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Control Theory Methods in Economics

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...

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Bibliographic Details
Main Authors: Sengupta, Jati, Fanchon, Phillip (Author)
Format: eBook
Language:English
Published: New York, NY Springer US 1997, 1997
Edition:1st ed. 1997
Subjects:
Operations Research, Management Science
Operations Research
Management Science
Calculus Of Variations And Optimization
Quantitative Economics
Econometrics
Mathematical Optimization
Calculus Of Variations
Online Access:
Collection: Springer Book Archives -2004 - Collection details see MPG.ReNa
Table of Contents:
  • 1 Introduction to Control Theory
  • 1.1 Transition from the calculus of variations to optimal control
  • 1.2 Transition from theory to practice
  • References
  • 2 Continuous Time Models
  • 2.0 Overview of control problems
  • 2.1 Observability and controllability
  • 2.2 Stability analysis
  • 2.3 The maximum principle
  • 2.4 Constraints
  • 2.5 Example 1; A limit pricing model.
  • 2.6 Example 2; reaching a steady state cycle
  • References
  • 3 Discrete Time Models
  • 3.0 Introduction
  • 3.1 General deterministic and discrete control problems
  • 3.2 The linear quadratic problem
  • 3.3 Analytic solution of the Riccati equation
  • 3.4 Equivalent dynamic equations
  • 3.5 Discrete control of nonlinear systems
  • 3.6 Observability and observers
  • 3.7 Economic examples
  • References
  • 4 Stochastic Control Theory
  • 4.0 Introduction
  • 4.1 Stochastic processes under control
  • 4.2. Economic applications
  • 4.3 Kalman filtering methods
  • 4.4 Concluding remarks
  • References
  • 5 Economic Implications of Stochastic Control
  • 5.0 Introduction
  • 5.1 Time inconsistency problems
  • 5.2 Short-run vs. long-run optimality
  • 5.3 Model of adjustment costs with rational expectations
  • 5.4 An application to new growth theory: dynamic adjustments with learning by doing
  • 5.5 Concluding remarks.
  • References
  • 6 Variable Structure Systems
  • 6.0 Introduction
  • 6.1 The variable structure control formulation
  • 6.2 A VSC approximation of an optimal control law
  • 6.3 Example; The expectations-augmented Phillips relation
  • 6.4 Concluding remarks
  • References
  • 7 Risk Sensitivity, Adjustment of Control and Estimation
  • 7.0 Introduction
  • 7.1 Learning process in differential games
  • 7.2 Adjustment costs in portfolio models
  • 7.3 Econometric estimation of controlled systems
  • 7.4 Estimating transversality conditions
  • 7.5 Concluding remarks
  • References

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