An improved algorithm to solve a discrete matrix Riccati equation

DOI10.1016/0165-1889(90)90006-3zbMath0712.93017OpenAlexW2082933714MaRDI QIDQ749484

Thierry Pujol

Publication date: 1990

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

Full work available at URL: https://doi.org/10.1016/0165-1889(90)90006-3

zbMATH Keywords

factorisationmatrix Riccati equationtime-invariantfinite-horizon stabilization problem

Mathematics Subject Classification ID

Stabilization of systems by feedback (93D15) Discrete-time control/observation systems (93C55) Linear systems in control theory (93C05) Economic growth models (91B62) Synthesis problems (93B50)

Cites Work

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• Stationary uncertainty frontiers in macroeconometric models and existence and uniqueness of solutions to matrix Riccati equations
• On the discrete time algebraic Riccati equation
• Square-root algorithms for least-squares estimation
• Second-order convergent algorithms for the steady-state Riccati equation†
• On a Matrix Riccati Equation of Stochastic Control
• Sufficient Conditions for Optimal Stabilization Policies

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