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Constrained Optimal Control Under Limited Knowledge

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  • Ric D. Herbert and Rod D. Bell
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    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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    Bibliographic Info

    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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    Web page: http://www.econometricsociety.org/conference/SCE2001/SCE2001.html
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    Keywords: Constrained Optimal Control; Monetary Policy;

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    1. Orphanides, Athanasios & Wieland, Volker, 2000. "Inflation zone targeting," European Economic Review, Elsevier, vol. 44(7), pages 1351-1387, June.
    2. Alan A. Powell, 1998. "From Dornbusch to Murphy: Stylized Monetary Dynamics of a contemporary Macroeconometric Model," Centre of Policy Studies/IMPACT Centre Working Papers ip-69, Victoria University, Centre of Policy Studies/IMPACT Centre.
    3. 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.
    4. 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.
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