Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/85909
Authors: 
Balvers, Ronald J.
Mitchell, Douglas W.
Year of Publication: 
2001
Series/Report no.: 
Tinbergen Institute Discussion Paper 01-043/2
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.
Subjects: 
Linear-quadratic control
Riccati equation
Riccati reduction
Kalman filtering
Intertemporal optimization
JEL: 
C61
C63
D83
Document Type: 
Working Paper

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