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"On the Solution of Optimal Control Problems as Maximization Problems," Annals of Economic and Social Measurement, January 1974, 135-154.
pdf file (1,235KB).

Abstract

In this paper the problem of obtaining optimal controls for econometric models is treated as a simple unconstrained nonlinear maximization problem. Various maximizatioin algorithms are tested, and the results indicate that quite large problems can be solved. For deterministic problems it appears feasible to compute optimal controls for most econometric models encountered in practice. Stochastic problems can also be solved by the approach of this paper by means of stochastic simulation.
Comments

This paper proposes a method for solving optimal control problems in econometric models that has proven to be quite useful. I have used this method in all my optimal control work. The method is reviewed in Chapter 10, Section 10.2, in 1984#2. It is used in 1978#3 in the process of measuring the economic performance of policy makers.

The main model used for the applications in this paper is my forecasting model (less the monthly housing starts sector)-- 1971#5.

The solution method is programmed into the Fair-Parke program, where the command is OPTC.