Optimal Control of Large, Forward-Looking Models: Efficient Solutions and Two Examples
Preprint
- 18 October 1999
- preprint
- Published by Elsevier in SSRN Electronic Journal
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
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