discrete time algebraic Riccati equation
• Title not available (Why is that?)
• Sufficient Conditions for Optimal Stabilization Policies

Cited In (4)

• 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
• Title not available (Why is that?)
• Title not available (Why is that?)

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