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dc.contributor.authorBlueschke, Dmitrien_US
dc.contributor.authorBlueschke-Nikolaeva, Viktoriaen_US
dc.contributor.authorSavin, Ivanen_US
dc.date.accessioned2012-03-07en_US
dc.date.accessioned2012-04-11T09:26:49Z-
dc.date.available2012-04-11T09:26:49Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/56818-
dc.description.abstractOptimal 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.en_US
dc.language.isoengen_US
dc.publisherUniv. [u.a.] Jenaen_US
dc.relation.ispartofseriesJena economic research papers 2012,008en_US
dc.subject.jelC54en_US
dc.subject.jelC61en_US
dc.subject.jelE27en_US
dc.subject.jelE61en_US
dc.subject.jelE62en_US
dc.subject.ddc330en_US
dc.subject.keyworddifferential evolutionen_US
dc.subject.keyworddynamic programmingen_US
dc.subject.keywordnonlinear optimizationen_US
dc.subject.keywordoptimal controlen_US
dc.subject.stwÖkonometrisches Modellen_US
dc.subject.stwDynamisches Modellen_US
dc.subject.stwKontrolltheorieen_US
dc.subject.stwNichtlineare Optimierungen_US
dc.subject.stwHeuristisches Verfahrenen_US
dc.subject.stwTheorieen_US
dc.titleNew Insights into optimal control of nonlinear dynamic econometric models: Application of a heuristic approachen_US
dc.typeWorking Paperen_US
dc.identifier.ppn688045901en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Jena Economic Research Papers, MPI für Ökonomik

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