共查询到20条相似文献,搜索用时 15 毫秒
1.
Frank Hespeler 《Computational Economics》2008,31(3):207-223
In this paper an extended algorithm using well-known solution methods for monetary models characterized by rational expectations
and optimal monetary policy design is given. The extension enables first the use of broad dynamic interdependencies within
the structural model of the economy, second stochastic shocks on all endogenous variables and third commitment to a policy
displaying no time inconsistency problem. All these points are not entirely new, but are seldom included into an operational
solution algorithm. Furthermore a computational improvement concerning the splitting process for the stable and unstable part
of the solution is proposed.
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2.
The purpose of this analysis is to explore optimal monetary and exchange rate policy in continuous time when there is uncertainty
in the exchange rate pass-through mechanism. Selecting official reserves as an operating target, optimal feedback control
rules are derived using MATLAB Simulink under a stochastic linear-quadratic Gaussian specification with a Kalman observer
approach to learning the differing pass-through expectations. The model is estimated using discrete time Korean data, which
is transformed into the continuous time model where simulations are applied to the Korean economy.
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3.
The effects of parameter uncertainty on optimal policy have been a matter of interest for academics, and even for some policymakers,
for a long time. Two lines of literature have developed analytical results on this matter. The first line uses static models
and the second dynamic models. In this dynamic line most of the results are confined to models with a single state and a single
control variable.
In this paper we want to encourage the analysis of more general dynamic cases. To do so, the results in the dynamic line are
extended from one-state and one-control finite horizon models to models with a pair of control variables. We then discuss
some of the hurdles which must be surmounted for the results to be made more general and suggests some lines for further research.
JEL classification: C61; E61 相似文献
4.
Schedulers' decisions in real factories deal with perceived risks and impacts. They proactively anticipate and reactively mitigate risky events by altering what would be considered a normal schedule to minimize associated impacts. These risk mitigation concepts are called aversion dynamics (AD). Aversion dynamics describes the aversion that jobs exhibit to impacts resulting from risky events in dynamic and unstable production environments. The aversion manifests itself in either advancing or delaying the work to avoid the risky period. This paper extends the first AD heuristic, Averse-1, to capture additional real-world dynamics and to make the heuristic predictive (proactive) as to when the perceived risky event may happen. In particular, predictive and stochastic elements are incorporated within a dynamic job arrival framework to create an extended heuristic called Averse-2. 相似文献
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根据用户以往网页浏览的隐式反馈信息来推断用户兴趣,给用户推荐感兴趣的网页内容,提出了网页兴趣度度量方法及其在兴趣模型中的应用。根据用户浏览网页时的停留时间和浏览行为,通过量化的兴趣度度量算法评估出用户对网页内容的感兴趣程度,从而建立起用户兴趣模型;在用户浏览网页的过程中,动态地更新用户兴趣;最终根据归纳出的用户兴趣向用户推荐文章。实验证明提出的网页兴趣度度量方法和对应的兴趣模型是可行的。 相似文献
7.
Claudio Bettini Sushil Jajodia X. Sean Wang Duminda Wijesekera 《Journal of Network and Systems Management》2003,11(3):351-372
Policies in modern systems and applications play an essential role. We argue that decisions based on policy rules should take into account the possibility for the users to enable specific policy rules, by performing actions at the time when decisions are being rendered, and/or by promising to perform other actions in the future. Decisions should also consider preferences among different sets of actions enabling different rules. We adopt a formalism and mechanism devised for policy rule management in this context, and investigate in detail the notion of obligations, which are those actions users promise to perform in the future upon firing of a specific policy rule. We also investigate how obligations can be monitored and how the policy rules should be affected when obligations are either fulfilled or defaulted. 相似文献
8.
In this paper we compare expected loss minimization to worst-case or minimax analysis in the design of simple Taylor-style
rules for monetary policy. To this end we use a small model estimated for the euro area by Orphanides and Wieland (2000).
We find that rules optimized under a minimax objective in the presence of general parameter and shock uncertainty do not imply
extreme policy activism. Such rules also tend to obey the Brainard principle, which implies that policy responsiveness declines
with increasing uncertainty about policy effectiveness. We find that rules derived by means of minimax analysis are effective
insurance policies limiting maximum loss over ranges of parameter values to be set by the policy maker. In practice, we propose
to set these ranges with an eye towards the cost of such insurance cover in terms of the implied increase in expected inflation
variability.
JEL Classifications System: E52, E58, E61 相似文献
9.
10.
Grall-Maes E. Beauseroy P. 《IEEE transactions on pattern analysis and machine intelligence》2009,31(11):2073-2082
The problem of defining a decision rule which takes into account performance constraints and class-selective rejection is formalized in a general framework. In the proposed formulation, the problem is defined using three kinds of criteria. The first is the cost to be minimized, which defines the objective function, the second are the decision options, determined by the admissible assignment classes or subsets of classes, and the third are the performance constraints. The optimal decision rule within the statistical decision theory framework is obtained by solving the stated optimization problem. Two examples are provided to illustrate the formulation and the decision rule is obtained. 相似文献
11.
Linear Programming Models for the User and System Optimal Dynamic Network Design Problem: Formulations,Comparisons and Extensions 总被引:1,自引:2,他引:1
In this paper we formulate a network design model in which the traffic flows satisfy dynamic user equilibrium conditions for
a single destination. The model presented here incorporates the Cell Transmission Model (CTM); a traffic flow model capable
of capturing shockwaves and link spillovers. Comparisons are made between the properties of the Dynamic User equilibrium Network
Design Problem (DUE NDP) and an existing Dynamic System Optimal (DSO) NDP formulation. Both network design models have different
objective functions with similar constraint sets which are linear and convex. Numerical demonstrations are made on multiple
networks to demonstrate the efficacy of the model and demonstrate important differences between the DUE and DSO NDP approaches.
