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Finance and Economics Discussion Series
The Finance and Economics Discussion Series logo links to FEDS home page 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.

Keywords: Optimal control, mathematical programs, simple rules

Full paper (34 KB PDF) | Full paper (152 KB Postscript)

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Last update: August 11, 2000