An algorithm for the solution of stochastic optimal control problems for large nonlinear econometric models
提出一种结合确定性最优控制算法与随机模拟的技术，用于求解大型非线性随机动态经济模型的最优控制问题，并以英格兰银行的大型季度预测模型为例展示其可行性。
Abstract This paper considers the problem of solving an optimal control problem for large dynamic economic models which are both nonlinear and stochastic. It proposes a technique which combines conventional deterministic optimal control algorithms with the procedure of stochastic simulation, which calculates a numerical approximation to the distribution of the models endogenous variables. The new technique is computationally feasible for even large nonlinear models and, as an illustration of this, the Bank of England's large quarterly forecasting model is used in an example.