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Optimal Control of Large, Forward-Looking Models: Efficient Solutions and Two Examples
2000
Social Science Research Network
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 can make working with matrix Ricatti equations numerically costly or infeasible. A small-scale demonstration is presented, as are data on performance with the Board of Governors' large-scale rational expectations macroeconometric model, FRB/US.
doi:10.2139/ssrn.203393
fatcat:qpgftw722bglbmejolpckr6gye