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Direct solution to an optimal control problem of econometric systems
Author(s) -
Kabe D. G.,
Rao U. L. Gouranga
Publication year - 1986
Publication title -
optimal control applications and methods
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.458
H-Index - 44
eISSN - 1099-1514
pISSN - 0143-2087
DOI - 10.1002/oca.4660070309
Subject(s) - uniqueness , optimal control , control function , mathematics , mathematical optimization , control variable , function (biology) , control (management) , quadratic equation , control theory (sociology) , computer science , mathematical analysis , statistics , artificial intelligence , evolutionary biology , biology , geometry
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, 1 Pindyck 2 and Tan. 3 If a unique solution to the optimal control problem exists, then the direct solution and the recursive solution coincide.