ESTIMATION OF TIME VARYING PARAMETERS IN AN OPTIMAL  CONTROL PROBLEM

Levent ÖZBEK; Esin KÖKSAL BABACAN

doi:https://doi.org/10.1501/Commua1_0000000738

Makale detayları

ESTIMATION OF TIME VARYING PARAMETERS IN AN OPTIMAL CONTROL PROBLEM

Yazarlar:

Levent ÖZBEK | Esin KÖKSAL BABACAN

Yayıncı:

Ankara University

Dergi:

Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics 2015 Vol.64 Issue 2, pp.111-121

Belge Tipi:

Makale

Yayın Tarihi:

7/2015

Belge Dili:

İngilizce

Document ID (Org No.):

2000909847

Sıklık:

Üç Aylık

eISSN:

2618-6470

pISSN:

1303-5991

DOI:

https://doi.org/10.1501/Commua1_0000000738

Özet:

 

In this paper, we employ a non-linear state space model and the extended Kalman filter to simultaneously estimate the time-varying parameters in an optimal control problem, where the objective (loss) function is quadratic. Our methodology also allows us to derive the difference between the optimal control and the observed control variable. A simulation exercise based on a simple intertemporal model shows that the estimated parameter values are very close to their population values, which provide further support for the estimation methodology introduced in this paper.

Makale detayları

ESTIMATION OF TIME VARYING PARAMETERS IN AN OPTIMAL CONTROL PROBLEM

Yazarlar: Levent ÖZBEK | Esin KÖKSAL BABACAN

Yayıncı: Ankara University

Dergi: Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics 2015 Vol.64 Issue 2, pp.111-121

Belge Tipi: Makale

Yayın Tarihi: 7/2015

Belge Dili: İngilizce

Document ID (Org No.): 2000909847

Sıklık: Üç Aylık

eISSN: 2618-6470

pISSN: 1303-5991

DOI: https://doi.org/10.1501/Commua1_0000000738

Sayı

Yazarlar:

Levent ÖZBEK | Esin KÖKSAL BABACAN

Yayıncı:

Ankara University

Dergi:

Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics 2015 Vol.64 Issue 2, pp.111-121

Belge Tipi:

Makale

Yayın Tarihi:

7/2015

Belge Dili:

İngilizce

Document ID (Org No.):

2000909847

Sıklık:

Üç Aylık

eISSN:

2618-6470

pISSN:

1303-5991

DOI:

https://doi.org/10.1501/Commua1_0000000738