Stochastic optimum control of macroeconometric models using the algorithm OPTCON

DOI10.1016/0377-2217(94)90273-9zbMath0805.90020OpenAlexW2075930158MaRDI QIDQ1330543

Josef Matulka, Reinhard Neck

Publication date: 12 February 1995

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-2217(94)90273-9

zbMATH Keywords

quadratic objective functionapproximate numerical solutionsnonlinear dynamic econometric modeloptimum control problems

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Macroeconomic theory (monetary models, models of taxation) (91B64) Economic growth models (91B62) Optimal stochastic control (93E20)

Related Items (4)

Computational aspects in applied stochastic control ⋮ Optimal budgetary and monetary policies under uncertainty: A stochastic control approach ⋮ Constrained macroeconomic policy development with a separate predictive model. ⋮ OPTCON: An algorithm for the optimal control of nonlinear stochastic models

Uses Software

• GAUSS
• OPTCON

Cites Work

• OPTCON: An algorithm for the optimal control of nonlinear stochastic models
• Matrix derivatives with an application to an adaptive linear decision problem
• An Adaptive Learning Rule for Multiperiod Decision Problems
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