Approximately Optimal Control of Nonlinear Dynamic Stochastic Problems with Learning: The OPTCON Algorithm

OPTCON is an algorithm for the optimal control of nonlinear stochastic systems which particularly applicable to economic models. It delivers approximate numerical solutions optimum (dynamic optimization) problems with a quadratic objective function models additive and multiplicative (parameter) uncertainties. The was first programmed in C# then MATLAB. allows deterministic control, latter open loop (OPTCON1), passive learning (open-loop feedback, OPTCON2), active (closed-loop, dual, or adaptive OPTCON3) information patterns. mathematical aspects open-loop feedback closed-loop patterns are presented more detail this paper.