An algorithm for the solution of stochastic optimal control problems for large nonlinear econometric models
大型非线性计量模型随机最优控制问题的求解算法
Abstract This paper considers the problem of solving an optimal control problem for large dynamic economic models which are both nonlinear and stochastic. It proposes a technique which combines conventional deterministic optimal control algorithms with the procedure of stochastic simulation, which calculates a numerical approximation to the distribution of the models endogenous variables. The new technique is computationally feasible for even large nonlinear models and, as…