Numerical solutions of the algebraic matrix Riccati equation

DOI10.1016/S0165-1889(96)00936-0zbMath0879.90040OpenAlexW2144429983MaRDI QIDQ673254

Hans M. Amman, Heinz Neudecker

Publication date: 28 February 1997

Published in: Journal of Economic Dynamics \& 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

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

Related Items (9)

Computing the steady state of linear quadratic optimization models with rational expectations ⋮ Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems ⋮ Mitigation of the Lucas critique with stochastic control methods ⋮ Optimizing Static Linear Feedback: Gradient Method ⋮ Reducing the dimensionality of linear quadratic control problems ⋮ A practical implementation for solutions to the algebraic matrix Riccati equation in an LQCM setting ⋮ Using the generalized Schur form to solve a multivariate linear rational expectations model ⋮ Applying the Newton—Raphson method in order to solve the Riccati algebraic equations in dynamic structural controlled models ⋮ An analytic Riccati solution for two-target discrete-time control

Cites Work

• Dynamic programming and stochastic control
• A note on computing competitive equilibria in linear models
• 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
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