Skip to main content

Solution of Linear-Quadratic-Gaussian Dynamic Games Using Variational Methods

Staff Report 105 | Published July 1, 1986

Download PDF

Author

William Roberds

Solution of Linear-Quadratic-Gaussian Dynamic Games Using Variational Methods

Abstract

Methods are presented for solving a certain class of rational expectations models, principally those that arise from dynamic games. The methods allow for numerical solution using spectral factorization algorithms and for estimation of these models using maximum likelihood techniques.