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.


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    Title :

    Optimal Control of Nonlinear Dynamic Econometric Models: An Algorithm and an Application



    Publication date :

    2010-01-01


    Type of media :

    Conference paper


    Type of material :

    Electronic Resource


    Language :

    English



    Classification :

    DDC:    330 / 629







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