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https://hdl.handle.net/10419/37494
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Blüschke-Nikolaeva, Viktoria | en |
dc.contributor.author | Blüschke, Dmitri | en |
dc.contributor.author | Neck, Reinhard | en |
dc.date.accessioned | 2010-08-11T09:10:42Z | - |
dc.date.available | 2010-08-11T09:10:42Z | - |
dc.date.issued | 2010 | - |
dc.identifier.uri | http://hdl.handle.net/10419/37494 | - |
dc.description.abstract | In 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. | en |
dc.language.iso | eng | en |
dc.publisher | |aVerein für Socialpolitik |cFrankfurt a. M. | en |
dc.relation.ispartofseries | |aBeiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Computational Econometrics |xA3-V3 | en |
dc.subject.jel | C61 | en |
dc.subject.jel | B22 | en |
dc.subject.jel | C88 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Optimal control | en |
dc.subject.keyword | Stochastic control | en |
dc.subject.keyword | Algorithms | en |
dc.subject.keyword | Econometric modeling | en |
dc.subject.keyword | Policy applications | en |
dc.title | Optimal Control of Nonlinear Dynamic Econometric Models: An Algorithm and an Application | - |
dc.type | Conference Paper | en |
dc.identifier.ppn | 654816778 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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