Download or read book Optimal Control Methods for Linear Discrete Time Economic Systems written by Y. Murata and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: As our title reveals, we focus on optimal control methods and applications relevant to linear dynamic economic systems in discrete-time variables. We deal only with discrete cases simply because economic data are available in discrete forms, hence realistic economic policies should be established in discrete-time structures. Though many books have been written on optimal control in engineering, we see few on discrete-type optimal control. More over, since economic models take slightly different forms than do engineer ing ones, we need a comprehensive, self-contained treatment of linear optimal control applicable to discrete-time economic systems. The present work is intended to fill this need from the standpoint of contemporary macroeconomic stabilization. The work is organized as follows. In Chapter 1 we demonstrate instru ment instability in an economic stabilization problem and thereby establish the motivation for our departure into the optimal control world. Chapter 2 provides fundamental concepts and propositions for controlling linear deterministic discrete-time systems, together with some economic applica tions and numerical methods. Our optimal control rules are in the form of feedback from known state variables of the preceding period. When state variables are not observable or are accessible only with observation errors, we must obtain appropriate proxies for these variables, which are called "observers" in deterministic cases or "filters" in stochastic circumstances. In Chapters 3 and 4, respectively, Luenberger observers and Kalman filters are discussed, developed, and applied in various directions. Noticing that a separation principle lies between observer (or filter) and controller (cf.

Download or read book Optimal Control Methods for Linear Discrete time Economic Systems written by Yasuo Murata and published by . This book was released on 1982 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Control Theory Methods in Economics written by Jati Sengupta and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 265 pages. Available in PDF, EPUB and Kindle. Book excerpt: Control theory methods in economics have historically developed over three phases. The first involved basically the feedback control rules in a deterministic framework which were applied in macrodynamic models for analyzing stabilization policies. The second phase raised the issues of various types of inconsistencies in deterministic optimal control models due to changing information and other aspects of stochasticity. Rational expectations models have been extensively used in this plan to resolve some of the inconsistency problems. The third phase has recently focused on the various aspects of adaptive control. where stochasticity and information adaptivity are introduced in diverse ways e.g .• risk adjustment and risk sensitivity of optimal control, recursive updating rules via Kalman filtering and weighted recursive least squares and variable structure control methods in nonlinear framework. Problems of efficient econometric estimation of optimal control models have now acquired significant importance. This monograph provides an integrated view of control theory methods, synthesizing the three phases from feedback control to stochastic control and from stochastic control to adaptive control. Aspects of econometric estimation are strongly emphasized here, since these are very important in empirical applications in economics.

Download or read book Discrete time Optimal Control of an Economic System Using Different Objective Functions written by Carl-Louis Sandblom and published by . This book was released on 1985 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Linear Systems and Optimal Control written by Charles K. Chui and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: A knowledge of linear systems provides a firm foundation for the study of optimal control theory and many areas of system theory and signal processing. State-space techniques developed since the early sixties have been proved to be very effective. The main objective of this book is to present a brief and somewhat complete investigation on the theory of linear systems, with emphasis on these techniques, in both continuous-time and discrete-time settings, and to demonstrate an application to the study of elementary (linear and nonlinear) optimal control theory. An essential feature of the state-space approach is that both time-varying and time-invariant systems are treated systematically. When time-varying systems are considered, another important subject that depends very much on the state-space formulation is perhaps real-time filtering, prediction, and smoothing via the Kalman filter. This subject is treated in our monograph entitled "Kalman Filtering with Real-Time Applications" published in this Springer Series in Information Sciences (Volume 17). For time-invariant systems, the recent frequency domain approaches using the techniques of Adamjan, Arov, and Krein (also known as AAK), balanced realization, and oo H theory via Nevanlinna-Pick interpolation seem very promising, and this will be studied in our forthcoming monograph entitled "Mathematical Ap proach to Signal Processing and System Theory". The present elementary treatise on linear system theory should provide enough engineering and mathe of these two subjects.

