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