Constrained Optimal Control Under Limited Knowledge
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.
|Date of creation:||01 Apr 2001|
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- Powell, Alan A., 2000.
"From Dornbusch to Murphy: Stylized Monetary Dynamics of a Contemporary Macroeconometric Model,"
Journal of Policy Modeling,
Elsevier, vol. 22(1), pages 99-116, January.
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- 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.
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- P. Ruben Mercado & David Kendrick, 1999. "Caution in Macroeconomic Policy: Uncertainty and the Relative Intensity of Policy," Computing in Economics and Finance 1999 1343, Society for Computational Economics.
- 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. Full references (including those not matched with items on IDEAS)
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