Stochastic optimum control of macroeconometric models using the algorithm OPTCON

DOI10.1016/0377-2217(94)90273-9MaRDI QIDQ1330543zbMATH OpenOpenAlexFDO

Authors Reinhard Neck, Josef Matulka

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

approximate numerical solutionsnonlinear dynamic econometric modeloptimum control problemsquadratic objective function

Mathematics Subject Classification ID

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

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Cites work

• An Adaptive Learning Rule for Multiperiod Decision Problems
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• scientific article; zbMATH DE number 3456627 (Why is no real title available?)
• scientific article; zbMATH DE number 3492382 (Why is no real title available?)
• Matrix derivatives with an application to an adaptive linear decision problem
• OPTCON: An algorithm for the optimal control of nonlinear stochastic models

Cited in

(16)

• Computational aspects in applied stochastic control
• Constrained macroeconomic policy development with a separate predictive model.
• Optimal budgetary and monetary policies under uncertainty: A stochastic control approach
• Optimal control of nonlinear dynamic econometric models: an algorithm and an application
• Forward-looking variables in deterministic control
• An application of optimal control theory in economics: optimal fiscal and monetary policies in Iran
• Computing optimal control on MATLAB -- the SCOM package and economic growth models
• Stochastic control of econometric models for Slovenia
• New insights into optimal control of nonlinear dynamic econometric models: application of a heuristic approach
• scientific article; zbMATH DE number 3880568 (Why is no real title available?)
• Direct solution to an optimal control problem of econometric systems
• scientific article; zbMATH DE number 686948 (Why is no real title available?)
• Optimal control of fiscal policies for Austria: Applications of a stochastic control algorithm
• scientific article; zbMATH DE number 1990617 (Why is no real title available?)
• scientific article; zbMATH DE number 764428 (Why is no real title available?)
• OPTCON: An algorithm for the optimal control of nonlinear stochastic models

Describes a project that uses

Uses Software

• GAUSS
• OPTCON

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