In addition, the flexibility of the approach is demonstrated by extending the formulation to account for demand uncertainty.
This is formulated as a stochastic programming problem and initial test results are demonstrated on test networks. It is observed
that not accounting for demand uncertainty explicitly, provides sub-optimal solution to the DUE NDP problem. 相似文献
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13.
Syouji Nakamura Cunhua Qian Hiroaki Samdoh & Toshio Nakagawa 《International Transactions in Operational Research》2002,9(5):695-701
Particularly in Japan, risk management relating to bankruptcy of financed enterprises has become very important to a bank after the collapse of a bubble economy. To obtain suitable revenues, a bank has to apply high interest rates to the enterprises with high risk. When enterprises which have made a secure loan from a bank go bankrupt, a bank forecloses such enterprises from its mortgage to recover the loss incurred. However, in actual circumstances, it may need much cost and effort to do so in Japan. This paper proposes a stochastic model to determine an adequate interest rate, taking account of the probabilities of bankruptcy and mortgage collection, and their costs. Numerical examples are given to illustrate this model and a loan interest rate is determined. 相似文献
14.
This article presents an agent-based integrated model of a real, financial, and monetary economy. The model is characterized by a monopolist firm that supplies a single homogeneous product in the goods market, hires workers in the labor market, and demands loans in the credit market; a trade union that sets the nominal wage; N heterogeneous households that buy the consumption good, provide the labor force, and trade the firm’s equity in the stock market; and a bank that lends money to the firm at an interest rate set according to a monetary policy strategy. The model is used to perform monetary policy experiments. A monetary policy rule which targets the gap between the current output and the potential output in the full employment case is investigated, studying the effects on the economy for different degrees of policy tightness. The monetary policy rule is compared to a random policy rule that conserves a similar structure. Results show that a tight monetary policy clearly over performs the random policy rule. Moreover, results corroborate the effectiveness of monetary policy in limiting inflation and increasing welfare. 相似文献
15.
Fidel Gonzalez 《Computational Economics》2008,31(1):1-20
Parameter uncertainty and the interaction between the uncertain parameters are important aspects of economic policy. In this
work, I develop an analytical one-state variable, one-control variable model with two uncertain parameters (the control parameter
and the intercept) and a nonzero covariance. I characterize the effect of changes in each of the covariance components on
the optimal expected control variable. I found that the nature of the optimal policy maker’s response depends on the specific
changing component of the covariance, the sign of the correlation coefficient and the sign of the optimal expected control
variable when the covariance is zero. I obtain the conditions under which the effect of the covariance is considerable. This
work complements previous studies by providing a complete set of cases and conditions for an aggressive or cautionary optimal
policy maker’s response to changes in each covariance component. Finally, the importance of the analytical results is shown
for the regulation of a stock pollutant leading to global warming.
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16.
With the increasing processing speeds, there is a shift away from the paradigm of centralized, sequential storage systems towards distributed and network based storage systems. Further, with the new imaging and real time multimedia applications, it is becoming more than ever important to design powerful, efficient and scaleable I/O systems. In this paper, the requirements of storage subsystems in multimedia environment were presented. The storage system components relating to those requirements were analyzed. Current solutions were surveyed and classified. Then we proposed approaches to improve storage subsystem performance for multimedia. The first approach applies constrained layout currently used for single disk model to multi-disk system. The second calls for using a stripping unit that meets both media and storage system optimization criteria. The third uses a pool of buffers instead of single buffer per stream. 相似文献
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利率期限结构的估计在金融研究中有着重要的地位,它是资产定价.金融产品设计、保值和风险管理的基准。该文第一次选择货币市场基准利率R007为样本数据,对一系列单因子利率模型进行欧拉离散、运用极大似然估计法进行了参数估计,并对参数估计结果进行了统计检验和模型间的似然比检验。其中,对于由最大似然估计法必须求解的复杂似然方程组,采用了不同的最优化方法进行了有益的尝试,发现蒙特卡洛法特别适合求解这类问题。最后,发现CKLS模型是最适合于描述我国短期回购利率的动态变化的,R007的变化表现出明显的均值回复特征。 相似文献
19.
For the time integration of semilinear systems of differential equations, a class of multiderivative exponential integrators is considered. The methods are based on a Taylor series expansion of the semilinearity about the numerical solution, the required derivatives are computed by automatic differentiation. Inserting these derivatives into the variation-of-constants formula results in an exponential integrator which requires the action of the exponential of an augmented Jacobian only.The convergence properties of such exponential integrators are analyzed, and potential sources of numerical instabilities are identified. In particular, it is shown that local linearization gives rise to better stability for stiff problems. A number of numerical experiments illustrate the theoretical results. 相似文献
20.
This paper presents an efficient optimal control and recursive dynamics-based computer animation system for simulating and controlling themotion of articulated figures. A quasi-Newton nonlinear programmingtechnique (super-linear convergence) is implemented to solve minimumtorque-based human motion-planning problems. The explicit analyticalgradients needed in the dynamics are derived using a matrix exponentialformulation and Lie algebra. Cubic spline functions are used to make thesearch space for an optimal solution finite. Based on our formulations,our method is well conditioned and robust, in addition to beingcomputationally efficient. To better illustrate the efficiency of ourmethod, we present results of natural looking and physically correcthuman motions for a variety of human motion tasks involving open andclosed loop kinematic chains. 相似文献