OPTCON2

An Algorithm for the Optimal Control of Nonlinear Stochastic Models

von Viktoria Blüschke-Nikolaeva

72 Seiten, Taschenbuch

Kurzbeschreibung des Verlags

This book considers the OPTCON2 algorithm which delivers numerical solutions to optimum control problems with a quadratic objective function for nonlinear dynamic 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. The applicability of the algorithm is demonstrated by experiments with two existing models, MacRae and Abel, as well as two new macroeconomic models, SLOVNL and SLOVL, which were developed for the purposes of this research. These illustrate the convergence and the practical usefulness of the algorithm and (in most cases) the superiority of open-loop feedback over open-loop controls.

• Themen: Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management Wirtschaftswissenschaft
• ISBN: 9783838136363
• Sprache: Englisch
• Erscheinungsdatum: 12.07.2015
• Größe: 220 x 150 mm
• Verlag: Südwestdeutscher Verlag für Hochschulschriften AG Co. KG