Creator

• Sargent, Thomas J.

Series

• Working paper (Federal Reserve Bank of Minneapolis. Research Department)

Issue number

• 224

Date created

• 1988-11

Subject (JEL)

• C61 - Optimization Techniques; Programming Models; Dynamic Analysis
• D58 - Computable and Other Applied General Equilibrium Models
• C63 - Computational Techniques; Simulation Modeling

Keyword

• Equilibrium
• Rational expectations theory
• Dimensional prediction
• Kalman filter

Table of Contents

• Classical control and prediction theory ; Introduction to recursive control and prediction theory ; Controllability and stabilizability ; Reconstructibility and detectability ; Convergence and stability theorems for the optimal linear regulator problem ; The optimal observer ; Linear dynamic equilibrium models ; Combining recursive optimization and classical Ffltering to compute solutions of control problems.

Alternative title

• Lecture notes on linear optimal control, filtering, and rational expectations

Date modified

• 07/11/2019

Corporate Author

• Federal Reserve Bank of Minneapolis. Research Department

Publisher

• Federal Reserve Bank of Minneapolis

Resource type

• Research Paper

License

• Creative Commons BY-NC Attribution-NonCommercial 4.0 International

In Collection:

• Working Papers

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