Optimal Control of Nonlinear Dynamic Econometric Models: An Algorithm and an Application
AbstractIn this paper, we present a new version of the OPTCON algorithm for the optimal control of nonlinear stochastic systems with special reference to econometric models. It delivers approximate numerical solutions of optimum control problems with a quadratic objective function for nonlinear econometric models with additive and multiplicative (parameter) uncertainties. The algorithm was programmed in C# and allows for deterministic and stochastic control, the latter with open-loop and passive learning (open-loop feedback) information patterns. We demonstrate the applicability of the algorithm by experiments with a small quarterly macroeconometric model for Slovenia. This shows the convergence and the practical usefulness of the algorithm and (in most cases) the superiority of open-loop feedback over open-loop controls.
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Bibliographic InfoPaper provided by COMISEF in its series Working Papers with number 032.
Length: 48 pages
Date of creation: 22 Feb 2010
Date of revision:
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Web page: http://www.comisef.eu
Optimal control; Stochastic control; Algorithms; Econometric modeling; Policy applications;
Other versions of this item:
- Blueschke-Nikolaeva, V. & Blueschke, D. & Neck, R., 2012. "Optimal control of nonlinear dynamic econometric models: An algorithm and an application," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3230-3240.
- NEP-ALL-2010-04-24 (All new papers)
- NEP-CMP-2010-04-24 (Computational Economics)
- NEP-ORE-2010-04-24 (Operations Research)
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