Analytic Derivatives for Estimation of Discrete-Time, Linear-Quadratic, Dynamic, Optimization Models

DOI10.2307/1911082zbMath0667.90026OpenAlexW2318744121MaRDI QIDQ3820341

Peter A. Zadrozny

Publication date: 1988

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1911082

zbMATH Keywords

gradient algorithmsnonlinear estimationKalman-filteringdiscrete-time, linear-quadratic, infinite-horizon, dynamic, optimization

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Applications of mathematical programming (90C90) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05) Dynamic programming (90C39) Economic growth models (91B62)

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Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples ⋮ Analytic derivatives for estimation of linear dynamic models

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