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01-043/2 - Reducing the Dimensionality of Linear Quadratic Control Problems


  • Authors
    Ronald J. Balvers, West Virginia University, USA; Douglas W. Mitchell, West Virginia University, USA
  • Publication date
    April 11, 2001
  • Keywords
    Linear-quadratic control; Riccati equation; Riccati reduction; Kalman filtering; Intertemporal optimization
  • JEL
    C61; C63; D83