@inproceedings{Bluschke-Nikolaeva2010Optimal,
abstract = {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.},
address = {Frankfurt a. M.},
author = {Viktoria Bl\"{u}schke-Nikolaeva and Dmitri Bl\"{u}schke and Reinhard Neck},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C61; B22; C88; 330; Optimal control; Stochastic control; Algorithms; Econometric modeling; Policy applications},
language = {eng},
number = {A3-V3},
publisher = {Verein f\"{u}r Socialpolitik},
series = {Beitr\"{a}ge zur Jahrestagung des Vereins f\"{u}r Socialpolitik 2010: \"{O}konomie der Familie - Session: Computational Econometrics},
title = {Optimal Control of Nonlinear Dynamic Econometric Models: An Algorithm and an Application},
url = {http://hdl.handle.net/10419/37494},
year = {2010}
}
