New Insights into optimal control of nonlinear dynamic econometric models: Application of a heuristic approach

Arbeitspapier

Optimal control of dynamic econometric models has a wide variety of applications including economic policy relevant issues. There are several algorithms extending the basic case of a linear-quadratic optimization and taking nonlinearity and stochastics into account, but being still limited in a variety of ways, e.g., symmetry of the objective function and identical data frequencies of control variables. To overcome these problems, an alternative approach based on heuristics is suggested. To this end, we apply a classical algorithm (OPTCON) and a heuristic approach (Differential Evolution) to three different econometric models and compare their performance. In this paper we consider scenarios of symmetric and asymmetric quadratic objective functions. Results provide a strong support for the heuristic approach encouraging its further application to optimum control problems.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Jena Economic Research Papers ; No. 2012,008

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Quantitative Policy Modeling ; Optimization Techniques; Programming Models; Dynamic Analysis ; Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications ; Policy Objectives; Policy Designs and Consistency; Policy Coordination ; Fiscal Policy
• Thema: differential evolution ; dynamic programming ; nonlinear optimization ; optimal control ; Ökonometrisches Modell ; Dynamisches Modell ; Kontrolltheorie ; Nichtlineare Optimierung ; Heuristisches Verfahren ; Theorie

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Blueschke, Dmitri ; Blueschke-Nikolaeva, Viktoria ; Savin, Ivan
• Ereignis: Veröffentlichung
• (wer): Friedrich Schiller University Jena and Max Planck Institute of Economics
• (wo): Jena
• (wann): 2012

Weitere Informationen

• Handle: http://hdl.handle.net/10419/56818
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