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Numerical solutions of the algebraic matrix Riccati equation

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  • Amman, Hans M.
  • Neudecker, Heinz

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  • Amman, Hans M. & Neudecker, Heinz, 1997. "Numerical solutions of the algebraic matrix Riccati equation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(2-3), pages 363-369.
    • Handle: RePEc:eee:dyncon:v:21:y:1997:i:2-3:p:363-369
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    References listed on IDEAS

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    1. Amman, Hans, 1996. "Numerical methods for linear-quadratic models," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 13, pages 587-618, Elsevier.
    2. Amman, Hans M & Kendrick, David A, 1995. "Nonconvexities in Stochastic Control Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 36(2), pages 455-475, May.
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    Cited by:

    1. Carroll, R. B. & Brask, D. A., 1998. "A practical implementation for solutions to the algebraic matrix Riccati equation in a LQCM setting," Journal of Economic Dynamics and Control, Elsevier, vol. 23(1), pages 1-7, September.
    2. Hans M. Amman & Marco P. Tucci, 2020. "How Active is Active Learning: Value Function Method Versus an Approximation Method," Computational Economics, Springer;Society for Computational Economics, vol. 56(3), pages 675-693, October.
    3. Balvers, Ronald J. & Mitchell, Douglas W., 2007. "Reducing the dimensionality of linear quadratic control problems," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 141-159, January.
    4. Amman, Hans M. & Kendrick, David A., 2003. "Mitigation of the Lucas critique with stochastic control methods," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11-12), pages 2035-2057, September.
    5. Binder, Michael & Pesaran, Hashem, 2000. "Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems," Journal of Economic Dynamics and Control, Elsevier, vol. 24(3), pages 325-346, March.
    6. Amman, Hans & Kendrick, David, 1999. "Linear-Quadratic Optimization For Models With Rational Expectations," Macroeconomic Dynamics, Cambridge University Press, vol. 3(4), pages 534-543, December.
    7. Amman, Hans M. & Kendrick, David A., 1998. "Computing the steady state of linear quadratic optimization models with rational expectations," Economics Letters, Elsevier, vol. 58(2), pages 185-191, February.
    8. Mitchell, Douglas W., 2000. "An analytic Riccati solution for two-target discrete-time control," Journal of Economic Dynamics and Control, Elsevier, vol. 24(4), pages 615-622, April.
    9. Fidel Gonzalez, 2008. "Precautionary Principle and Robustness for a Stock Pollutant with Multiplicative Risk," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 41(1), pages 25-46, September.
    10. Klein, Paul, 2000. "Using the generalized Schur form to solve a multivariate linear rational expectations model," Journal of Economic Dynamics and Control, Elsevier, vol. 24(10), pages 1405-1423, September.

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