OPTCON: An algorithm for the optimal control of nonlinear stochastic models (Q684787)

The authors describe a new algorithm for the optimal control of nonlinear dynamic control that allows for additive uncertainty as well as for the presence of a stochastic parameter vector in the system equations. The first step consists in approximating the time-invariant nonlinear system by a time-varying linear system. Then the key idea is to use Bellman's principle of optimality to solve the problem. These two steps are repeated until convergence is reached or the number of iterations is larger than a prespectified number. Applications to two small econometric models for Austria are displayed.