Download or read book Differential Equations Discrete Systems and Control written by A. Halanay and published by Springer Science & Business Media. This book was released on 2013-03-13 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents some of the most important mathematical tools for studying economic models. It contains basic topics concerning linear differential equations and linear discrete-time systems; a sketch of the general theory of nonlinear systems and the stability of equilibria; an introduction to numerical methods for differential equations, and some applications to the solution of nonlinear equations and static optimization. The second part of the book discusses stabilization problems, including optimal stabilization, linear-quadratic optimization and other problems of dynamic optimization, including a proof of the Maximum Principle for general optimal control problems. All these mathematical subjects are illustrated with detailed discussions of economic models. Audience: This text is recommended as auxiliary material for undergraduate and graduate level MBA students, while at the same time it can also be used as a reference by specialists.

Download or read book Optimal Control Theory written by Suresh P. Sethi and published by Springer Nature. This book was released on 2022-01-03 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new 4th edition offers an introduction to optimal control theory and its diverse applications in management science and economics. It introduces students to the concept of the maximum principle in continuous (as well as discrete) time by combining dynamic programming and Kuhn-Tucker theory. While some mathematical background is needed, the emphasis of the book is not on mathematical rigor, but on modeling realistic situations encountered in business and economics. It applies optimal control theory to the functional areas of management including finance, production and marketing, as well as the economics of growth and of natural resources. In addition, it features material on stochastic Nash and Stackelberg differential games and an adverse selection model in the principal-agent framework. Exercises are included in each chapter, while the answers to selected exercises help deepen readers’ understanding of the material covered. Also included are appendices of supplementary material on the solution of differential equations, the calculus of variations and its ties to the maximum principle, and special topics including the Kalman filter, certainty equivalence, singular control, a global saddle point theorem, Sethi-Skiba points, and distributed parameter systems. Optimal control methods are used to determine optimal ways to control a dynamic system. The theoretical work in this field serves as the foundation for the book, in which the author applies it to business management problems developed from his own research and classroom instruction. The new edition has been refined and updated, making it a valuable resource for graduate courses on applied optimal control theory, but also for financial and industrial engineers, economists, and operational researchers interested in applying dynamic optimization in their fields.

Download or read book Introductory Optimization Dynamics written by P.N.V. Tu and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 401 pages. Available in PDF, EPUB and Kindle. Book excerpt: Optimal Control theory has been increasingly used in Economi- and Management Science in the last fifteen years or so. It is now commonplace, even at textbook level. It has been applied to a great many areas of Economics and Management Science, such as Optimal Growth, Optimal Population, Pollution control, Natural Resources, Bioeconomics, Education, International Trade, Monopoly, Oligopoly and Duopoly, Urban and Regional Economics, Arms Race control, Business Finance, Inventory Planning, Marketing, Maintenance and Replacement policy and many others. It is a powerful tool of dynamic optimization. There is no doubt social sciences students should be familiar with this tool, if not for their own research, at least for reading the literature. These Lecture Notes attempt to provide a plain exposition of Optimal Control Theory, with a number of economic examples and applications designed mainly to illustrate the various techniques and point out the wide range of possible applications rather than to treat exhaustively any area of economic theory or policy. Chapters 2,3 and 4 are devoted to the Calculus of Variations, Chapter 5 develops Optimal Control theory from the Variational approach, Chapter 6 deals with the problems of constrained state and control variables , Chapter 7, with Linear Control models and Chapter 8, with stabilization models. Discrete systems are discussed in Chapter 9 and Sensitivity analysis in Chapter 10. Chapter 11 presents a wide range of Economics and Management Science applications.

Download or read book Macro Economic Planning with Conflicting Goals written by M. Despontin and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Disequilibrium Model of Real and Financial Accumulation in an Open Economy written by Giancarlo Gandolfo and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the fourth version of a model that five years ago we set out to build and estimate along the lines of the continuous time approach clarified In chapter 1. Previous versions appeared in journal articles and conference proceedings, where the space is notoriously limited. Therefore we welcome the possibility of publishing a book-length treatment of this fourth version, so that we can describe its theoretical and empirical aspects in some detail. Although we have worked closely together and accept joint responsibility for the whole book, chs. 1 and 2 and appendix I have been written by G. Gandolfo, whilst chs. ] and 4 and appendix II have been written by P.c. Padoan. Different parts of this version of the model have been discussed In various lectures at the European University Institute (Florence) in 1984, In a seminar organized by the Bank of Italy (Sadiba, Perugia, Italy, February 16-18, 1984), in the second Viennese Workshop on Economic Applications of Control Theory (Vienna, May 16-18, 1984), and in the sixth annual Conference of the Society for Economic Dynamics and Control (Nice, France, June 13-15, 1984). In all of these we received helpful comments; similarly helpful were the comments of Clifford R .. Wymer, who, however, is absolved of any responsibility.

