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Riccati: Add option to use scipy.linalg.solve_discrete_are #362

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merged 1 commit into from
Oct 25, 2017
Merged

Riccati: Add option to use scipy.linalg.solve_discrete_are #362

merged 1 commit into from
Oct 25, 2017

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oyamad
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@oyamad oyamad commented Oct 24, 2017

Close #360

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Coverage increased (+0.02%) to 94.894% when pulling 6858018 on oyamad:riccati-scipy into 6b1f9a8 on QuantEcon:master.

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oyamad commented Oct 24, 2017

In future PRs, we may add a method option to the following as well:

  • In robustlq.py:

    • RBLQ.robust_rule, RBLQ.F_to_K, RBLQ.K_to_F which call lq.stationary_values

  • In kalman.py:

    • Kalman.stationary_values which calls solve_discrete_riccati
    • Kalman.whitener_lss, Kalman.stationary_coefficients, Kalman.stationary_innovation_covar which call Kalman.stationary_values

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mmcky commented Oct 24, 2017

Thanks @oyamad for this addition -- This looks ready to merge.
I will leave open one more day for any other comment.

@mmcky mmcky added the ready label Oct 24, 2017
@mmcky mmcky merged commit ad6be3e into QuantEcon:master Oct 25, 2017
@oyamad oyamad deleted the riccati-scipy branch October 26, 2017 00:26
This was referenced Oct 26, 2017
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