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Preserving monotonicity in the numerical solution of Riccati differential equations

✍ Scribed by Luca Dieci; Timo Eirola

Publisher
Springer-Verlag
Year
1996
Tongue
English
Weight
110 KB
Volume
74
Category
Article
ISSN
0029-599X

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πŸ“œ SIMILAR VOLUMES

Numerical solutions of the algebraic mat
Numerical solutions of the algebraic matrix Riccati equation
✍ Hans M. Amman; Heinz Neudecker πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 349 KB

The linear-quadratic control model is one of the most widely used control models in both empirical and theoretical economic modeling. In order to obtain the equilibrium solution of this control model, the so-called algebraic matrix Riccati equation has to be solved. In this note we present a numeric