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Constrained Optimal Control Under Limited Knowledge

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Author Info
Ric D. Herbert and Rod D. Bell
Abstract

This paper examines the issue of the generation of optimal control policies where there are explicit constraints upon the control values and there is limited knowledge of the complex economic system. The paper develops a methodology where the constrained optimal control is based upon a learning model that predicts the policy targets for the economic system. A subset of the control policy is applied to the economic system and from the response of the system a new predictive model and resultant optimal controls are generated. The methodology is then repeated. Numeric examples of the methodology as applied to a macroeconomic model are presented in the paper.

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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2001 with number 14.

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Date of creation: 01 Apr 2001
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Handle: RePEc:sce:scecf1:14

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Related research
Keywords: Constrained Optimal Control; Monetary Policy;

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Find related papers by JEL classification:
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques
C61 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Optimization Techniques; Programming Models; Dynamic Analysis
E61 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Policy Objectives; Policy Designs and Consistency; Policy Coordination

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  1. Powell, A.A., 1995. "From Dornbush to Murphy: Stylized Monetary Dynamics of a Contemporary Macroeconometric Model," Monash Econometrics and Business Statistics Working Papers 13/95, Monash University, Department of Econometrics and Business Statistics.
    Other versions:
  2. Murphy, C W, 1988. "An Overview of the Murphy Model," Australian Economic Papers, Blackwell Publishing, vol. 27(0), pages 175-99, Supplemen.
  3. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December. [Downloadable!] (restricted)
  4. Orphanides, Athanasios & Wieland, Volker, 2000. "Inflation zone targeting," European Economic Review, Elsevier, vol. 44(7), pages 1351-1387, June. [Downloadable!] (restricted)
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  5. Mercado, P. Ruben & Kendrick, David A., 2000. "Caution in macroeconomic policy: uncertainty and the relative intensity of policy," Economics Letters, Elsevier, vol. 68(1), pages 37-41, July. [Downloadable!] (restricted)
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  6. Neck, Reinhard & Matulka, Josef, 1994. "Stochastic optimum control of macroeconometric models using the algorithm OPTCON," European Journal of Operational Research, Elsevier, vol. 73(2), pages 384-405, March. [Downloadable!] (restricted)
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