Politická ekonomie 2004, 52(4):551-561 | DOI: 10.18267/j.polek.475

Soudobá makroekonomie a teorie optimálního řízení

Michal Slavík
Česká národní banka, Praha.

Contemporary macroeconomics and optimal control theory

The paper presents the optimal control theory and the maximum principle technique that is suitable for solving dynamic optimalization problems in continuous time. Modern mainstream macroeconomics stresses microeconomics principles of solved problems. However, the application of the standard microeconomic approach - the static optimalization - needs to be replaced in macroeconomics by more sophisticated methods. The maximum principle is one of the possible tools. This text briefly introduces the basics of this method to Czech readers. More detailed treatment can be found in the original literature. The maximum principle method can be applied not only in solving macroeconomic problems, but also in many different areas that deal with the optimalization in continuous time, e.g. finance or engineering.

Keywords: optimal control theory, maximum principle, dynamic macroeconomics, optimization techniques
JEL classification: C61, E13

Published: August 1, 2004  Show citation

ACS AIP APA ASA Harvard Chicago IEEE ISO690 MLA NLM Turabian Vancouver
Slavík, M. (2004). Contemporary macroeconomics and optimal control theory. Politická ekonomie, 52(4), 551-561. doi: 10.18267/j.polek.475
Download citation
  • BibTeX (.bib)
  • Bookends (.ris)
  • EasyBib (.ris)
  • EndNote (.enw)
  • EndNote 8 (.xml)
  • ISI WoS (.isi)
  • Medlars (.medlars)
  • Mendeley (.ris)
  • MODS (.xml)
  • Papers (.ris)
  • RefWorks (.txt)
  • RefManager (.ris)
  • RIS (.ris)
  • MS Word (.xml)
  • Zotero (.ris)
    • Open full article

    References

    1. Aghion, P., Howitt, P.: Endogenous Growth Theory. Cambridge, MA, MIT Press 1998.
    2. Arlt, J., Čutková, J., Radkovský, Š. : Některé aspekty spotřební funkce v podmínkách České republiky 90. let. Politická ekonomie, 2002, č. 1, s. 3-23. Go to original source...
    3. Barro, R., Sala-i-Martin, X.: Economic Growth. Cambridge, MA, MIT Press 1999.
    4. Bellman, R.: Dynamic Programming, Princeton. Princeton University Press 1957.
    5. Caballe, J., Santos, M.: On Endogenous Growth with Physical and Human Capital. Journal of Political Economy, 1993, č. 6, s. 1042-1067. Go to original source...
    6. Dorfman, R.: An Economic Interpretation of Optimal Control Theory. American Economic Review, 1969, č. 5, s. 817-831.
    7. Halkin, H.: Necessary Conditions for Optimal Control Problems with Infinite Horizonts. Econometrica, 1974, č. 2, s. 267-272. Go to original source...
    8. Chiang, A. : Elements of Dynamic Optimization. New York, McGraw-Hill 1992.
    9. Chiang, A. : Fundamental Methods of Mathematical Economics. New York, McGraw-Hill 1984.
    10. Kamien, M. I., Schwarz, N. L.: Dynamic Optimization: The Calculus of Variations and Optimal Control in Economics and Management. New York, North Holland 1981.
    11. Marimon, R., Scott, A.: Computational Methods for the Study of Dynamic Economies. Oxford, Oxford University Press 1999.
    12. Leonard, D., Long, N. V.: Optimal Control Theory and Static Optimization in Economics. Cambridge, MA, Cambridge University Press 1992. Go to original source...
    13. Pemberton, M., Rau, N.: Mathematics for Economists: An Introductory Textbook. Manchester, Manchester University Press 2001.
    14. Pontryagin, L. et al.: The Mathematical Theory of Optimal Processes. London, Interscience1962.
    15. Romer, D.: Advanced Macroeconomics (2. vydání). New York, McGraw-Hill 2001. Seierstad, A., Sydsaeter, K.: Sufficient Conditions in Optimal Control Theory. International Economic Review, 1977, č. 2, s. 367-391. Go to original source...
    16. Sethi, S., Thompson, G.: Applications of Mathematical Control Theory to Finance: Modeling Simple Dynamic Cash Balance Problems. The Journal of Financial and Quantitative Analysis, 1970, č. 5, s. 381-394. Go to original source...
    17. Violante, G.: Notes on Optimal Control Theory. London, University College London 2001, mimeo.
    18. Walsh, C.: Monetary Theory and Policy. Cambridge, MA, MIT Press 1998.

    This is an open access article distributed under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY NC ND 4.0), which permits non-comercial use, distribution, and reproduction in any medium, provided the original publication is properly cited. No use, distribution or reproduction is permitted which does not comply with these terms.


    Return to the content