Discounted linear exponential quadratic Gaussian control

1995/05/01 by Lars Peter Hansen, L.P. Hansen, Thomas J. Sargent +1 · 319 citations
Economics, Econometrics and Finance · Engineering · Mathematics · #Advanced Control Systems Optimization #Applied mathematics #Climate Change Policy and Economics #Economic theories and models #Exponential function #Gaussian #Invariant (physics) #Linear-quadratic regulator #Linear-quadratic-Gaussian control #Mathematical analysis #Mathematical economics #Mathematical optimization #Mathematics #Optimal control #Quadratic equation #Time horizon

paper · doi:10.1109/9.384242

published in IEEE Transactions on Automatic Control 40(5), 968-971 (Institute of Electrical and Electronics Engineers)

openalex publication_date 1995/05/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/29

Abstract

In this note, we describe a recursive formulation of discounted costs for a linear quadratic exponential Gaussian linear regulator problem which implies time-invariant linear decision rules in the infinite horizon case. Time invariance in the discounted case is attained by surrendering state-separability of the risk-adjusted costs.>

Citations

• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Temporal Resolution of Uncertainty and Dynamic Choice Theory

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