An analytic Riccati solution for two-target discrete-time control

This paper analytically solves the Riccati equation of discrete optimal con trol with two targets and one tool. This is accomplished by reducing the pr oblem to a nonlinear univariate dynamic equation; this can be solved by a s uitable transformation of variable. Beyond its direct application to two-ta rget economic problems, the present approach may provide insight toward the eventual solution of the general Riccati equation. (C) 2000 Elsevier Scien ce B.V. All rights reserved.