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dc.contributor.authorBlueschke, Dmitrien
dc.contributor.authorBlueschke-Nikolaeva, Viktoriaen
dc.contributor.authorSavin, Ivanen
dc.date.accessioned2012-03-07-
dc.date.accessioned2012-04-11T09:26:49Z-
dc.date.available2012-04-11T09:26:49Z-
dc.date.issued2012-
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
dc.language.isoengen
dc.publisher|aFriedrich Schiller University Jena and Max Planck Institute of Economics |cJenaen
dc.relation.ispartofseries|aJena Economic Research Papers |x2012,008en
dc.subject.jelC54en
dc.subject.jelC61en
dc.subject.jelE27en
dc.subject.jelE61en
dc.subject.jelE62en
dc.subject.ddc330en
dc.subject.keyworddifferential evolutionen
dc.subject.keyworddynamic programmingen
dc.subject.keywordnonlinear optimizationen
dc.subject.keywordoptimal controlen
dc.subject.stwÖkonometrisches Modellen
dc.subject.stwDynamisches Modellen
dc.subject.stwKontrolltheorieen
dc.subject.stwNichtlineare Optimierungen
dc.subject.stwHeuristisches Verfahrenen
dc.subject.stwTheorieen
dc.titleNew Insights into optimal control of nonlinear dynamic econometric models: Application of a heuristic approach-
dc.typeWorking Paperen
dc.identifier.ppn688045901en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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