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Linear Riccati Dynamics, Constant Feedback, and Controllability in Linear Quadratic Control Problems

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Author Info

  • Ronald J. Balvers

    (Department of Economics, West Virginia University)

  • Douglas W. Mitchell

    (Department of Economics, West Virginia University)

Abstract

Conditions are derived for linear-quadratic control (LQC) problems to exhibit linear evolution of the Riccati matrix and constancy of the control feedback matrix. One of these conditions involves a matrix upon whose rank a necessary condition and a sufficient condition for controllability are based. Linearity of Riccati evolution allows for rapid iterative calculation, and constancy of the control feedback matrix allows for time-invariant comparative static analysis of policy reactions.

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File URL: http://www.be.wvu.edu/phd_economics/pdf/05-10.pdf
File Function: First version, 2005
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Bibliographic Info

Paper provided by Department of Economics, West Virginia University in its series Working Papers with number 05-10 Classification- JEL: C61.

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Length: 10 pages
Date of creation: 2005
Date of revision:
Handle: RePEc:wvu:wpaper:05-10

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Keywords: Controllability; Riccati Equation; Linear Quadratic Control.;

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  1. Klein, Paul, 2000. "Using the generalized Schur form to solve a multivariate linear rational expectations model," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 24(10), pages 1405-1423, September.
  2. Hans M. Amman & David A. Kendrick, . "Computational Economics," Online economics textbooks, SUNY-Oswego, Department of Economics, SUNY-Oswego, Department of Economics, number comp1, Spring.
  3. 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, Elsevier, vol. 24(3), pages 325-346, March.
  4. Anderson, Gary & Moore, George, 1985. "A linear algebraic procedure for solving linear perfect foresight models," Economics Letters, Elsevier, Elsevier, vol. 17(3), pages 247-252.
  5. Ehlgen, Jurgen, 1999. "A Nonrecursive Solution Method for the Linear-Quadratic Optimal Control Problem with a Singular Transition Matrix," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 13(1), pages 17-23, February.
  6. Blanchard, Olivier Jean & Kahn, Charles M, 1980. "The Solution of Linear Difference Models under Rational Expectations," Econometrica, Econometric Society, Econometric Society, vol. 48(5), pages 1305-11, July.
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