{"@context":["https://w3id.org/fdo/context/v1",{"schema":"https://schema.org/","prov":"http://www.w3.org/ns/prov#","fdo":"https://w3id.org/fdo/vocabulary/"}],"@id":"https://fdo.portal.mardi4nfdi.de/fdo/Q749484","@type":"DigitalObject","kernel":{"@id":"https://fdo.portal.mardi4nfdi.de/fdo/Q749484","digitalObjectType":"https://schema.org/ScholarlyArticle","primaryIdentifier":"mardi:Q749484","kernelVersion":"v1","immutable":true,"modified":"2026-01-07T03:44:11Z"},"profile":{"@context":"https://schema.org","@type":"ScholarlyArticle","@id":"https://portal.mardi4nfdi.de/entity/Q749484","name":"An improved algorithm to solve a discrete matrix Riccati equation","headline":"An improved algorithm to solve a discrete matrix Riccati equation","description":"scientific article; zbMATH DE number 4172839","url":"https://portal.mardi4nfdi.de/entity/Q749484","datePublished":"1990-00-00","author":[{"@id":"https://portal.mardi4nfdi.de/entity/Q749483"}],"publisher":[{"@id":"https://portal.mardi4nfdi.de/entity/Q73630"}],"identifier":{"@type":"PropertyValue","propertyID":"doi","value":"10.1016/0165-1889(90)90006-3","url":"https://doi.org/10.1016/0165-1889(90)90006-3"},"sameAs":["https://doi.org/10.1016/0165-1889(90)90006-3"],"comment":"For the linear econometric dynamic model \\(X_ t=AX_{t-1}+BU_ t\\), \\(t\\in N\\), \\(X_ t\\in R^ n\\), \\(U_ t\\in R^ q\\), the objective function \\(V=\\sum^{T}_{1}(X_ t'QX_ t+U_ t'RU_ t)\\), Q, R symmetric positive, \\(Q\\geq 0\\), \\(R\\geq 0\\) is considered in a finite-horizon stabilization problem. The paper presents an efficient algorithm which takes into account some features of optimal control problems in applied economics such as: rank Q is generally small, q is far smaller than n etc. The algorithm is based on a factorisation of the matrix Riccati equation and was suggested by various approaches in engineering science. Its efficiency is proved on an example using a French macroeconometric model.","citation":[{"@id":"https://portal.mardi4nfdi.de/entity/Q4165834"},{"@id":"https://portal.mardi4nfdi.de/entity/Q5663604"},{"@id":"https://portal.mardi4nfdi.de/entity/Q4057498"},{"@id":"https://portal.mardi4nfdi.de/entity/Q3874826"},{"@id":"https://portal.mardi4nfdi.de/entity/Q4085594"},{"@id":"https://portal.mardi4nfdi.de/entity/Q1110438"},{"@id":"https://portal.mardi4nfdi.de/entity/Q4052001"},{"@id":"https://portal.mardi4nfdi.de/entity/Q5573782"}]},"provenance":{"prov:generatedAtTime":"2026-01-07T03:44:11Z","prov:wasAttributedTo":"MaRDI Knowledge Graph"}}