ESTIMATION OF TIME VARYING PARAMETERS IN AN OPTIMAL CONTROL PROBLEM

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Communications Faculty of Sciences University Ankara Series A1 Mathematics and Statistics
Volume:64 Issue:2
ESTIMATION OF TIME VARYING PARAMETERS IN AN OPTIMAL CONTROL PROBLEM

ESTIMATION OF TIME VARYING PARAMETERS IN AN OPTIMAL CONTROL PROBLEM

Authors : Levent ÖZBEK, Esin KÖKSAL BABACAN

Pages : 111-121

Doi:10.1501/Commua1_0000000738

View : 12 | Download : 10

Publication Date : 2015-08-01

Article Type : Research Paper

Abstract :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 insert ignore into journalissuearticles values(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
Keywords : Non linear state space models, Extended Kalman filter, Optimal linear regulator 1Ozlale 2003, and Salemi 1995, are some of the exceptions in this context

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