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Authors = Reinhard Neck ORCID = 0000-0002-4984-0698

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22 pages, 930 KiB  
Article
Approximately Optimal Control of Nonlinear Dynamic Stochastic Problems with Learning: The OPTCON Algorithm
by Dmitri Blueschke, Viktoria Blueschke-Nikolaeva and Reinhard Neck
Algorithms 2021, 14(6), 181; https://doi.org/10.3390/a14060181 - 8 Jun 2021
Cited by 9 | Viewed by 2801
Abstract
OPTCON is an algorithm for the optimal control of nonlinear stochastic systems which is particularly applicable to economic models. It delivers approximate numerical solutions to optimum control (dynamic optimization) problems with a quadratic objective function for nonlinear economic models with additive and multiplicative [...] Read more.
OPTCON is an algorithm for the optimal control of nonlinear stochastic systems which is particularly applicable to economic models. It delivers approximate numerical solutions to optimum control (dynamic optimization) problems with a quadratic objective function for nonlinear economic models with additive and multiplicative (parameter) uncertainties. The algorithm was first programmed in C# and then in MATLAB. It allows for deterministic and stochastic control, the latter with open loop (OPTCON1), passive learning (open-loop feedback, OPTCON2), and active learning (closed-loop, dual, or adaptive control, OPTCON3) information patterns. The mathematical aspects of the algorithm with open-loop feedback and closed-loop information patterns are presented in more detail in this paper. Full article
(This article belongs to the Special Issue Stochastic Algorithms and Their Applications)
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15 pages, 367 KiB  
Article
Game of Thrones: Accommodating Monetary Policies in a Monetary Union
by Dmitri Blueschke and Reinhard Neck
Games 2018, 9(1), 9; https://doi.org/10.3390/g9010009 - 19 Feb 2018
Cited by 3 | Viewed by 5374
Abstract
In this paper, we present an application of the dynamic tracking games framework to a monetary union. We use a small stylized nonlinear three-country macroeconomic model of a monetary union to analyze the interactions between fiscal (governments) and monetary (common central bank) policy [...] Read more.
In this paper, we present an application of the dynamic tracking games framework to a monetary union. We use a small stylized nonlinear three-country macroeconomic model of a monetary union to analyze the interactions between fiscal (governments) and monetary (common central bank) policy makers, assuming different objective functions of these decision makers. Using the OPTGAME algorithm, we calculate solutions for several games: a noncooperative solution where each government and the central bank play against each other (a feedback Nash equilibrium solution), a fully-cooperative solution with all players following a joint course of action (a Pareto optimal solution) and three solutions where various coalitions (subsets of the players) play against coalitions of the other players in a noncooperative way. It turns out that the fully-cooperative solution yields the best results, the noncooperative solution fares worst and the coalition games lie in between, with a broad coalition of the fiscally more responsible countries and the central bank against the less thrifty countries coming closest to the Pareto optimum. Full article
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