Keywords: Optimal control, mathematical programs, simple rules
Abstract: An optimal control tool is described that is particularly
useful for computing rules of large-scale models where users
might otherwise have difficulty determining the state vector
a priori and where the inversion of large, sparse matrices is
involved. A small-scale demonstration is presented, as are
data on performance with the Board of Governors large-scale
rational expectations macroeconometric model, FRB/US.
Full paper (34 KB PDF)
| Full paper (152 KB Postscript)
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Last update: August 11, 2000