An analytic Riccati solution for two-target discrete-time control
نویسنده
چکیده
This paper analytically solves the Riccati equation of discrete optimal control with two targets and one tool. This is accomplished by reducing the problem to a nonlinear univariate dynamic equation; this can be solved by a suitable transformation of variable. Beyond its direct application to two-target economic problems, the present approach may provide insight toward the eventual solution of the general Riccati equation. ( 2000 Elsevier Science B.V. All rights reserved. JEL classixcation: C61
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