PREDICTIVE CONSTRAINED POLICY GENERATION FOR MACROECONOMIC SYSTEMS

摘要

This paper examines the generation of optimal control policies where there are explicit constraints upon the control values and their rates of change, and there is limited knowledge of the complex economic system. The paper develops a methodology using quadratic programming where the constrained optimal control policies are based upon a learning model that predicts the policy targets for the economic system. A subset of the control policies is applied to the economic system and from the response of the system a new predictive model and resultant optimal controls are generated. The methodology is then repeated. A numeric example of the methodology as applied to a macroeconomic model is presented in the paper.