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lectures/lqcontrol.md

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@@ -48,7 +48,7 @@ Moreover, while the linear-quadratic structure is restrictive, it is in fact far
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These themes appear repeatedly below.
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Mathematically, LQ control problems are closely related to {doc}`the Kalman filter <kalman>`
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Mathematically, LQ control problems are closely related to {doc}`<kalman>`
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* Recursive formulations of linear-quadratic control problems and Kalman filtering problems both involve matrix [Riccati equations](https://en.wikipedia.org/wiki/Riccati_equation).
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* Classical formulations of linear control and linear filtering problems make use of similar matrix decompositions (see for example[Classical Control with Linear Algebra](https://python-advanced.quantecon.org/lu_tricks.html) and [Classical Prediction and Filtering With Linear Algebra](https://python-advanced.quantecon.org/classical_filtering.html)).
@@ -57,7 +57,7 @@ In reading what follows, it will be useful to have some familiarity with
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* matrix manipulations
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* vectors of random variables
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* dynamic programming and the Bellman equation (see for example {doc}`Shortest Paths <intro:short_path>` and {doc}`Optimal Growth <optgrowth>`)
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* dynamic programming and the Bellman equation (see for example {doc}`<intro:short_path>` and {doc}`<optgrowth>`)
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For additional reading on LQ control, see, for example,
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@@ -166,37 +166,27 @@ In particular, if we write
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```{math}
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:label: lq_lowmc
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\left(
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\begin{array}{c}
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\begin{bmatrix}
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a_{t+1} \\
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1
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\end{array}
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\right) =
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\left(
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\begin{array}{cc}
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\end{bmatrix} =
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\begin{bmatrix}
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1 + r & -\bar c + \mu \\
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0 & 1
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\end{array}
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\right)
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\left(
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\begin{array}{c}
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\end{bmatrix}
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\begin{bmatrix}
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a_t \\
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1
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\end{array}
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\right) +
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\left(
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\begin{array}{c}
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\end{bmatrix}
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\begin{bmatrix}
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-1 \\
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0
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\end{array}
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\right)
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\end{bmatrix}
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u_t +
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\left(
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\begin{array}{c}
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\begin{bmatrix}
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\sigma \\
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0
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\end{array}
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\right)
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\end{bmatrix}
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w_{t+1}
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```
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### Solution
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To solve the finite horizon LQ problem we can use a dynamic programming
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strategy based on backward induction that is conceptually similar to the approach adopted in {doc}`Shortest Paths <intro:short_path>`.
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strategy based on backward induction that is conceptually similar to the approach adopted in {doc}`<intro:short_path>`.
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For reasons that will soon become clear, we first introduce the notation $J_T(x) = x^\top R_f x$.
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