Consider the discrete-time state equation and feedback control rule (1) x(t) = Fx(t-1) + Gu(t) + e(t), (2) u(t) = Px(t-1), where x is an nx1 state vector, u is an mx1 control variable, and e is an nx1 disturbance distributed NIID(0,S), F and G are nxn and nxm parameter matrices, and P is an mxn...

The purpose of the paper is to derive and illustrate a new suboptimal-consistent feedback solution for infinite-horizon linear-quadratic dynamic Stackelberg games which is in the same solution space as the infinite-horizon dynamic programming feedback solution, but which puts the leader in a...

This paper describes an application of numerical methods to solve a continuous time non-linear optimal growth model with technology adoption. In the model, a non-convex production function arises from a threshold level of knowledge required to operate new technology. The study explains and...

The paper obtains two principal results. First, using a new definition ofhigher-order (2) matrix derivatives, the paper derives a recursion forcomputing any Gaussian multivariate moment. Second, the paper uses this resultin a perturbation method to derive equations for computing the...

The paper obtains two principal results. First, using a new definition of higher-order (2) matrix derivatives, the paper derives a recursion for computing any Gaussian multivariate moment. Second, the paper uses this result in a perturbation method to derive equations for computing the 4th-order...

Fourth-order multi-step perturbation (MSP) is described and applied as a general method for numerically solving nonlinear, differentiable, algebraic equations which are first-order conditions of economic optimization problems. MSP is first described at a general level and is, then, applied to...