Optimal control of dynamic econometric models has a wide variety of applications including economic policy relevant issues. There are several algorithms extending the basic case of a linear-quadratic optimization and taking nonlinearity and stochastics into account, but being still limited in a...

The linear-quadratic (LQ) optimization is a close to standard technique in the optimal control framework. LQ is very well researched and there are many extensions for more sophisticated scenarios like nonlinear models. Usually, the quadratic objective function is taken as a prerequisite for...

We propose a meta-heuristic approach for solving nonlinear dynamic tracking games. In contrast to more "traditional" methods based on linear-quadratic (LQ) techniques, this derivative-free method is very flexible (e.g. to introduce inequality constraints). The meta-heuristic is applied to a...

Policy makers constantly face optimal control problems: what controls allow to achieve certain targets in, e.g., GDP growth or inflation? Conventionally this is done by applying certain linear-quadratic optimization algorithms to dynamic econometric models. Several algorithms extend this...