Linear Riccati Dynamics, Constant Feedback, and Controllability in Linear Quadratic Control Problems
AbstractConditions 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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Bibliographic InfoPaper provided by Department of Economics, West Virginia University in its series Working Papers with number 05-10 Classification- JEL: C61.
Length: 10 pages
Date of creation: 2005
Date of revision:
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Controllability; Riccati Equation; Linear Quadratic Control.;
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