OPTCON

OPTCON: An algorithm for the optimal control of nonlinear stochastic models. The authors describe a new algorithm for the optimal control of nonlinear dynamic control that allows for additive uncertainty as well as for the presence of a stochastic parameter vector in the system equations. The first step consists in approximating the time-invariant nonlinear system by a time-varying linear system. Then the key idea is to use Bellman’s principle of optimality to solve the problem. These two steps are repeated until convergence is reached or the number of iterations is larger than a prespectified number. Applications to two small econometric models for Austria are displayed.


References in zbMATH (referenced in 14 articles , 1 standard article )

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  1. Blueschke, Dimitri; Blueschke-Nikolaeva, Viktoria; Neck, Reinhard: Stochastic control of econometric models for Slovenia (2014)
  2. Simon, Levente L.; Nagy, Zoltan K.; Hungerbuehler, Konrad: Swelling constrained control of an industrial batch reactor using a dedicated NMPC environment: $OptCon$ (2009)
  3. Samimi, Ahmad Jafari; Yousefi, Sohrabali; Tehranchian, Amir Mansor: An application of optimal control theory in economics: optimal fiscal and monetary policies in Iran (2006)
  4. Neck, Reinhard; Weyerstrass, Klaus: Optimal economic policies for Slovenia with different sets of policy instruments. (2003)
  5. Weyerstrass, Klaus; Neck, Reinhard: Towards an objective function for Slovenian fiscal policy-making: a heuristic approach. (2002)
  6. Hager, Manfred; Neck, Reinhard; Behrens, Doris A.: Solving dynamic macroeconomic policy games using the algorithm OPTGAME 1.0 (2001)
  7. Neck, Reinhard; Karbuz, Sohbet: Optimal macroeconomic policies with and without the monetary instrument (1999)
  8. Neck, Reinhard; Karbuz, Sohbet: Towards constructing an objective function for Austrian fiscal policy-making: An optimum control approach (1997)
  9. Neck, Reinhard; Karbuz, Sohbet: Optimal control of fiscal policies for Austria: Applications of a stochastic control algorithm (1997)
  10. Neck, Reinhard; Karbuz, Sohbet: Optimal fiscal policies for Austria (1997)
  11. Neck, Reinhard; Karbuz, Sohbet: Optimal budgetary and monetary policies under uncertainty: A stochastic control approach (1995)
  12. Neck, Reinhard; Matulka, Josef: Stochastic optimum control of macroeconometric models using the algorithm OPTCON (1994)
  13. Neck, Reinhard; Matulka, Josef: Stochastic control of nonlinear economic models (1994)
  14. Matulka, Josef; Neck, Reinhard: OPTCON: An algorithm for the optimal control of nonlinear stochastic models (1992)