Time-consistent control in nonlinear models

Steve Ambler; Florian Pelgrin

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Time-consistent control in nonlinear models

机译：非线性模型中的时间一致控制

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The paper shows how to use optimal control to compute optimal time-consistent Markovian government policies in nonlinear dynamic general equilibrium models. It extends Cohen and Michel's (1988) results for the linear-quadratic case. The method involves replacing private agents' costate variables with flexible functions of current state variables in the government's maximization problem. The functions hold in equilibrium to an arbitrarily close approximation. They can be found numerically by perturbation or projection methods. A stochastic model of optimal public spending illustrates the technique.

机译：本文展示了如何在非线性动态一般均衡模型中使用最优控制来计算最优时间一致的马尔可夫政府政策。它扩展了Cohen和Michel（1988）关于线性二次方程的结果。该方法涉及在政府的最大化问题中，用当前状态变量的灵活函数代替私人代理人的高成本变量。函数保持平衡以任意接近。可以通过摄动或投影方法在数值上找到它们。最优公共支出的随机模型说明了该技术。

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来源
《Journal of Economic Dynamics and Control》 |2010年第10期|p.2215-2228|共14页
作者
Steve Ambler; Florian Pelgrin;
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作者单位

CIRPEE, Universite du Quebec a Montreal, Canada;

Faculty of Business and Economics (HEC), University of Lausanne, Department of Econometrics and Economics, Switzerland,CIRANO, Canada;

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原文格式 PDF
正文语种 eng
中图分类
关键词
optimal government policy; time consistency; control theory;

机译：最佳的政府政策;时间一致性;控制理论;

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Time-consistent control in nonlinear models

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