Receding horizon control of jump linear systems and a macroeconomic policy problem

João B.R. Do Val, Tamer Başar

Research output: Contribution to journalArticlepeer-review

Abstract

We study a time-variant macroeconomic model in which some of the parameters are allowed to fluctuate in an exogenous form, according to a Markov chain. This feature allows us to model abrupt changes for improvement and degradation in terms of the intrinsic relations of the economic variables, and account for changes in the policy-maker's preferences. Receding horizon control is well suited to systems with a modelled parameter fluctuation in the short and medium terms, but with unmodelled uncertainties in the long run. The problem features a partial information structure, since the changes in the economy may not be accessible, and to seek a computable solution we restrict attention to the class of linear feedback controls.

Original languageEnglish (US)
Pages (from-to)1099-1131
Number of pages33
JournalJournal of Economic Dynamics and Control
Volume23
Issue number8
DOIs
StatePublished - Aug 1999

Keywords

  • C30
  • C61
  • C73
  • E10
  • E60
  • Macroeconomic models
  • Markov jump linear systems
  • Partially observed systems
  • Receding horizon control
  • Rolling plan formulations

ASJC Scopus subject areas

  • Economics and Econometrics
  • Control and Optimization
  • Applied Mathematics

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