- A-Z
- Jena Economic Resea...
- Volume 6
- New Insights Into O...
- Abgebildete Person
- Erschienen
- 7. März 2012
- Nummer des Discussion-Papers
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2012-008
- Schlagwort(e)
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Differential evolution
dynamic programming
nonlinear optimization
optimal control
- Zusammenfsg.
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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.
- article pub. typess JER
- Research article
- article languages JER
- Englisch
- JEL-Classification for JER
- C5 - Econometric Modeling; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; E27 - Forecasting and Simulation ; E61 - Policy Objectives; Policy Designs and Consistency; Policy Coordination ; E62 - Fiscal Policy