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Direct solution to an optimal control problem of econometric systems

✍ Scribed by D. G. Kabe; U. L. Gouranga Rao

Publisher
John Wiley and Sons
Year
1986
Tongue
English
Weight
198 KB
Volume
7
Category
Article
ISSN
0143-2087

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✦ Synopsis

A direct solution is proposed to an optimal control problem of linear econometric systems with a quadratic welfare loss function when there are linear equality constraints on the control variables. The direct solution proposed here eliminates the problem of non-uniqueness of the optimal solution, which is present when this optimal control problem is solved using the recursive algorithm proposed by Chow,' Pindyck2 and Tan.3 If a unique solution to the optimal control problem exists, then the direct solbtion and the recursive solution coincide.

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