Optimal Control of Large, Forward-Looking Models. Efficient Solutions and Two211 Examples

摘要

An optimal control tool is described that is particularly useful for computing211u001erules of large-scale models where users might otherwise have difficulty 211u001edetermining the state vector a priori and where the inversion of large, sparse 211u001ematrices is involved. A small-scale demonstration is presented, as are data on 211u001eperformance with the Board of Governors' large-scale rational expectations 211u001emacroeconometric model, FRB/US.