Download or read book The M M Service System with Ranked Servers in Heavy Traffic written by G.F. Newell and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: We are concerned here with a service facility consisting of a large (- finite) number of servers in parallel. The service times for all servers are identical, but there is a preferential ordering of the servers. Each newly arriving customer enters the lowest ranked available server and remains there until his service is completed. It is assumed that customers arrive according to a Poisson process of rate A , that all servers have exponentially distributed service times with rate ~ and that a = A/~ is large compared with 1. Generally, we are concerned with the stochastic properties of the random function N(s ,t) describing the number of busy servers among the first s ordered servers at time t. Most of the analysis is motivated by special applications of this model to telephone traffic. If one has a brunk line with s primary channels, but a large number (00) of secondary (overflow) channels, each newly arriving customer is assigned to one of the primary channels if any are free; otherwise, he is assigned to a secondary channel. The primary and secondary channels themselves could have a preferential ordering. For some purposes, it is convenient to imagine that they did even if an ordering is irrelevant.

Download or read book Interactive Decision Analysis written by M. Grauer and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the week of September 20-23, 1983, an International Workshop on Interactive Decision Analysis and Interpretative Computer Intelligence was held at the International Institute for Applied Systems Analysis (IIASA) in Laxenburg, Austria. More than fifty scientists representing seventeen coun tries participated. The aim of the Workshop was to review existing approaches to problems involving multiple conflicting objectives, to look at methods and techniques for interactive decision analysis, and to demonstrate theuse of existing interactive decision-support systems. The Workshop was motivated, firstly, by the realization that the rapid development of computers, especially microcomputers, will greatly increase the scope and capabilities of computerized decision-support systems. It is important to explore the potential of these systems for use in handling the complex technological, environmental, economic and social problems thatface the world today. Research in decision-support systems also has another, less tangible but possibly more important, motivation. The development of efficient sys tems for decision support requires a thorough understanding of the dif ferences between the decision-making processes in different nations and cultures. An understanding of the different rationales underlying decision making is not only necessary for the development of efficient decision support systems, but is also an important factor in encouraging inter national understanding and cooperation.

Download or read book Introduction to Mathematical Systems Theory written by Christiaan Heij and published by Springer Nature. This book was released on 2021-03-21 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an introduction to the theory of linear systems and control for students in business mathematics, econometrics, computer science, and engineering. The focus is on discrete time systems, which are the most relevant in business applications, as opposed to continuous time systems, requiring less mathematical preliminaries. The subjects treated are among the central topics of deterministic linear system theory: controllability, observability, realization theory, stability and stabilization by feedback, LQ-optimal control theory. Kalman filtering and LQC-control of stochastic systems are also discussed, as are modeling, time series analysis and model specification, along with model validation. This second edition has been updated and slightly expanded. In addition, supplementary material containing the exercises is now available on the Springer Link's book website.

Download or read book Bayesian Full Information Analysis of Simultaneous Equation Models Using Integration by Monte Carlo written by L. Bauwens and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt: In their review of the "Bayesian analysis of simultaneous equation systems", Dr~ze and Richard (1983) - hereafter DR - express the following viewpoint about the present state of development of the Bayesian full information analysis of such sys tems i) the method allows "a flexible specification of the prior density, including well defined noninformative prior measures"; ii) it yields "exact finite sample posterior and predictive densities". However, they call for further developments so that these densities can be eval uated through 'numerical methods, using an integrated software packa~e. To that end, they recommend the use of a Monte Carlo technique, since van Dijk and Kloek (1980) have demonstrated that "the integrations can be done and how they are done". In this monograph, we explain how we contribute to achieve the developments suggested by Dr~ze and Richard. A basic idea is to use known properties of the porterior density of the param eters of the structural form to design the importance functions, i. e. approximations of the posterior density, that are needed for organizing the integrations.

Download or read book Misspecification Analysis written by Theo K. Dijkstra and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 139 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Models in Reliability Theory written by S. Osaki and published by Springer Science & Business Media. This book was released on 2013-03-08 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Nonlinear Models of Fluctuating Growth written by R.M. Goodwin and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: