LQ control in lectures

[jlperla]

Survey of usage of LQ control functionality. See #213 for more on the related kalman and LSS models.

• https://julia.quantecon.org/dynamic_programming/lqcontrol.html
  • Finite and infinite horizon linear quadratic guassian
  • calculate infinite horizon stationary solution
  • calculate optimal solution and simulate
  • include cross-product term
• https://julia.quantecon.org/dynamic_programming/perm_income.html and https://julia.quantecon.org/dynamic_programming/smoothing.html
  • none. does things manually.
• https://julia.quantecon.org/dynamic_programming/robustness.html
  • robust LQ
• https://julia.quantecon.org/multi_agent_models/markov_perf.html
• https://julia.quantecon.org/multi_agent_models/rational_expectations.html

Dynamic programming squared

• https://julia.quantecon.org/dynamic_programming_squared/dyn_stack.html
• https://julia.quantecon.org/dynamic_programming_squared/lqramsey.html

And time-series may do its own thing in part.

Some packages to consider:

• Manually add to DifferenceEquations at some point?
• https://juliacontrol.github.io/ControlSystems.jl/dev/examples/example/#LQR-design
• https://juliacontrol.github.io/RobustAndOptimalControl.jl/dev/ related package for LQ gaussian control and robust control