Reducing the dimensionality of linear quadratic control problems

DOI10.1016/j.jedc.2005.09.013zbMath1162.49304OpenAlexW2011682559WikidataQ61772944 ScholiaQ61772944MaRDI QIDQ959725

Ronald J. Balvers, Douglas W. Mitchell

Publication date: 12 December 2008

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

Full work available at URL: https://papers.tinbergen.nl/01043.pdf

zbMATH Keywords

Riccati equationKalman filteringlinear-quadratic controlintertemporal optimizationRiccati reduction

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Linear-quadratic optimal control problems (49N10) Synthesis problems (93B50)

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