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Reducing the dimensionality of linear quadratic control problems

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Author Info

  • Balvers, Ronald J.
  • Mitchell, Douglas W.

Abstract

In linear-quadratic control (LQC) problems with singular control cost matrix and/or singular transition matrix, we derive a reduction of the dimension of the Riccati matrix, simplifying iteration and solution. Employing a novel transformation, we show that, under a certain rank condition, the matrix of optimal feedback coefficients is linear in the reduced Riccati matrix. For a substantive class of problems, our technique permits scalar iteration, leading to simple analytical solution. By duality the technique can also be applied to Kalman filtering problems with a singular measurement error covariance matrix.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 31 (2007)
Issue (Month): 1 (January)
Pages: 141-159

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Handle: RePEc:eee:dyncon:v:31:y:2007:i:1:p:141-159

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Web page: http://www.elsevier.com/locate/jedc

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Cited by:
  1. Mehari Mekonnen Akalu, 2002. "Measuring and Ranking Value Drivers," Tinbergen Institute Discussion Papers 02-043/2, Tinbergen Institute.

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