• Icon to change language to english
  • Icon to change language to english

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

  • ANALYSIS OF BULGARIA’S SPECIALIZATION IN THE FIELD OF FOREIGN TRADE IN AGRICULTURAL PRODUCTS

    The present survey aims to study the dynamics of the foreign trade flows of agricultural products between Bulgaria and the other EU Member States, the Balkan countries and the former members of CEFTA (until 2007). Using a methodological toolbox the author measures the degree of trade specialization of our country in the field of import and export ...

  • WOMEN ENTREPRENEURS IN AGRICULTURE

    Promoting entrepreneurship is one of the main directions of contemporary European SME policy. Particular attention is paid to women entrepreneurs and potential future entrepreneurs. The topicality of these issues arouses scientific researchers’ interest and is the basis for determining the objects of the present study. In literature there are ...

  • INVESTIGATION AND ANALYSIS OF INVESTMENT RISK IN A CRISIS

    The management of investment projects is related to the formation of such an investment portfolio, which would guarantee them the highest financial return. The main characteristic of investments is the „risk-return” ratio. The interdependence between these two categories is generally directly proportional – i.e. the pursuit of higher returns ...