A Nonrecursive Solution Method for the Linear-Quadratic Optimal Control Problem with a Singular Transition Matrix

Jurgen Ehlgen

Computational Economics, 1999, vol. 13, issue 1, 17-23

Abstract: In the optimal linear regulator problem the control vector is usually determined by solving the algebraic matrix Riccati equation using successive substitutions. This, however, can be rather inefficient from a computational point of view. A nonrecursive method which requires that the transition matrix is nonsingular has been proposed by Vaughan (1970). In the present paper we present a nonrecursive solution to the matrix Riccati equation for the case that the transition matrix may be singular. We show that this procedure leads to the same numerical results as the standard iteration of the matrix Riccati equation. Citation Copyright 1999 by Kluwer Academic Publishers.

Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://journals.kluweronline.com/issn/0927-7099/contents (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:compec:v:13:y:1999:i:1:p:17-23

Ordering information: This journal article can be ordered from
http://www.springer. ... ry/journal/10614/PS2

Access Statistics for this article

Computational Economics is currently edited by Hans Amman

More articles in Computational Economics from Springer, Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().