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فهرست مقالات

an application of the stochastic optimal control algorithm (optcon) to the public sector economy of iran

نویسنده:

ISC (21 صفحه - از 189 تا 209)

کلیدواژه ها :

Stochastic optimal control algorithm ،OPTCON ،Optimal macroeconomic policies Iran

کلید واژه های ماشینی : Algorithm For The Optimal Control، An Algorithm Optimal Control Non، For The Optimal Control Of، The Optimal Control Of Non، OPTCON، Iran، The Sensitivity Of Optimal Macroeconomic، Control Non Linear Stochastic Models، Optimal Control، Of Non Linear Stochastic Models

In this paper we first describe the stochastic optimal control algorithm called ((OPTCON)). The algorithm minimizes an intertemporal objective loss function subject to a nonlinear dynamic system in order to achieve optimal value of control (or instrument) variables. Second as an application, we implemented the algorithm by the statistical programming system ((GAUSS)) to determine the optimal fiscal policy for Iran during the third development plan (1383 – 1379). The obtained results show that under optimal fiscal policies, the rate of economic growth and current account balance proposed in the third development plan will be achieved. Based of the findings having found compatible results therefore the determination of optimal macroeconomic policies for the Iran’s forth development plan is suggested.

خلاصه ماشینی:

"The algorithm minimizes an intertemporal objective loss function subject to a nonlinear dynamic system in order to achieve optimal value of control (or instrument) variables. 2- The "OPTCON" Algorithm An optimal control problem according to Chow is concerned with the determination of best ways to achieve a set of objectives as indexed by a criterion function when the performance is Judged over many periods and when the dynamic behavior of the system is subject to a set of constraints[1]. ( iii ) Compute the influence of the stochastic parameters: compute all the matrices the cells of which are defined by: [γtAKA]i,j = tr [ ktåqq ( )''''] , i=1,…,n j=1,…,n (20) [γtBKA]i,j = tr [ ktå qq( )''''] , i=1,…,m j=1,…,n (21) [γtBKB]i,j = tr [ ktå qq( )''''] , i=1,…,m j=1,…,n (22) [VtAKC]i = tr [ kt åqq ( )''''] , i=1,…,n (23) [VtBKC]i = tr [ kt å qq ( )''''] , i=1,…,m (24) [VtCKC] = tr [ kt åqq ( )''''] (25) ( iv ) Convert the objective function from » quadratic-tracking to» general quadratic « format: Wtxx=at-1Wxx, (26) Wtux=at-1Wux , (27) Wtuu=at-1Wuu , (28) (29) (30) (31) (v) Compute the parameters of the function of expected accumulated loss: , (32) , (33) = γtAKA + A''''tktAt, (34) (35) =, (36) =, (37) (38) , (39) , (40) (41) , (42) ( vi ) Compute the parameters of the feed back rule: , (43) , (44) (vii) Compute the parameters of the function of minimal expected accumulated loss: , (45) , (46) , (47) , (48) , (49) (c) Forward projection: Repeat (i) and (ii) for t=S‌‌‌‌ ,…,T (i) Compute the expected optimal control variables: (50) (i) Compute the expected optimal state: use the Gauss-seidel algorithm to compute such that: (51) (52) (53) (e) Compute the expected welfare loss: (54) 3-An Application of the "OPTCON" Algorithm for Iran third Development Plan. 76) Identities GDPR=CPR+INVPR+GIR+GCR+EXPORTR-IMPR YDR=GDPR-TAXRR DEMAND=GDPR+IMPR GGDD=((GDPRt- GDPRt-1)/GDPRt-1)*100 GCPI=((CPIt-CPIt-1)/GDPRt-1)*100 INTLR=INTLN-GCPI PROD=(GDPR/EMP)*100 AGWR=(AGWN/CPI)*100 MR=(M/CPI)*100 ERR=ERN*CPIF/CPI UN=LFORCE-EMP UR=UN/LFORCE PRICERAT=CPI/CPIF CAPR=CAPRt-1 -DEPR+INVPR+GIR UTIL=(GDPR/YPOT)*100 CAD=(EXPORTR-IMPR)/ERN DEF=(GC+GI+DIG)-((NTAXRN)+(TAXRN)) DEFDAR=(DEF/GDP)*100 GDP=GDPR*GDPDEF/100 GCR=(GC/GDPDEF)*100 GIR=(GI/GDPDEF)*100 TAXRR=(TAXRN/GDPDEF)*100 The model includes goods, services market and money markets from the aggregate demand side and a production function and the labor market from the aggregate supply side."

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