EQUILIBRIUM IN STOCHASTIC OPTIMIZATION MODELS WITH ECONOMIC APPLICATIONS

Authors

Keywords
Stochastic linear quadratic model, optimization problem, Markov jump linear systems, generalized discrete-time Riccati equations, linear matrix inequality

Summary
The subject of this work is the application of a linear quadratic model which is a result of the stochastic modeling process in the economic field. A dynamic economic process is modeled, which occurs in conditions described by a stochastic differential equation. The dynamics of the process is subject to jump-like changes. Such systems are known as Markov jump linear systems. The target in the observed process is modeled through a functional which has to be minimized. The result is a linear quadratic stochastic model. The equilibrium search model is related to the numerical solution of a system of generalized discrete-time algebraic Riccati equations. Methods for finding the maximal solution to a system of discrete-time algebraic Riccati equations are investigated. Moreover, new methods and algorithms for computing of this maximal solution are proposed. The numerical characteristics of algorithms are analyzed in special cases of negative definite weighting matrices and indefinite weighting ones. Conclusions are derived of the applicability and efficiency of the proposed methods.

JEL: C6, C7, C73, C020
Pages: 28
Price: 3 Points

More titles

  • CHALLENGES TO HORIZON 2020 HEALTHCARE RESOURCE PROVISION

    The problems of health financing, analyzed in practical and applied aspects, are highly relevant today, especially in terms of financial and economic crisis and social insecurity. Attention is directed to such health policies and solutions, which contribute to fiscal sustainability of health systems and transparency through the introduction of new ...

  • SYSTEM OF NATIONAL ACCOUNTS – INSTRUMENT OF MACROECONOMIC ANALYSIS

    SNA is one of the most important instruments of macroeconomic analysis, presenting numerous possibilities for research, modeling and forecasting in the national economy. The study lays out a summary of the contents and new aspects of SNA’2008. The study identifies the ways in which SNA data could and should be used for the purpose of ...

  • INCOMES, CONSUMPTION AND ECONOMIC GROWTH

    Eeconomic growth can be influenced by a number of factors, but certainly among the most important ones are the incomes and consumption of the population. An increase in incomes leads to increased consumption, which in turn, stimulates pro-duction, i.e. the creation of more goods and services and therefore causes an increase in the volume of gross ...