Stochastic Control of Econometric Models for Slovenia

Abstract

International audienceThis paper considers the optimal control of two small stochastic models of the Slovenian economy applying the OPTCON algorithm. OPTCON determines approximate numerical solutions to optimum control problems for nonlinear stochastic systems and is particularly applicable to econometric models. We compare the results of applying the OPTCON2 version of the algorithm to the nonlinear model SLOVNL and the linear model SLOVL. The results for both models are similar, with open-loop feedback controls giving better results on average but with more ‘outliers’ than open-loop controls