Finance and Economics Discussion Series (FEDS)
December 1999
Optimal Control of Large, Forward-Looking Models: Efficient Solutions and Two Examples
Frederico S. Finan and Robert Tetlow
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 (152 KB Postscript)Keywords: Optimal control, mathematical programs, simple rules
PDF: Full Paper
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