The Method of Characteristics in Macroeconomic Modeling

Nina N. Subbotina, Timofei B. Tokmantsev

Institute of Mathematics and Mechanics, Ural Branch of the Russian Academy of Sciences, S. Kovalevskaya str. 16, Ekaterinburg, 620219, Russia

Abstract: The problem of identification of a macroeconomic model is considered for statistic data given at fixed instants in a time-interval. The model has the form of two ordinary differential equations depending of controlling parameters. A new approach is suggested to solve the identification problem in the framework of optimal control theory. A numerical algorithm based on characteristics of the Bellman equation is suggested to create and verify the model. Results of simulations are exposed.

Keywords: nonlinear system, optimal control, dynamic programming, optimal feedbacks.

Language: English