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Frequency Domain Contribution To Optimal Control Problem


  • Jan Brůha


Optimal control problem is considered: endogenous variables are to track some reference (targent) values. Uncertainty about future values of optimal targents may occur, so some pieces of information, about their characteristics may be very helpfu1. It will be shown, that certainty equivalence approach to this problem, when only mean value or (quadratic mean optimal) prediction may be unappropriate, name1y in financial management, where economic enviroment (and so the targents) are subject to high frequency changes, so more knowledge about variance-covariance characteristics across the time is crucia1. In macroeconomerics in evaluation of optimal stabilisation policies, this problem is not so serious, but also this contribution may yield interseting results.

Suggested Citation

  • Jan Brůha, 1998. "Frequency Domain Contribution To Optimal Control Problem," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 5(8).
  • Handle: RePEc:czx:journl:v:5:y:1998:i:8:id:62

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